Note(s): This table reports the coefficients for Equation (1). The residuals from this regression are the under- or over-investment of foreign investors in securities markets, representing the abnormal foreign investment. The variables are explained in Section 2. The subscript t indicates the current quarter. Standard errors are clustered at the firm-quarter level. t-statistics in the parentheses. ^∗, ^∗∗ and ^∗∗∗ indicate statistical significance at the 10, 5 and 1% levels, respectively

Source(s): Authors' own work