Detail Essays on international capital markets Bibliografi Author: Cooper, Richard N. (Advisor); Wei, Shang-Jin (Advisor); Kim, Woochan ; Deep, Akash (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-599-37348-2     Penerbit: Harvard University Press     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9936206.pdf (0.0B; 0 download) Abstract Part One looks into the hypothesis whether free flow of capital disciplines budget deficit. Using 3SLS (three stage least squares), I show that budget deficit is lower under a liberalized capital account regime even when the endogenous nature of liberalization decision is controlled for. Empirical results also show that disciplinary effect is stronger for countries under fixed exchange rate regime or those with weak central bank independence. Part Two investigates a number of issues on portfolio investors' trading behavior in an emerging market. Making use of a unique data set that details every foreign investor's monthly position, by stock, in the Korean stock market, I take a behavioral finance approach and analyze sub-optimal behaviors such as positive feedback trading, herding, and loss-aversion. A number of findings stand out. Positive feedback trading behavior is found in non-resident institutional investors while not in other categories of investors. Among non-resident institutions, trend-chasing behavior is particularly strong for open-end mutual funds, whose trend chasing intensified further during the crisis period (Nov. 97 ∼ Jun. 98). No significant trend-chasing behavior is found in offshore investment funds. Herding behavior is found in almost all investor categories. But, it is particularly strong for individual investors. Among institutional investors, pension funds show the greatest degree of herding. Evidence also suggests that offshore investment funds do not herd as much as their onshore counterparts do. Stocks reported daily by The Wall Street Journal are found to be more subject to herding than others are. Loss-aversion is found only for resident individual investors. But, even for this category of investors, loss-aversion disappears during the crisis period as panic selling dominates investors' trading behavior. Differences in the Western and Korean news coverage are found to be correlated with differences in net selling by non-resident investors relative to resident investors. Evidence also suggests banks, insurance, and pension funds show greater tendency to hold glamour stocks than other institutional investors do. Furthermore, evidence supports that offshore investment funds are less prone to hold glamour stocks than the onshore counterparts. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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