文章基本信息

标题：Analyzing Foreign Investors Behavior in the Emerging Stock Market: Evidence from Qatar Stock Market
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作者：Elsayed Elsiefy ; Elsayed Elsiefy ; Moustafa Ahmed AbdElaal 等
期刊名称：Accounting and Finance Research
印刷版ISSN：1927-5986
电子版ISSN：1927-5994
出版年度：2017
卷号：6
期号：4
页码：197-216
DOI：10.5430/afr.v6n4p197
语种：English
出版社：Sciedu Press
摘要：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.
关键词：Foreign Investors Behavior;Stock Market;Bull Market;Bear Market. Qatar Stock Market;Herd behavior;Time-varying correlation matrixes;Switching in Regime