Tax Threat and the Disruptive Market Power of Foreign Portfolio Investors
研究了印度新兴市场在税收政策不确定性期间，外国组合投资者的股票交易行为及其对股市的潜在负面影响，发现投资者会迅速大规模退出市场，且退出后不会以同样速度重新进入。
Abstract We investigate the equity trading behaviour of foreign portfolio investors (FPIs) and the potential stock market implications during a period of tax treatment uncertainty in the Indian emerging market. Theoretical arguments predict that the trading reactions (entry and exit) of FPIs not only depend on the severity and credibility of the tax reforms, but also on FPIs’ ability to harm the host capital market by their actions. FPIs may promptly and materially exit the host capital market in response to tax policy reforms that impose potential additional costs. Economic arguments also posit that these withdrawals may carry significant negative implications for the host stock market. Further, given FPIs’ experience regarding the questionable credibility of the host country's tax reforms and lingering uncertainty on future tax changes, FPIs may not re‐enter the market with the same speed and volume as they exited, once the tax threat has been removed. The findings of our quasi‐experimental setup, exploiting a significant exogenous tax reform and using unique FPIs’ transaction‐level data, are consistent with these theoretical expectations.