We construct a direct measure of U.S. based foreign sentiment using flow shifts between U.S. and international mutual funds. Foreign sentiment predicts return reversals in international markets, while local sentiments predict reversals in local markets. Exploring this segmentation, we find that...

Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors, although the long-term benefits of this strategy remain unclear. This study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,...

The aim of this paper is to analyze the influence of the Qualified Foreign Institutional Investors (QFII) scheme announcement on the Chinese A- and B-share markets, using an event study method with the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process. The results...

We investigate the relationship between media negativity on foreign countries and flows to country-specific international mutual funds in the US. We find that the media negativity together with the media attention given to a foreign country is negatively correlated with the flows to...

This paper investigates the impact of foreign institutional investors on valuation, liquidity and volatility in Saudi stock exchange for the pre- and post-period from November 10, 2014 to June 12, 2015 and from June 15, 2015 to January 22, 2016 respectively, utilizing daily market trade data....

This article contributes to the asset pricing literature by offering an alternative missing factor: the excess holdings of foreign investors. To incorporate this factor, we mimic the portfolio of foreign investors in Borsa Istanbul (BIST) with respect to portfolio preferences (foreign ownership)...

This paper examines whether foreign investor heterogeneity plays a role in stock liquidity on a sample of 27,976 firms from 39 countries. Results show that foreign direct ownership is negatively, while foreign portfolio ownership is positively, associated with various measures of stock...

This study evaluates the response of stock market volatility to foreign equity investments. Specifically, the study examines how foreign portfolio investment and foreign direct equity investment influence stock market volatility in Nigeria, using monthly data from January 2007 to July 2017....

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

This paper examines unique cultural features associated with the Japanese calendar known as rokuyo, which classifies days into six categories of varying levels of favorable/unfavorable sentiment days. Prior to the internationalization of Japanese financial markets in the early 1980s, rokuyo has...