Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Suman Neupane , Zhebin Fan , Daniel Yanes Sanchez , Biwesh Neupane
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Abstract

We examine the reaction of different investor categories to the COVID-19 pandemic in the Indian market throughout 2020. Using quarterly ownership data, we find significant differences across various investor categories during the crisis and post-crisis periods. We find that domestic institutional investors (DIIs) exhibit 'flight-to-quality' behavior, foreign institutional investors (FIIs) exhibit 'fire-sale' behavior, and retail investors (RIs) act as informed investors who provide liquidity during the crisis period. We observe conservative behavior from DIIs and FIIs throughout 2020, during which RIs initially increase their holdings in high-risk stocks but move to high-quality stocks in the final quarter of 2020. FIIs contribute the most to lower stock returns and higher volatility during the crisis period. Using daily FII trade-level data, we find that long-term FIIs start buying high-quality stocks before other categories in the post-crisis period, with short-term FIIs driving returns and volatility during the crisis period.

投资者对 COVID-19 大流行病的不同反应:新兴市场的启示
我们研究了 2020 年印度市场不同类别投资者对 COVID-19 大流行的反应。利用季度所有权数据,我们发现不同类别的投资者在危机期间和危机后存在显著差异。我们发现,国内机构投资者(DIIs)表现出 "逃离质量 "行为,外国机构投资者(FIIs)表现出 "火售 "行为,而散户投资者(RIs)则作为知情投资者在危机期间提供流动性。在整个 2020 年,我们观察到 DII 和 FII 的保守行为,在此期间,散户投资者最初增持高风险股票,但在 2020 年最后一个季度转向优质股票。在危机期间,FII 对较低的股票回报率和较高的波动性贡献最大。利用每日 FII 交易层面的数据,我们发现长期 FII 在危机后时期开始先于其他类别购买优质股票,而短期 FII 在危机时期推动了回报率和波动率的上升。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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