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-investable 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 marketwide 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 e.cient stock prices in emerging markets.
Kee-Hong Bae Arzu Ozoguz Hongping Tan
Queens School of Business, Queens University Kenan-Flagler Business School, The University of North Carolina at Chapel Hill University of Nothern British Columbia
国际会议
成都
英文
1-35
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）