Title: The Changing Role of Foreign Investors in Tokyo Stock Price Formation
Abstract: Recent research suggests that foreign investors improve the informational efficiency of nationalstock markets. We examine how foreign investors contribute to efficiency. We model the influenceof domestic and foreign investors’ trades on the efficient price of Japanese stocks over 39 years. Our results show that foreign investors trade at an information advantage over domestic investors, and this advantage has increased since around 2000. We find this is due to a substantial increase in the importance of global stock price and exchange rate information in stock price formation. Our results suggest that foreign investors have made more use of global information in trading Japanese equities as the influence of international financial factors on the domestic market has increased over recent decades.
Publication Year: 2021
Publication Date: 2021-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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