Earticle

초록

영어

Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy to measure the severity of market frictions in affecting stocks in local markets, we assess whether investibility has a significant influence on the lead-lag relation of stock returns in emerging markets, and whether this is due to slow diffusion of common information across stocks. We show that returns of highly-investable stocks that allow large access of foreign investment lead returns of non-investable stocks that are closed to foreign investors, but not vice versa. Moreover, this lead-lag effect is not driven by other known determinants such as size, trading volume, or analyst coverage, nor is it due to intra-industry leader-follower effect. These patterns arise because prices of highly-investable stocks adjust faster to market-wide information. Greater investibility reduces the delay with which individual stock prices respond to the global and local market information. The results are consistent with the idea that financial liberalization in the form of greater investibility yields more informationally efficient stock prices in emerging markets.

목차

Abstract
 1 Introduction
 2. Data
  2.1 Descriptive Statistics
  2.2 Investibility groups
 3 Empirical Results
  3.1 Cross-autocorrelations across investibility
  3.2 VAR tests of the lead-lag effect
 4 Why do highly-investable stocks lead non-investable stocks?
  4.1 Analyst following and the lead-lag relation
  4.2 Intra- and inter-industry effects on the the lead-lag relation
  4.3 Speed of price adjustment and the lead-lag relation
 5 Conclusions
 References
 Table

저자

• Kee-Hong Bae [ Bank of Montreal Professor of Finance at Queen’s University ]
• Arzu Ozoguz [ Assistant Professor of Finance at the University of North Carolina at Chapel Hill ]
• Hongping Tan [ Assistant Professor of Finance at the University of Northern British Columbia. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330