The Dynamics of International Equity Market Expectations
نویسندگان
چکیده
This paper uses a noisy rational expectations model to derive predictions about the dynamic behaviour of the proportion of institutional money managers in a given country who are bullish about the equity market in different countries. The predictions are tested using monthly data for four countries for the period October 1995 to October 2000. The empirical findings are consistent with the hypothesis of informational asymmetries between capital market participants in different countries.
منابع مشابه
Growth Expectations, Capital Flows and International Risk Sharing Growth Expectations, Capital Flows and International Risk Sharing E U R O P E a N C E N T R a L B a N K Contents Non-technical Summary
Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response to shocks. We use a stylised two-bloc...
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