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КНИЖНЫЙ МИР

Foreign Flows and Emerging Market Stock Returns   Eniko Gabor

Foreign Flows and Emerging Market Stock Returns

88 страниц. 2012 год.
LAP Lambert Academic Publishing
Using monthly data on foreign investors’ net equity purchases in Hungary, Turkey and Poland, further, daily data in Turkey, and employing Granger causality tests and structural vector autoregression, I examine the interaction between foreign flows and domestic stock returns. I find evidence for temporary price pressure effect in Poland. Further, I find that at the monthly horizon foreign investors tend to engage in negative feedback trading with respect to local currency denominated returns. This effect is much weaker if foreign currency returns are used. On the contrary to results at the monthly horizon, SVAR impulse response functions suggest strong positive feedback trading in Turkey at the daily horizon. I also show that in addition to developed market returns, individual country risk rating, investors’ risk averseness and global emerging market returns significantly affect net foreign flows towards emerging European stock markets. My findings imply that foreign investors have a...
 
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