Big Fish in Small Ponds: the Momentum Investing and Price Impact of Foreign Investors in Asian Emerging Equity Markets
نویسنده
چکیده
Data for the daily net purchases by foreigners in six Asian emerging equity markets over 1999-2001 provide strong evidence of positive-feedback trading with respect to recent domestic, U.S., and regional equity returns. There is also strong contemporaneous correlation between equity returns and net inflows, which appears to primarily reflect price pressures from demand shocks. The estimated price impacts are far larger than earlier estimates for emerging markets, although no larger than U.S. estimates of price impacts. Overall, the results suggest that foreign investors and external conditions have a more significant impact on emerging markets than implied by previous work.
منابع مشابه
Big Fish in Small Ponds: the Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets
This paper analyses data for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners’ flows into several markets show positive-feedback trading with respect to global, as well as domestic, equity returns. In particular, foreigners tend to be buyers in these markets on the day after rises in these markets or in US...
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