RDP 2004-05: Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets Equation (1)

f_{i, t} = a_{i, 0} + a_{i 1} f_{i, t - 1} + \dots + a_{i 5} f_{i, t - 5} + a_{i 6} r_{i, t} + a_{i 7} x_{t - 1} + \dots + a_{i 11} x_{t - 5} + ε_{i t}