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

政治冲突与外国证券投资：来自朝鲜攻击的证据

作者：Jeffrey R. Gerlacha, Youngsuk Yookb

摘要：围绕着1999年到2010年之间的13起朝鲜军事攻击，我们考察了外国投资者对不断升级的政治冲突的反应和政治冲突对韩国股票市场的影响。我们利用境内机构和境内个人作为基准，评估了外国投资者的交易行为和表现。在军事袭击之后，外国投资者增持了韩国股票并且买入了更多的风险股票。收益结果显示，外国投资者能保持他们在军事袭击前的收益水平，而占国内交易绝大部分的国内个人投资者，他们的收益表现更差。此外，国内机构能提升他们的收益水平。总的来说，这个结果是与基于国际多样化的益处这一预测一致的。不像国内个人投资者，在政治冲突中，外国投资者会比平常交易更多的股票，并且与他们的正反馈交易的总体战略偏离。

关键词：政治冲突，国际股权投资，朝鲜攻击

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

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16300543

翻译：何杉