Do Foreigners Facilitate Information Transmission in Emerging Markets?

• DOI: 10.2139/ssrn.965918
• Publication Date: 2011-12-28T17:07:22Z
• Authors: Kee-Hong Bae; Arzu Ozoguz; Hongping Tan; Tony S. Wirjanto
• Keywords: Stock (firearms); Price discovery; Proxy (statistics); Information transmission

Using the degree of accessibility foreign investors to emerging stock markets, or investibility, as a proxy for extent investments, we assess whether investibility has significant influence on diffusion global market information across stocks in markets. We show that greater reduces price delay where is measured proportion returns explained by lagged world regression contemporaneous and local returns. also find highly investible lead those non-investible because they incorporate more quickly. These results are consistent with idea financial liberalization form yields informationally efficient prices