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

URN to cite this document:
urn:nbn:de:bvb:355-epub-189511
Ülkü, Numan ; Weber, Enzo
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Date of publication of this fulltext: 11 Jan 2011 08:13


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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