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

Numan Ülkü and Enzo Weber

Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies)

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 col-lected 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 an additional driver of foreign flows after controlling for global developed market returns. Foreigners do negative (positive)-feedback-trade with respect to local returns at the monthly (daily) frequency. SCC methodology shows that the standard assumption in the literature, that flows cause returns contemporaneously but not vice versa, is not justified, even at the daily fre-quency, making price impact estimates reported in previous literature questionable

Pages: 44
Date: 2011-01
New Economics Papers: this item is included in nep-cis, nep-ifn and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.oei-dokumente.de/publikationen/wp/wp-294.pdf (application/pdf)

Related works:
Working Paper: Bigger Fish in Small Pond: The Interaction between Foreigners’ Trading and Emerging Stock Market Returns under the Microscope (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ost:wpaper:294

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies) Contact information at EDIRC.
Bibliographic data for series maintained by Kseniia Gatskova ( this e-mail address is bad, please contact ).