The Influence of Foreign Investors on the Japanese Stock Market

January 2020

We investigate the information content of foreign investors’ stock market trades. We analyse a 39 year sample using a consistent set of transactions and returns data. Foreign investors' trades influence the efficient price of Japanese stocks. Their trades have increasingly reflected global stock prices and the exchange rate. Global stock price information since the 2000s and exchange rate since the 2010s.

Keywords: Efficiency; Equities; Foreign investors; Information content of trade; Investor behaviour; Market microstructure

JEL classification: C32; G14; G15

Efficiency Foreign investors Information content of trade Investor behaviour Market microstructure TOPIX Equities Tokyo Stock Exchange Japanese stocks
Clinton Watkins
Professor
Director, Global Business Program

Publications

The changing role of foreign investors in Tokyo stock price formation
Recent research suggests that foreign investors improve the informational efficiency of national stock markets. We examine how foreign …
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The changing role of foreign investors in Tokyo stock price formation

Events

The Changing Role of Foreign Investors in Tokyo Stock Price Formation (WFC)
Recent research suggests that foreign investors improve the informational efficiency of national stock markets. This paper examines …
September 2020 University of Malta (online)
Project
The Changing Role of Foreign Investors in Tokyo Stock Price Formation (NFA)
Recent research suggests that foreign investors improve the informational efficiency of national stock markets. This paper examines …
November 2019 Osaka University, Japan
Project