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dc.contributor.authorÜlkü, Numanen_US
dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2011-02-03en_US
dc.date.accessioned2012-05-09T10:02:37Z-
dc.date.available2012-05-09T10:02:37Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-938980-44-6en_US
dc.identifier.urihttp://hdl.handle.net/10419/57798-
dc.description.abstractThis 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 collected 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 frequency, making price impact estimates reported in previous literature questionable.en_US
dc.language.isoengen_US
dc.publisherOsteuropa-Inst. Regensburgen_US
dc.relation.ispartofseriesArbeiten aus dem Osteuropa-Institut Regensburg, Arbeitsbereich Wirtschaft, Migration und Integration 294en_US
dc.subject.jelG15en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordForeign investors' trading in emerging stock marketsen_US
dc.subject.keywordfeedback tradingen_US
dc.subject.keywordprice impacten_US
dc.subject.keywordstructural VARen_US
dc.subject.keywordstructural conditional correlationen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwPortfolio-Investitionen_US
dc.subject.stwKapitalimporten_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwSchätzungen_US
dc.subject.stwTürkeien_US
dc.subject.stwSüdkoreaen_US
dc.subject.stwTaiwanen_US
dc.titleBigger fish in small pond: The interaction between foreigners' trading and emerging stock market returns under the microscopeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn64517131Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Osteuropa-Institut Regensburg / München (OEI)

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