Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 10, 2020 erstellt
Description:
This study examines the dynamic relationships among foreign investors' trading behavior, stock returns, and sovereign CDS spread changes in Korea. Our findings show that the stock return (CDS spread change) rises (declines) in response to shocks to net foreign flows into the stock market on the same day. Further, foreigners buy stocks more intensely one day after an increase in the stock return, but they do not respond to CDS spread changes. We find that individuals trade in the opposite direction of foreigners in response to shocks to both stock returns and CDS spread changes on the same day. Our results reveal that positive net stock purchases of institutions (individuals) predict positive (negative) stock returns and negative (positive) CDS spread changes next day. We also show that (1) net stock purchases of institutions are negatively associated with lagged stock returns, but not related to CDS spread changes, and that (2) individuals are affected by neither lagged stock returns nor lagged CDS spread changes