Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7360839 | Journal of Empirical Finance | 2015 | 35 Pages |
Abstract
This paper presents the first comprehensive study of foreigners' trading in European emerging stock markets, using complete data compiled at the destination. We also compare European results to Asia, to which available evidence is mainly confined. The findings provide new insight on foreigners' trading: in addition to rebalancing, risk appetite and global information are global drivers of net foreign flows. Foreigners' negative-feedback-trade with respect to local returns at longer horizons. They do so with an asymmetry: they sell following increases but do not buy following declines. Net foreign flow persistence decreases with local return volatility.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Numan Ãlkü,