Inter-temporal examination of the trading activities of foreign investors in the Korean stock market

Jaemin Kim, James Landi and Sean Sehyun Yoo

Pacific-Basin Finance Journal, 2009, vol. 17, issue 2, 243-256

Abstract: In the full market-opening period of the Korean stock market (1999-2006), when foreign equity ownership reached as high as 40% of the total stock market capitalization, foreign net flows move in the same direction contemporaneously with the domestic market return, while lagged foreign flows are not followed by any significant changes in the domestic market return. On the other hand, an increase (decrease) in foreign net buy is followed by Won appreciation (depreciation) relative to the US dollar; however, the reverse relation does not hold. Throughout the entire sample period (1995-2006), foreign flows are not significantly related to stock market return volatility.

Keywords: Foreign; investors; Market; volatility; Trading; strategies (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:17:y:2009:i:2:p:243-256

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