공지사항

Foreign Investment in Emerging Markets: International Diversification or Familiarity Bias?
Emerging Markets Finance and Trade
Volume 54, Issue 10, 9 August 2018, Pages 2169-2191
 
Liu, Y.(a)Park, J.L.(b), Sohn, B.(b)
a SHU-UTS SILC Business School, Shanghai University, Shanghai, China
b Korea University Business School, Seongbuk-gu, Seoul, South Korea


Abstract
This study empirically tests whether foreign investors take advantage of international diversification when investing in emerging Asian markets. Using the 2007–2008 financial crisis as identification, we find that firms with higher foreign ownership had better stock returns during the financial crisis. Moreover, the diversification effect exists in five out of the eight emerging markets and is stronger in markets with a lower dynamic conditional correlation with the global market index. We also find that foreign investors prefer firms with a lower international sales ratio. In conclusion, the evidence consistently suggests that foreign investors take advantage of diversification effects. ©, Copyright © Taylor & Francis Group, LLC.



Keywords
emerging markets;
familiarity bias;
financial crisis;
home bias;
international diversification
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