 Foreign Equity Flows and Market Return Linkages: Evidence of Malaysian Stock MarketRos Zam Zam Sapian and Noor Azryani Auzairy Global Business Review, 2015, vol. 16, issue 5_suppl, 1S-14S Abstract: This study examines the linkages between foreign equity flows and stock market returns of Bursa Malaysia. Specifically this article intends to investigate whether past stock returns influence foreign equity flows or vice versa in a short-term time horizon. To explore the linkages between these two variables, this study employs bivariate vector autoregressive (VAR) model. In addition, to determine the causal relation between stock returns and foreign equity flows, this study utilizes VAR Granger causality test. The findings of this study provide evidence that foreign institutional investors are momentum traders, while foreign retail investors are contrarian traders with regard to the return of Malaysian equity market. Another main finding is that domestic equity returns have an effect on fund flows of foreign retail investors and vice versa; meanwhile, there is a positive causal relation between domestic equity returns and foreign institutional fund flows. Keywords: Foreign equity flows; stock market return; feedback trading strategies; momentum strategy; momentum and contrarian traders; foreign institutional and retail investors; VAR model; emerging stock market; bidirectional relationship; Bursa Malaysia (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sae:globus:v:16:y:2015:i:5_suppl:p:1s-14s Access Statistics for this article More articles in Global Business Review from International Management Institute |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.