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Did the Asian financial crisis scare foreign investors out of Japan?

Citations

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Cited by:

  1. Numan Ülkü & Enzo Weber, 2014. "Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns," Review of Finance, European Finance Association, vol. 18(4), pages 1541-1581.
  2. Takato Hiraki & Akitoshi Ito & Fumiaki Kuroki, 2003. "Investor Familiarity and Home Bias: Japanese Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(4), pages 281-300, December.
  3. Kalev, Petko S. & Nguyen, Anh H. & Oh, Natalie Y., 2008. "Foreign versus local investors: Who knows more? Who makes more?," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2376-2389, November.
  4. Walid M.A. Ahmed, 2016. "Cross-border equity flows and market volatility: the case of Qatar Exchange," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 11(3), pages 395-418, July.
  5. G. Andrew Karolyi, 2003. "Does International Financial Contagion Really Exist?," International Finance, Wiley Blackwell, vol. 6(2), pages 179-199, July.
  6. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
  7. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
  8. Porras, Eva & Ülkü, Numan, 2015. "Foreigners’ trading and stock returns in Spain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 111-126.
  9. Griffin, John M. & Nardari, Federico & Stulz, Rene M., 2004. "Stock Market Trading and Market Conditions," Working Paper Series 2004-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  10. Richards, Anthony, 2005. "Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 1-27, March.
  11. Onuk, Cagri Berk & Fodor, Andrew, 2023. "Turkish currency crunch: Examining behavior across investor types," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  12. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," International Finance 0405006, University Library of Munich, Germany.
  13. Hong, Gwangheon & Lee, Bong Soo, 2011. "The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market," Japan and the World Economy, Elsevier, vol. 23(4), pages 273-287.
  14. 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.
  15. repec:idn:journl:v:17:y:2015:i:4:p:1-30 is not listed on IDEAS
  16. Iwatsubo, Kentaro & Watkins, Clinton, 2020. "Who influences the fundamental value of commodity futures in Japan?," International Review of Financial Analysis, Elsevier, vol. 67(C).
  17. repec:ebl:ecbull:v:7:y:2007:i:10:p:1-14 is not listed on IDEAS
  18. Hiraki, Takato & Ito, Akitoshi, 2009. "Investor biases in Japan: Another pathology of Keiretsu," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 100-124, January.
  19. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
  20. 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.
  21. Bae, Kee-Hong & Chan, Kalok & Ng, Angela, 2004. "Investibility and return volatility," Journal of Financial Economics, Elsevier, vol. 71(2), pages 239-263, February.
  22. Lin, Anchor Y. & Swanson, Peggy E., 2008. "U.S. investors and global equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 83-107.
  23. Cristiana Tudor, 2021. "Investors’ Trading Activity and Information Asymmetry: Evidence from the Romanian Stock Market," Risks, MDPI, vol. 9(8), pages 1-19, August.
  24. Swanson, Peggy E. & Lin, Anchor Y., 2005. "Trading behavior and investment performance of U.S. investors in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 99-115, April.
  25. Farooq, Omar, 2013. "Who was informative? Performance of foreign and local analysts’ stock recommendations during the Asian financial crisis," Research in International Business and Finance, Elsevier, vol. 29(C), pages 61-76.
  26. Klein, Arne C., 2013. "Time-variations in herding behavior: Evidence from a Markov switching SUR model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 291-304.
  27. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
  28. Guo, Liang, 2016. "Are U.S. investors blindly chasing returns in foreign countries?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 309-334.
  29. Lin, Anchor Y. & Lin, Yueh-Neng, 2021. "Market similarity and cross-border investment performance," Finance Research Letters, Elsevier, vol. 40(C).
  30. Boubekeur Baba & Güven Sevil, 2021. "Bayesian analysis of time-varying interactions between stock returns and foreign equity flows," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
  31. Hood, Matthew & Kamesaka, Akiko & Nofsinger, John & Tamura, Teruyuki, 2013. "Investor response to a natural disaster: Evidence from Japan's 2011 earthquake," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 240-252.
  32. Samarakoon, Lalith P., 2010. "Asymmetric investor behavior between buyside and sellside: Evidence from investor classes in the Sri Lankan stock market," Journal of Multinational Financial Management, Elsevier, vol. 20(2-3), pages 93-113, July.
  33. Jae C. Jung & Pratima Bansal, 2009. "How Firm Performance Affects Internationalization," Management International Review, Springer, vol. 49(6), pages 709-732, December.
  34. Nicole B. Simpson & Marc Tomljanovich & George S. Georgiev, 2005. "Macroeconomic Fundamentals and Net Portfolio Investment Between Developed Regions," International Finance, Wiley Blackwell, vol. 8(2), pages 303-327, August.
  35. Kamesaka, Akiko & Nofsinger, John R. & Kawakita, Hidetaka, 2003. "Investment patterns and performance of investor groups in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 1-22, January.
  36. Thomas, Ashok & Spataro, Luca & Mathew, Nanditha, 2014. "Pension funds and stock market volatility: An empirical analysis of OECD countries," Journal of Financial Stability, Elsevier, vol. 11(C), pages 92-103.
  37. John M. Griffin & Federico Nardari & René M. Stulz, 2007. "Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 905-951.
  38. VASYECHKO Olga, 2021. "A Triad of Driving Forces Behind FDI Patterns," European Journal of Interdisciplinary Studies, Bucharest Economic Academy, issue 01, March.
  39. Abugri, Benjamin A., 2008. "Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 396-410.
  40. Yafeng Qin & Min Bai, 2014. "Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 237-261, June.
  41. Chen, Yangyang & Hu, Gang & Yu, Danlei Bonnie & Zhao, Jingran, 2019. "Catastrophic risk and institutional investors: Evidence from institutional trading around 9/11," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 211-233.
  42. Chang, Hao-Wen & Chiang, Yi-Chein & Ke, Mei-Chu & Wang, Ming-Hui & Nguyen, Tien-Trung, 2023. "Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 312-329.
  43. Gerlach, Jeffrey R. & Yook, Youngsuk, 2016. "Political conflict and foreign portfolio investment: Evidence from North Korean attacks," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 178-196.
  44. Min Bai & Feng Bai & Yafeng Qin, 2022. "Emerging economies openness and efficiency," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(3), pages 659-672, April.
  45. 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.
  46. Pantisa Pavabutr & Hong Yan, 2007. "The Impact of Foreign Portfolio Flows on Emerging Market Volatility: Evidence from Thailand," Australian Journal of Management, Australian School of Business, vol. 32(2), pages 345-368, December.
  47. 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.
  48. Lin, Anchor Y., 2009. "Law, culture and investment performance: A cross-country analysis," Global Finance Journal, Elsevier, vol. 19(3), pages 323-341.
  49. Hiremath, Gourishankar S. & Kattuman, Paul, 2017. "Foreign portfolio flows and emerging stock market: Is the midnight bell ringing in India?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 544-558.
  50. Gonçalves, Walter & Eid, William, 2017. "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, vol. 33(C), pages 102-139.
  51. International Monetary Fund, 2009. "South Africa: Selected Issues," IMF Staff Country Reports 2009/276, International Monetary Fund.
  52. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.
  53. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series 1, Institute for Financial Research.
  54. Jasmine Xiao, 2015. "Domestic and Foreign Mutual Funds in Mexico: Do They Behave Differently?," IMF Working Papers 2015/104, International Monetary Fund.
  55. Ben Le, 2020. "New evidence for the determinants of foreign investment in an Asian market," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 10(2), pages 151-167.
  56. Elsayed Elsiefy & Moustafa Ahmed AbdElaal, 2017. "Analyzing Foreign Investors Behavior in the Emerging Stock Market: Evidence from Qatar Stock Market," Accounting and Finance Research, Sciedu Press, vol. 6(4), pages 197-197, Novebmer.
  57. Bae, Kee-Hong & Yamada, Takeshi & Ito, Keiichi, 2008. "Interaction of investor trades and market volatility: Evidence from the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 370-388, September.
  58. Iwatsubo, Kentaro & Watkins, Clinton, 2021. "The changing role of foreign investors in Tokyo stock price formation," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  59. Yu, Hsin-Yi & Hsieh, Shu-Fan, 2010. "The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 270-280, September.
  60. 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.
  61. Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L., 2013. "Are short sellers positive feedback traders? Evidence from the global financial crisis," Journal of Financial Stability, Elsevier, vol. 9(3), pages 337-346.
  62. Dahlquist, Magnus & Robertsson, Goran, 2004. "A note on foreigners' trading and price effects across firms," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 615-632, March.
  63. Bohl, Martin T. & Brzeszczynski, Janusz & Wilfling, Bernd, 2009. "Institutional investors and stock returns volatility: Empirical evidence from a natural experiment," Journal of Financial Stability, Elsevier, vol. 5(2), pages 170-182, June.
  64. Omay, Tolga & Iren, Perihan, 2019. "Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach," Journal of Asian Economics, Elsevier, vol. 60(C), pages 85-100.
  65. Chan, K. & Karolyi, G. A. & Rhee, S. G., 2002. "A retrospective evaluation of the Pacific-Basin Finance Journal: 1993-2002," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 497-516, November.
  66. Akiko Kamesaka, 2013. "The Great East Japan Earthquake and Investor Behavior in Japan's Equity Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 9(1), pages 71-86, January.
  67. Lin, Anchor Y., 2006. "Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 364-382.
  68. Kwon, Do-Gyun & Kim, Jang Ho & Lee, Yongjae & Kim, Woo Chang, 2017. "Modeling the dynamics of institutional, foreign, and individual investors through price consensus," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 166-175.
  69. Kee‐Hong Bae & Takeshi Yamada & Keiichi Ito, 2006. "How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 129-155, September.
  70. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2009. "Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 757-764, April.
  71. Zhang, Jinhua & Mao, Rui & Wang, Jieyu & Xing, Mengying, 2021. "The way back home: Trading behaviours of foreign institutional investors in China amid the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  72. John M. Griffin & Federico Nardari & Rene M. Stulz, 2002. "Daily Cross-Border Equity Flows: Pushed or Pulled?," NBER Working Papers 9000, National Bureau of Economic Research, Inc.
  73. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers 3033, C.E.P.R. Discussion Papers.
  74. Juan Carlos Hatchondo, 2005. "Asymmetric information and the lack of international portfolio diversification," Working Paper 05-07, Federal Reserve Bank of Richmond.
  75. Qureshi, Fiza & Kutan, Ali M. & Ismail, Izlin & Gee, Chan Sok, 2017. "Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 176-192.
  76. Mahfuzul Haque & Oscar Varela, 2010. "US-Thailand Bilateral Safety-first Portfolio Optimisation around the 1997 Asian Financial Crisis," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(2), pages 171-197, August.
  77. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
  78. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
  79. Brennan, Michael J. & Henry Cao, H. & Strong, Norman & Xu, Xinzhong, 2005. "The dynamics of international equity market expectations," Journal of Financial Economics, Elsevier, vol. 77(2), pages 257-288, August.
  80. Oh, Natalie Y. & Parwada, Jerry T. & Walter, Terry S., 2008. "Investors' trading behavior and performance: Online versus non-online equity trading in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 26-43, January.
  81. Gębka, Bartosz & Wohar, Mark E., 2013. "International herding: Does it differ across sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 55-84.
  82. French, Jordan, 2017. "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 124-148.
  83. Numan Ülkü & Petar Petrov, 2015. "How Reliable Are the Findings of ‘Foreign’ Investor Studies That Use TIC Data? A Look from the Host Market," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 521-553, December.
  84. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
  85. Tseng, Yun-lan & Hu, Shing-yang, 2013. "Tax reform and the identity of marginal traders around ex-dividend days," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 181-199.
  86. P. Simmons & N. Tantisantiwong, 2014. "Equilibrium moment restrictions on asset returns: normal and crisis periods," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 1064-1089, November.
  87. Jeffrey R. Gerlach & Youngsuk Yook, 2016. "Political Conflict and Foreign Portfolio Investment : Evidence from North Korean Attacks," Finance and Economics Discussion Series 2016-037, Board of Governors of the Federal Reserve System (U.S.).
  88. Bai, Min & Qin, Yafeng & Zhang, Huiping, 2021. "Stock price crashes in emerging markets," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 466-482.
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