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Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy

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  • Francis, Bill B.
  • Hunter, Delroy M.
  • Kelly, Patrick J.

Abstract

Extant research shows that stock returns of investable firms are highly sensitive to foreign market and global information shocks, suggesting that having foreign investors might insulate investable firms from shocks to local fundamentals. Examining 24 emerging markets, we find that both investable and non-investable firms are sensitive to local monetary policy shocks. This allays the concern that emerging-market opening reduces the efficacy of local monetary policy. We also find that in 11 countries (46% of our country-sample), investable firms are more sensitive to local shocks than non-investable firms. Differences in leverage, stock liquidity, size, domestic product-market exposure, or industry cyclicality do not drive this finding.

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  • Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020. "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 386-411.
    • Handle: RePEc:eee:empfin:v:58:y:2020:i:c:p:386-411
    DOI: 10.1016/j.jempfin.2020.07.003
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    More about this item

    Keywords

    Investable stocks; Non-investable stocks; Local shocks; Monetary policy; Structural VAR; Price efficiency; Financial liberalization;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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