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Foreign Trades from Tax Havens on the KOSDAQ

Author

Yang C.W.

Journal Title

Korean Journal of Financial Studies

Publication Year

2020

Topics

#Portfolio
#Regression analysis
#Stock market

Summary

This study verifies whether foreign trades from tax havens have significant stock return predictability using KOSDAQ market data. The analysis reveals that a portfolio based on net purchases yields a significant daily return of 0.61% (13.42% monthly), and tax haven net purchases significantly predict the next day’s stock return.

Journal Influence

[Korean Journal of Financial Studies]