Herding by foreign investors and emerging market equity returns: Evidence from Korea
Jin Q Jeon and
Clay M. Moffett
International Review of Economics & Finance, 2010, vol. 19, issue 4, 698-710
Abstract:
This paper studies the effect of herding by foreign investors on stock returns in the Korean market. We conduct both pre and post-liberalization analyses and utilize a three-stage least squares analysis in order to control for the simultaneous relationship. We find evidence of a significant impact of foreign investor herding on stock returns in addition to intra-year positive feedback trading by foreign investors. However, changes in domestic institutional ownership do not have any significant effect on stock returns. In addition, foreign investors tend to buy/sell shares that domestic institutions sell/buy in the herding year.
Keywords: Herding; Feedback; trading; Foreign; investment; Emerging; markets (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (39)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:19:y:2010:i:4:p:698-710
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