TY  - JOUR
AU  - Bekaert,Geert
AU  - Harvey,Campbell R.
TI  - Foreign Speculators and Emerging Equity Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6312
PY  - 1997
Y2  - December 1997
UR  - http://www.nber.org/papers/w6312
L1  - http://www.nber.org/papers/w6312.pdf
N1  - Author contact info:
Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
AB  - A number of countries have delayed the opening of their capital markets to international" investment because of reservations about the impact of foreign speculators on both expected" returns and market volatility.  We propose a cross-sectional time-series model that attempts to" assess the impact of market liberalizations, in the form of the offering of depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity markets.  We also examine the impact of capital market" liberalizations on the correlation of emerging equity market returns and the world market return. " Our empirical approach is designed to control for other economic events which might confound" the impact of foreign speculators on local equity markets.  Whatever the empirical specification the cost of capital always decreases after a capital market liberalization but the effect is" economically and statistically weak. The effects on volatility and correlation are less robust."
ER  -