亞太區域金融市場之比較、互動與整合(II)--各國金融風暴之成因與對策─亞洲金融風暴與國外機構投資人之行為與影響
Other Title
The Role of Foreign Institutional Investors in Asian Financial Crisis
Date Issued
1999
Date
1999
Author(s)
DOI
882416H002061E24
Abstract
This paper examines flows of foreign mutual funds during the Asian
financial crisis. We compare the patterns of fund flows to changes in the stock
markets and foreign exchange markets of seven countries in the crisis. We find
that stock prices fall and foreign funds flow out before the crashes of exchange rates
in most countries. However, the magnitude of net fund flows are small compare to
the size or transaction volume of the local stock markets, thus the flee of foreign
capital is not likely to be the major cause of the Asian crisis. After the crisis, the
magnitude of fund flows goes down significantly comparing their previous levels.
The correlation between fund flows and local stock market returns are mixed, thus
we can not judge whether local investors posses information advantage over foreign
investors. In addition to the fund flow analyses, we also examine the relation
between the daily prices and net asset values of a Taiwan closed-end fund listed in
the NYSE, using the Granger causality and VAR analyses. The empirical results
indicate that fund prices adjust quickly to changes in NAVs before the crisis. The
speed of adjustments goes down in the crisis period. It seems that American
investors take longer to digest big changes in the Taiwan market.
Subjects
Fund Flow
Asian Financial Crisis
Close-end Fund
Information Advantage
Institutional Investor
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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