Foreign speculators and emerging equity markets

Published

Journal Article

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.

Full Text

Cited Authors

  • Bekaert, G; Harvey, CR

Published Date

  • January 1, 2000

Published In

Volume / Issue

  • 55 / 2

Start / End Page

  • 565 - 613

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/0022-1082.00220

Citation Source

  • Scopus