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Foreign Speculators and Emerging Equity Markets

Geert Bekaert () and Campbell Harvey ()

Journal of Finance, 2000, vol. 55, issue 2, 565-613

Abstract: We propose a cross-sectional time-series model to assess the impact of market liberalizations in emerging equity markets on the cost of capital, volatility, beta, and correlation with world market returns. Liberalizations are defined by regulatory changes, the introduction of depositary receipts and country funds, and structural breaks in equity capital flows to the emerging markets. We control for other economic events that might confound the impact of foreign speculators on local equity markets. Across a range of specifications, the cost of capital always decreases after a capital market liberalization with the effect varying between 5 and 75 basis points. Copyright The American Finance Association 2000.

Date: 2000
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Working Paper: Foreign Speculators and Emerging Equity Markets (1997) Downloads
Working Paper: Foreign Speculators and Emerging Equity Markets (1997) Downloads
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