How does FX liquidity affect the relationship between foreign ownership and stock liquidity?

Lee, Jieun; Ryu, Doojin

doi:10.1016/j.ememar.2019.04.001

Cited by 20 publications

(8 citation statements)

References 104 publications

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“…In other words, we find a bi-directional negative relationship between FO and ER, Additionally, the relationship between FO and ER is found to be statistically significant and positive in the case of Vietnam while it is found to be statistically insignificant in the case of Indonesia, the Philippines, and Singapore. Our findings are not surprising as the prior literature also finds mixed evidence with respect to the relationship between FO and ER (see, inter alia Kim and Singal, 2000;Lee and Ryu, 2019;Xie et al, 2019). Now we turn to results reported in Panel B.…”

Section: Roa Roe Per Tobin's Q Eps Z-score Sdroa Sdroesupporting

confidence: 63%

Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries

Naufa

Hanafi

Lantara

2021

BEMP

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This research examines the impact of foreign ownership on stock performance-risk and macroeconomic factors in countries of the Association of Southeast Asian Nations (ASEAN). To examine our research question, we utilize annual panel data consisting of listed companies (2007 to 2018). We find that foreign ownership enhances stock performance and gross domestic product, but it decreases risk, exchange, and interest rate. Conversely, performance and GDP attract foreign investors, but risk, exchange, and interest rates reduce it. Those results differ in diverse settings and countries.

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Section: Roa Roe Per Tobin's Q Eps Z-score Sdroa Sdroesupporting

confidence: 63%

Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries

Naufa

Hanafi

Lantara

2021

BEMP

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“…Additionally, other studies suggest that domestic and foreign investors trade for different purposes and that domestic investors' trades may be more informative on certain occasions (Choe et al, 2005; Chung et al, 2019; Dvořák, 2005; Lee et al, 2016; Lee & Ryu, 2019a). In particular, in the context of emerging markets, informed domestic investors are often thought to trade using directional information and on short investment horizons (Ryu & Yang, 2019; Yang et al, 2019), whereas informed foreign investors tend to participate in emerging markets to diversify or manage broader market portfolios over a longer time horizon (Li et al, 2003; Tesar & Werner, 1995).…”

Section: Introductionmentioning

confidence: 99%

Informed options trading around holidays

Ryu

2021

Journal of Futures Markets

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We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for out‐of‐the‐money call options. Foreign investors are generally informed, and their out‐of‐the‐money options trades are even more informed after holidays. Although domestic investors are less informed than their foreign competitors, their options trades seem to convey information both before and after holidays.

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“…▪ Increases the liquidity of emerging markets (Lee & Chou, 2018;Lee & Chung, 2018;Lee & Ryu, 2019;Ng et al, 2016;Ding et al, 2017). ▪ The effects are transmitted through both friction channels and informational-sharing mechanisms (Ng et al, 2016;Ding et al, 2017).…”

Section: Stock Liquiditymentioning

confidence: 99%

How does liberalization affect emerging stock markets? Theories and empirical evidence

Hoang

Mateus

2023

Journal of Economic Surveys

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This paper reviews the literature that discusses how liberalization affects emerging stock markets on the cost of equity, stock volatility, stock liquidity, and informational efficiency. The survey consists of two parts, theoretical arguments and empirical evidence. Four primary mechanisms explaining the impacts are risk diversification, information‐sharing, friction channel, and market competition. Our survey indicates that liberalization was evidenced to reduce the cost of equity (via risk diversification mechanism), stabilize stock volatility (mainly through risk diversification mechanism), increase stock market liquidity (in both friction channels and informational‐sharing mechanisms), and improve the local market's informational efficiency (by informational‐sharing mechanism). Also, we suggest some aspects of theoretical arguments that still need further examination by empirical research.

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How does FX liquidity affect the relationship between foreign ownership and stock liquidity?

Cited by 20 publications

References 104 publications

Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries

Foreign Ownership, Stock Performance-Risk, and Macroeconomic Factors in Asean Countries

Informed options trading around holidays

How does liberalization affect emerging stock markets? Theories and empirical evidence

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