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高等研究所セミナーシリーズ【政治・経済・法の計量分析】
Waseda Organizational and Financial Economics Seminar
Hot Money and Cross-Section of Stock Returns during the Global Financial Crisis

講演者 Daehwan Kim 氏
(Professor, Department of Economics, Konkuk University, Korea)
講演者のプロフィールはこちら PDFファイルを開きます
日 時 2016年1月18日(月) 13:00~14:30
会 場 早稲田大学 早稲田キャンパス11号館11階 1111号室 PDFファイルを開きます
主 旨 Literature in international finance has suggested that short-term capital inflows can make the recipient countries, especially emerging ones where capital flows can be large compared to the size of their domestic financial markets, more vulnerable to subsequent adverse shocks, such as global financial crises. We study such effects of “hot money” on individual stocks within an emerging country. We identify hot money through foreigners’ buying of local stocks right before the onset of the crisis. Thus, our hypothesis is that stocks which are bought more by foreign investors during the pre-financial crisis period will suffer from a stronger selling pressure and experience a sharper decline in the stock price during the crisis. Using data of South Korean stocks, we show results that support the hypothesis; during the Global Financial Crisis of 2007-08, a larger increase in foreign investors’ ownership during the pre-crisis period resulted in a bigger decline in their ownership of the stock, a sharper drop of the stock return, and a higher volatility of the stock. The results are robust after controlling for several firm characteristics and risk factors.
プログラム
13:00
開会の挨拶(宮島英昭 早稲田大学高等研究所 所長/商学学術院 教授)
13:05
講演
14:05
質疑応答
14:25
閉会の挨拶(宮島英昭)
対 象 学部生・大学院生・研究者・教職員 等
主 催 早稲田大学産業経営研究所
早稲田大学高等研究所
申込み 事前申し込み不要です。直接会場にお越しください。

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