Do Foreigners Facilitate Information Transmission?
Using the degree of accessibility in emerging markets,or investibility,as a proxy to measure the severity of the market frictions a ?ecting a stock in local markets,we assess whether investibility has a significant influence on the cross-autocorrelations of stocks in emerging markets,and whether this is due to the slow di ?usion of common information across stocks.We show that returns of highly- nvestable stocks lead returns of non-investable stocks,but not vice versa. Moreover,this lead-lag e ?ect is not driven by other known determinants such as size,trading volume,or analyst coverage and is not a purely intra-industry phenomenon. These patterns arise because stock prices of highly-investable firms adjust faster to market-wide information. Greater investibility reduces the delay with which individual stock prices respond to the global and local market information. The results are consistent with the idea that financial liberalization in the form of greater investibility yields more informationally efficient stock prices in emerging markets.
Kee-Hong Bae Arzu Ozoguz Hongping Tan
Bank of Montreal Professor of Finance at the Queens School of Busi-ness Queens University Visiting Assistant Professor of Finance at the Kenan-Flagler Business School,The University of North Assistant Professor at the University of Nothern British Columbia.Correspondence
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）