Momentum and foreign investors: evidence from the Korean stock market

Jangkoo Kang, Kyung Yoon Kwon, Hyoung-jin Park

Research output: Contribution to journalArticle

Abstract

We examine whether the price impact of foreign investors on the Korean stock market from December 2000 to February 2007 generated a momentum phenomenon. In our empirical results, foreigners seem to have exerted a significantly positive impact on prices in “up” markets (periods of positive stock returns), but have had little impact on prices in “down” markets (periods of negative returns). We document that the impact of foreigners’ trades is concentrated in large companies. Most importantly, when the market is in the up state, the returns of stocks of large companies that were positively affected by
foreign investors in the previous six-month period continue to increase in the subsequent six-month period. As a result, the subsequent six-month return on a past “winner” stock portfolio is significantly higher than that on a past “loser” stock portfolio. This brings to mind a momentum phenomenon that has been reported not to exist in the Korean stock market.
Original languageEnglish
Pages (from-to)131-147
Number of pages17
JournalEmerging Markets Finance and Trade
Volume50
Issue number5
DOIs
Publication statusPublished - 29 Jan 2015

Keywords

  • Korean stock market
  • Momentum
  • foreign investors

Fingerprint Dive into the research topics of 'Momentum and foreign investors: evidence from the Korean stock market'. Together they form a unique fingerprint.

  • Cite this