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

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  • Kim, Jaemin
  • Landi, James
  • Yoo, Sean Sehyun

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.

Suggested Citation

  • Kim, Jaemin & Landi, James & Yoo, Sean Sehyun, 2009. "Inter-temporal examination of the trading activities of foreign investors in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 243-256, April.
    • Handle: RePEc:eee:pacfin:v:17:y:2009:i:2:p:243-256
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    Cited by:

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    3. Vo, Xuan Vinh, 2017. "Trading of foreign investors and stock returns in an emerging market - Evidence from Vietnam," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 88-93.
    4. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    5. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    6. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
    7. Chakraborty, Sandip & Kakani, Ram Kumar, 2016. "Institutional investment, equity volume and volatility spillover: Causalities and asymmetries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 1-20.

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