Recent research suggests that foreign investors improve the informational efficiency of national stock markets. We examine how foreign investors contribute to efficiency. We model the influence of domestic and foreign investors' trades on the efficient price of Japanese stocks over 39 years. Our results show that foreign investors trade at an information advantage over domestic investors, and this advantage has increased since around 2000. We find this is due to a substantial increase in the importance of global stock price and exchange rate information in stock price formation. Our results suggest that foreign investors have made more use of global information in trading Japanese equities as the influence of international financial factors on the domestic market has increased over recent decades.

最近的研究表明，外国投资者可以提高国内股票市场的信息效率。我们研究了外国投资者如何提高效率。我们对国内外投资者的交易对39年内日本股票有效价格的影响进行了建模。我们的结果表明，外国投资者的交易具有比国内投资者更高的信息优势，并且这种优势自2000年左右以来有所增加。我们发现，这是由于全球股票价格和汇率信息在股票价格形成中的重要性大大提高所致。我们的结果表明，由于国际金融因素对国内市场的影响在最近几十年中日益增加，因此外国投资者在交易日本股票时更多地利用了全球信息。