This paper takes a perspective from foreign exchange (FX) to investigate the daily trading behavior and price impact of foreign investors in six Asian emerging equity markets over the past two decades. It exploits the unsolved interrelationship between capital flows and equity returns, and it...

This paper investigates the relative importance of hot money in bank credit and portfolio flows from the US to 18 emerging markets over the period 1988-2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The...