An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets

Robert William Faff, David Hillier () and Michael D. McKenzie ()
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David Hillier: Leeds University Business School, Maurice Keyworth Building, The University of Leeds, Leeds LS2 9JT, UK
Michael D. McKenzie: School of Economics and Finance, RMIT University, GPO Box 2476V, Melbourne Victoria 3000, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2005, vol. 08, issue 03, pages 467-499

Abstract: We extend the feedback trader model by including a cross-market feedback trader. Our analysis of eighteen emerging markets suggests that there exists both positive and negative feedback traders in the markets and their activity is related to stock index return volatility. For cross-market feedback traders however, we show that, although cross-market autocorrelation among emerging markets is high and variable, the hypothesized negative relationship between cross-market autocorrelation and volatility is much weaker than its domestic counterpart.

Keywords: Migration hypothesis; informed traders; conditional return autocorrelation; feedback trading (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2005

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