Behavior of Foreign Investors in the Malaysian Stock Market in Times of Crisis: a Nonlinear Approach

dc.authorscopusid 23978235900
dc.authorscopusid 56495457700
dc.authorwosid Iren, Perihan/ABC-1519-2020
dc.contributor.author Omay, Tolga
dc.contributor.author Iren, Perihan
dc.contributor.other Economics
dc.date.accessioned 2024-07-05T15:28:19Z
dc.date.available 2024-07-05T15:28:19Z
dc.date.issued 2019
dc.department Atılım University en_US
dc.department-temp [Omay, Tolga] Atilim Univ, Ankara, Turkey; [Iren, Perihan] Zayed Univ, Dubai, U Arab Emirates en_US
dc.description.abstract This study investigates the response to crisis of foreign investors versus domestic investors in the Malaysian stock market. The econometric-modeling involves a nonlinear approach which allows for investor responses to differ in up and down markets. Specifically, the smooth-transition autoregressive (STAR-STGARCH) family of models and generalized impulse response function (GIRF) analysis are employed. The 1997 Asian Crisis is analyzed using daily data for the period 1995-2003, and the 2008 Global Financial Crisis for a period extended to 2015 with allowance for structural breaks. The results indicate that foreign investors exhibited herding behavior during the Asian Crisis and responded to the shock more quickly than domestic investors, but that foreigners did not act differently from their domestic counterparts during the Global Financial Crisis. These findings suggest that even as foreign capital flows may be desirable for economic growth, they can be unstable and may increase volatility during crises that are locally rooted. (C) 2018 Elsevier Inc. All rights reserved. en_US
dc.identifier.citationcount 17
dc.identifier.doi 10.1016/j.asieco.2018.11.002
dc.identifier.endpage 100 en_US
dc.identifier.issn 1049-0078
dc.identifier.issn 1873-7927
dc.identifier.scopus 2-s2.0-85058696754
dc.identifier.scopusquality Q2
dc.identifier.startpage 85 en_US
dc.identifier.uri https://doi.org/10.1016/j.asieco.2018.11.002
dc.identifier.uri https://hdl.handle.net/20.500.14411/2775
dc.identifier.volume 60 en_US
dc.identifier.wos WOS:000458766700006
dc.identifier.wosquality Q2
dc.institutionauthor Omay, Tolga
dc.language.iso en en_US
dc.publisher Elsevier Science Bv en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 24
dc.subject STAR-STGARCH en_US
dc.subject Generalized impulse response function en_US
dc.subject 1997 Asian crisis en_US
dc.subject 2008 global financial crisis en_US
dc.subject Malaysian stock exchange en_US
dc.subject Foreign investors en_US
dc.title Behavior of Foreign Investors in the Malaysian Stock Market in Times of Crisis: a Nonlinear Approach en_US
dc.type Article en_US
dc.wos.citedbyCount 16
dspace.entity.type Publication
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