Daily Cross-Border Equity Flows: Pushed or Pulled?

John M. Griffin, Federico Nardari and René Stulz

No 9000, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and our empirical analysis show that global stock return performance is an important factor in understanding equity flows.

JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2002-06
Note: AP
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Citations: View citations in EconPapers (21)

Published as Nardari, Federico, John Griffin, and Rene M. Stulz. "Daily Cross-Border Flows: Pushed or Pulled?" Review of Economics and Statistics 86, 3 (2004): 641-657.

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