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 diffusion of common information across stocks. We show
that returns of highly-investible stocks that allow large access of foreign investment lead returns of
non-investible 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-investible 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.
학술대회/행사
학술대회안내
[2008년 제 4차] Do Foreigners Facilitate Information Transmission?
작성자 : 관리자
조회수 : 796
게시일 :
2008-12-11