Work

Foreign Speculators and Emerging Equity Markets

Year: 2000

Type: article

Abstract: We propose a cross‐sectional time‐series model to assess the impact of market liberalizations in emerging equity markets on the cost of capital, volatility, beta, and correlation with world market returns. Liberalizations are defined by regulatory changes, the introduction of depositary receipts and country funds, and structural breaks in equity capital flows to the emerging markets. We control for other economic events that might confound the impact of foreign speculators on local equity markets. Across a range of specifications, the cost of capital always decreases after a capital market liberalization with the effect varying between 5 and 75 basis points.

Source: The Journal of Finance

DOI: 10.1111/0022-1082.00220

Authors: Geert Bekaert, Campbell R. Harvey

Institutions: University of Southern California, National Bureau of Economic Research, University of California, Los Angeles, Columbia University, Stanford University

Language: English

Topic: Global Financial Crisis and Policies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124437711

FWCI: 108.4

Cites: 57

Cited by: 1,986

Related to: 10