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Foreigners Trading and Price Effects Across Firms

Dahlquist, Magnus; Robertsson, Göran - C.E.P.R. Discussion Papers - 2001

We study the investment behaviour of foreign investors in association with an equity market liberalization, and find a strong link between foreigners' trading and local market returns. In the period following the liberalization, foreigners' net purchases led to a permanent increase in prices, or...

Persistent link: https://www.econbiz.de/10005114153

Foreigners’ trading and stock returns in Spain

Porras, Eva; Ülkü, Numan - In: Journal of International Financial Markets, … 34 (2015) C, pp. 111-126

Using monthly foreign flows data from Madrid Stock Exchange, we analyze the interaction between foreigners’ trading and stock returns, both marketwide and on individual stocks. We show that global risk appetite has a significant role in driving marketwide foreign investor flows. Our data of...

Persistent link: https://www.econbiz.de/10011189481

Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?

Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104

of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia … find very high value and size premiums and strong synergy effects between value and momentum strategies. However, the …, only the value premium survives. The size and momentum effects get obliterated. …

Persistent link: https://www.econbiz.de/10011147544

HERDING MOMENTUM EFFECT AND FEEDBACK TRADING OF QUALIFIED FOREIGN INSTITUTIONAL INVESTORS IN THE TAIWAN STOCK MARKET

Lu, Yang-Cheng; Wong, Jehn-Yih; Fang, Hao - In: The International Journal of Business and Finance Research 3 (2009) 2, pp. 147-167

This study extends the herding measures proposed by Warmers (1999), Lakonishok, Shleifer and Vishny (1992) and Borensztein and Gaston (2003) for stocks overbought and oversold by institutional investors as well as the information content related to institutional herding proposed by Nofsinger and...

Persistent link: https://www.econbiz.de/10011206147

Foreign fund flows and equity prices during the Covid-19 pandemic: Evidence from India

Acharya, Viral V.; Anshuman, V. Ravi; Kiran Kumar, K. - 2022

We study the period of the COVID-19 pandemic to assess the impact of foreign institutional investor (FII) flows on asset prices in an emerging market. Using a dataset of stock-level foreign fund flows of Indian equities, we show that stocks experiencing abnormally high innovations in foreign...

Persistent link: https://www.econbiz.de/10013472142

Foreign fund flows and equity prices during the Covid-19 pandemic : evidence from India

Acharya, Viral V.; Anshuman, V. Ravi; Kiran Kumar, K. - 2022

Persistent link: https://www.econbiz.de/10013334977

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial Innovation 7 (2021) 1, pp. 1-25

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...

Persistent link: https://www.econbiz.de/10012602932

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012594935

Are short sellers positive feedback traders? Evidence from the global financial crisis

Bohl, Martin T.; Klein, Arne C.; Siklos, Pierre L. - In: Journal of Financial Stability 9 (2013) 3, pp. 337-346

Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...

Persistent link: https://www.econbiz.de/10010735831

Generalized Momentum Asset Allocation Model

Arendarski, Piotr; Misiewicz, Paweł; Nowak, Mariusz; … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2014

In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct …

Persistent link: https://www.econbiz.de/10011114847

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