{"id":860,"date":"2016-01-18T17:11:02","date_gmt":"2016-01-18T08:11:02","guid":{"rendered":"http:\/\/www.waseda.jp\/inst\/wias\/?p=860"},"modified":"2016-12-14T17:11:19","modified_gmt":"2016-12-14T08:11:19","slug":"%e9%ab%98%e7%ad%89%e7%a0%94%e7%a9%b6%e6%89%80%e3%82%bb%e3%83%9f%e3%83%8a%e3%83%bc%e3%82%b7%e3%83%aa%e3%83%bc%e3%82%ba%e3%80%90%e6%94%bf%e6%b2%bb%e3%83%bb%e7%b5%8c%e6%b8%88%e3%83%bb%e6%b3%95%e3%81%ae-2","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/inst\/wias\/news\/2016\/01\/18\/860\/","title":{"rendered":"\u9ad8\u7b49\u7814\u7a76\u6240\u30bb\u30df\u30ca\u30fc\u30b7\u30ea\u30fc\u30ba\u3010\u653f\u6cbb\u30fb\u7d4c\u6e08\u30fb\u6cd5\u306e\u8a08\u91cf\u5206\u6790\u3011
Waseda Organizational and Financial Economics Seminar “Hot Money and Cross-Section of Stock Returns during the Global Financial Crisis”
Daehwan Kim\uff08Professor, Department of Economics, Konkuk University, Korea\uff09"},"content":{"rendered":"

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\nWaseda Organizational and Financial Economics Seminar Hot Money and Cross-Section of Stock Returns during the Global Financial Crisis<\/h3>\n\n\n\n\n\n\n\n\n\n\n
\u8b1b\u6f14\u8005<\/th>\nDaehwan Kim \u6c0f
\n(Professor, Department of Economics, Konkuk University, Korea)
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\u65e5\u3000\u6642<\/th>\n2016\u5e741\u670818\u65e5\uff08\u6708\uff09\u300013:00\uff5e14:30<\/td>\n<\/tr>\n
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\u4e3b\u3000\u65e8<\/th>\nLiterature 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 \u201chot money\u201d on individual stocks within an emerging country. We identify hot money through foreigners\u2019 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\u2019 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.<\/td>\n<\/tr>\n
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\u9ad8\u7b49\u7814\u7a76\u6240\u30bb\u30df\u30ca\u30fc\u30b7\u30ea\u30fc\u30ba\u3010\u653f\u6cbb\u30fb\u7d4c\u6e08\u30fb\u6cd5\u306e\u8a08\u91cf\u5206\u6790\u3011 Waseda Organizational and Financial Economics Seminar Hot Money and Cross-Section […]<\/p>\n","protected":false},"author":1,"featured_media":2762,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[1],"tags":[24,26,28],"class_list":["post-860","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news","tag-events","tag-general","tag-research","lang-ja"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/860","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/comments?post=860"}],"version-history":[{"count":6,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/860\/revisions"}],"predecessor-version":[{"id":2569,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/860\/revisions\/2569"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media\/2762"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media?parent=860"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/categories?post=860"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/tags?post=860"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}