| مستخلص: |
Foreign Investors are indeed guilty of destabilizing national financial markets where they are active. This paper analyzes the impact international investors have on the trading stability of financial markets. By calibrating GJR-GARCH models on overlapping, moving windows of daily returns for the German equity index DAX I find strong statistical evidence that a large portion of the asymmetric part of the model can be explained by investor composition. Apparently, increased exposure of international investors results in larger asymmetry in the conditional volatility. This strongly links the foreign investor to increased market volatility during adverse market information inflows. Thus, trading behavior of foreign investor adds destabilizing influences to the financial market |
