Pacific-Basin Finance Journal·Volume 39, September 2016, Pages 178–196

政治沖突與外國證券投資：來自朝鮮攻擊的證據

作者：Jeffrey R. Gerlacha, Youngsuk Yookb

摘要：圍繞着1999年到2010年之間的13起朝鮮軍事攻擊，我們考察了外國投資者對不斷升級的政治沖突的反應和政治沖突對韓國股票市場的影響。我們利用境内機構和境内個人作為基準，評估了外國投資者的交易行為和表現。在軍事襲擊之後，外國投資者增持了韓國股票并且買入了更多的風險股票。收益結果顯示，外國投資者能保持他們在軍事襲擊前的收益水平，而占國内交易絕大部分的國内個人投資者，他們的收益表現更差。此外，國内機構能提升他們的收益水平。總的來說，這個結果是與基于國際多樣化的益處這一預測一緻的。不像國内個人投資者，在政治沖突中，外國投資者會比平常交易更多的股票，并且與他們的正反饋交易的總體戰略偏離。

關鍵詞：政治沖突，國際股權投資，朝鮮攻擊

Political conflict and foreign portfolio investment: Evidence from North Korean attacks

Jeffrey R. Gerlacha, Youngsuk Yookb

ABSTRACT

We examine the response of foreign investors to escalating political conflict and its impact on the South Korean stock market surrounding 13 North Korean military attacks between 1999 and 2010. Using domestic institutions and domestic individuals as benchmarks, we evaluate the trading behavior and performance of foreign investors. Following attacks, foreigners increase their holdings of Korean stocks and buy more shares of risky stocks. Performance results show foreigners maintain their pre-attack level of performance while domestic individuals, who make the overwhelming majority of domestic trades, perform worse. In addition, domestic institutions improve their performance. Overall, the results are consistent with the predictions based on the benefits of international diversification. Unlike domestic individuals, foreigners trade more shares than usual and deviate from their general strategy of positive feedback trading.

Keywords: Political conflict, International equity investment, North Korean attacks

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927538X16300543

翻譯：何杉