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dc.contributor.authorÜlkü, Numanen
dc.contributor.authorWeber, Enzoen
dc.date.accessioned2011-02-03-
dc.date.accessioned2012-05-09T10:02:37Z-
dc.date.available2012-05-09T10:02:37Z-
dc.date.issued2011-
dc.identifier.isbn978-3-938980-44-6en
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
dc.language.isoengen
dc.publisher|aOsteuropa-Institut Regensburg |cRegensburgen
dc.relation.ispartofseries|aArbeiten aus dem Osteuropa-Institut Regensburg |x294en
dc.subject.jelG15en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordForeign investors' trading in emerging stock marketsen
dc.subject.keywordfeedback tradingen
dc.subject.keywordprice impacten
dc.subject.keywordstructural VARen
dc.subject.keywordstructural conditional correlationen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwWertpapierhandelen
dc.subject.stwPortfolio-Investitionen
dc.subject.stwKapitalimporten
dc.subject.stwAufstrebende Märkteen
dc.subject.stwAktienmarkten
dc.subject.stwSchätzungen
dc.subject.stwTürkeien
dc.subject.stwSüdkoreaen
dc.subject.stwTaiwanen
dc.titleBigger fish in small pond: The interaction between foreigners' trading and emerging stock market returns under the microscope-
dc.typeWorking Paperen
dc.identifier.ppn64517131Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ost:wpaper:294en

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