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Bigger Fish in Small Pond: The Interaction between Foreigners’ Trading and Emerging Stock Market Returns under the Microscope

Ülkü, Numan and Weber, Enzo (2011) Bigger Fish in Small Pond: The Interaction between Foreigners’ Trading and Emerging Stock Market Returns under the Microscope. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 451, Working Paper.

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Date of publication of this fulltext: 11 Jan 2011 08:13

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Abstract

This paper provides the first study of foreign investors’ trading in a sizeable European emerging stock market, using a combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional correlation (SCC) methodology to identify the contemporaneous interaction between foreign flows and returns. We show that global emerging market returns are ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:10 January 2011
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Identification Number:
ValueType
RePEc:bay:rdwiwi:18951RePEc Handle
Classification:
NotationType
G15Journal of Economics Literature Classification
C32Journal of Economics Literature Classification
Keywords:Foreign investors' trading in emerging stock markets; feedback trading; price impact; structural VAR; structural conditional correlation
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:18951
Owner only: item control page

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