新兴市场外国投资者行为分析:来自卡塔尔股市的证据

Elsayed Elsiefy, Moustafa Ahmed AbdElaal
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引用次数: 1

摘要

本文考察了外国投资者资金流入国内股市的影响。我们调查了外国投资者是否只是牧民,还是他们也有能力推动市场上下波动。为了回答这个问题,我们将投资者类型作为一个独立因素纳入Hamilton(1989)使用的马尔可夫转换模型中,以检验牛市和熊市期间外国投资者的不对称效应。卡塔尔股票市场的实证结果表明,境外机构交易者在市场中只是羊群行为,不能发挥做市商的作用。我们还发现,无论是外国投资者还是国内投资者,都没有能力改变市场机制。研究了不同投资者类型之间的时变关系。我们的研究表明,尽管投资者类别与市场的相关矩阵是时变的,但在市场的牛市(熊市)状态中,外国机构交易者仍然是市场的领导者。最后,我们提出了一些程序,以尽量减少外国投资者的不良交易的危害。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Analyzing Foreign Investors Behavior in the Emerging Stock Market: Evidence from Qatar Stock Market
This paper examines the effect of the foreign investors fund flow into the domestic stock market. We investigated whether foreign investors are only herders or if they have also the ability to push the market up and down. To answer this question, we include investors’ types as an independent factor in Markov-Switching Model used by Hamilton (1989) to examine the asymmetric effect of the foreign investors during the bull and bear states. Empirical results from Qatar Stock Market suggested that foreign institutional traders are only herding in the market and they cannot play the role of the market maker. We have also found that neither foreign investors nor domestic investors have the ability to switch the regime of the market. The time-varying relationship between the various investors’ types has been investigated. We reported that, although the correlation matrixes of the investors’ categories with the market are time-varying, the foreign institutional trader is still the leader of the market during the bull (bear) states of the market. Finally, we proposed some procedures to minimize the harmful of the foreign investors bad trading.
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