Foreign Speculators and Emerging Equity Markets
提出一个横截面时间序列模型，评估新兴股票市场自由化对资本成本、波动性、贝塔系数及与世界市场回报相关性的影响，发现自由化后资本成本下降5至75个基点。
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.