Do Sovereign Wealth Funds Stabilize Stock Markets?
Posted: 9 Jun 2013 Last revised: 29 Dec 2018
Date Written: August 30, 2013
Sovereign Wealth Funds’ foreign investments play a pivotal role in the stabilization of international stock markets during the recent financial crisis. Using a tail risk measure, we find that SWF investments generally lead to destabilizing effects on the stock markets, however, SWFs with saving objective provides a stabilising impact especially in the crisis period. Also, it is found that SWFs act as a liquidity provider in stock markets.
Keywords: Sovereign wealth fund, Tail risk, Marginal expected shortfall, Liquidity effect
JEL Classification: G14, G15, G18, G30
Suggested Citation: Suggested Citation
In, Francis Haeuck and Park, Raphael Jonghyeon and Lee, Bong Soo, Do Sovereign Wealth Funds Stabilize Stock Markets? (August 30, 2013). Available at SSRN: https://ssrn.com/abstract=2276625 or http://dx.doi.org/10.2139/ssrn.2276625
Do you have a job opening that you would like to promote on SSRN?
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.