Faff, Robert W.; Hillier, David; McKenzie, Michael D. - In: Review of Pacific Basin Financial Markets and Policies … 08 (2005) 03, pp. 467-499
We extend the feedback trader model by including a cross-market feedback trader. Our analysis of eighteen emerging markets suggests that there exists both positive and negative feedback traders in the markets and their activity is related to stock index return volatility. For cross-market...