IDEAS home Printed from https://ideas.repec.org/p/bok/wpaper/1418.html
   My bibliography  Save this paper

Foreign Ownership and Commonality in Liquidity Between FX and Stock Markets (in Korean)

Author

Listed:
  • Junhan Kim

    (Research Department, The Bank of Korea)

  • Jieun Lee

    (Financial & Monetary Economics Team, Economic Research Institute, The Bank of Korea)

Abstract

This paper studies the role of foreign investors in commonality between FX market liquidity and stock market liquidity. In the wake of Global Financial Crisis, emerging market economies, including Korea, have seen rising volatility in short-term capital flows and exchange rates leading to domestic financial market instability. Focusing on the common movement of liquidity and the role foreign investors play, we examine whether commonality in liquidity exists between FX and stock markets, and how foreign investors have an impact on the commonality. The results show that commonality in liquidity between FX and stock markets exists and foreign investors drive down the commonality in liquidity. This implies that the source of commonality may not be investors' behavior, but rather other factors, such as macroeconomic news or shocks in the global financial markets.

Suggested Citation

  • Junhan Kim & Jieun Lee, 2014. "Foreign Ownership and Commonality in Liquidity Between FX and Stock Markets (in Korean)," Working Papers 2014-18, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1418
    as

    Download full text from publisher

    File URL: https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?menuNo=500788&atchFileId=KO_00000000000107701&fileSn=1
    File Function: Working Paper, 2014
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Commonality in liquidity; Foreign ownership; FX liquidity; Stock Liquidity;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bok:wpaper:1418. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Economic Research Institute (email available below). General contact details of provider: https://edirc.repec.org/data/imbokkr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.