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ѱȸ-ں忬_2017 3 м̳ ø
- Do Tax Havens Threaten Financial Stability?
  :Evidence from an Emerging Stock Market-

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Do Tax Havens Threaten Financial Stability? :Evidence from an Emerging Stock Market




   This paper investigates the  impact of tax haven investors on stock returns  using a unique
   proprietary dataset that includes all trades in Korea from 2006 to 2009 with buyer and seller
   identifiers and their country of origin. I find that tax haven investors respond to past returns
   positively, and their reaction to the past return is stronger than that of other foreigners. On
   the other hand, net purchases by tax haven investors result in significant larger price impact
   than those of US as well as Korean institutions. Finally, I directly show that during the US
   subprime mortgage crisis period for 2007~2009, liquidity shocks from US are significantly
   associated with the sales of Korean stocks by tax haven investors,  and these sales in turn
   impact the Korean stock returns. These findings suggest that tax havens may be an impor-
   tant contagion channel,  through which liquidity shocks  from global markets  are  quickly

   transmitted  into emerging markets.


   Keywords: Tax haven; Price impact; Liquidity shock; Financial stability; Korea

2017.   8 

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