Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns
Numan Ülkü and
Review of Finance, 2014, vol. 18, issue 4, 1541-1581
We introduce the structural conditional correlation (SCC) methodology to the foreign flows literature to identify the contemporaneous return–flow interaction and provide new evidence using the first daily data from a sizeable European emerging market and comparing to Asian markets. SCC results indicate significant bilateral intraday interaction between net foreign flows and market returns, and the presence of their latent common drivers. Allowing for these effects alters previously uniform results of positive feedback trading for some Asian markets, as well as the price impact estimates. Foreigners display a sluggish response to global information, which cannot be attributed to their information disadvantage.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:oup:revfin:v:18:y:2014:i:4:p:1541-1581.
Ordering information: This journal article can be ordered from
Access Statistics for this article
Review of Finance is currently edited by Josef Zechner and Marco Pagano
More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press () and Christopher F. Baum ().