Abstract
Using transaction-level data and exploiting a credible quasi-natural experiment set-up provided by India's unexpected tax-related policy announcement, we examine the impact of policy-related information uncertainty (PIU) on the trading behaviour of foreign institutional investors (FII). We find that FII reacts quickly and withdraws significant investments during the PIU period. However, the sentiments of the FII turn significantly positive when policymakers eradicate the concerned PIU. The results suggest that policymakers, particularly in capital constraint emerging markets, should be highly conscious of generating PIU if they wish to attract and retain overseas investors.
Original language | English |
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Title of host publication | Proceedings of the 29th Annual Conference of Multinational Finance Society |
Publisher | Multinational Finance Society |
Publication status | Published - 2 Jul 2023 |
Event | 29th Annual Conference of Multinational Finance Society - Paphos, Cyprus Duration: 2 Jul 2023 → 5 Jul 2023 https://www.mfsociety.org/page.php?pageID=32 |
Conference
Conference | 29th Annual Conference of Multinational Finance Society |
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Country/Territory | Cyprus |
City | Paphos |
Period | 2/07/23 → 5/07/23 |
Internet address |
Keywords
- policy–related information uncertainty
- foreign institutional investors
- emerging markets
- transaction level data
- quasi–natural experiment