Purpose – The purpose of this paper is twofold; first, to understand the long-run dynamics between returns, valuation measures and foreign investment in the USA; second, to determine if these dynamics change following financial market upheaval. Design/methodology/approach – To address long-run...

Purpose – The purpose of this paper is to dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines. Design/methodology/approach – Using a parsimonious SVARX-GARCH model and unique daily equity flow data, this research models the...

Purpose – The purpose of this paper is twofold; first, to understand the long‐run dynamics between returns, valuation measures and foreign investment in the USA; second, to determine if these dynamics change following financial market upheaval. Design/methodology/approach – To address...

Purpose – The purpose of this paper is to dissect the dynamic linkages between foreign equity flows, exchange rates and equity returns in the Philippines. Design/methodology/approach – Using a parsimonious SVARX‐GARCH model and unique daily equity flow data, this research models the...