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

Bekaert G, CR Harvey and RL Lumsdaine (2002), ‘The dynamics of emerging market equity flows,’ Journal of International Money and Finance, 21(3), pp 295–350.

Bohn H and LL Tesar (1996), ‘U.S. equity investment in foreign markets: portfolio rebalancing or return chasing?’, American Economic Review, 86(2), pp 77–81.

Bonser-Neal C, SL Jones, D Linnan and R Neal (2002), ‘Herding, feedback trading and foreign investors,’ unpublished working paper, Indiana University.

Borensztein E and RG Gelos (2003), ‘A panic-prone pack? The behavior of emerging market mutual funds,’ IMF Staff Papers, 50(1), pp 43–63.

Brennan MJ and HH Cao (1997), ‘International portfolio investment flows,’ Journal of Finance, 52(5), pp 1851–1880.

Brown SJ, WN Goetzmann, T Hiraki, N Shiraishi and M Watanabe (2003), ‘Investor sentiment in Japanese and U.S. daily mutual fund flows,’ NBER Working Paper No 9470.

Boyer B and L Zheng (2003), ‘Who moves the market? A study of stock prices and investment cashflows,’ unpublished working paper, University of Michigan.

Calvo G, L Leiderman and C Reinhart (1993), ‘Capital inflows and real exchange rate appreciation in Latin America: the role of external factors,’ IMF Staff Papers, 40(1), pp 108–151.

Chakrabarti R, VW Huang, N Jayaraman and J Lee (2002), ‘The “index effect” on stock prices and trading volumes: international evidence,’ Georgia Tech Center for International Business Education and Research Working Paper No 02/03-011.

Choe H, B-C Kho and RM Stulz (2004), ‘Do domestic investors have an edge? The trading experience of foreign investors in Korea’, NBER Working Paper No 10502.

Clark J and E Berko (1997), ‘Foreign investment fluctuations and emerging market stock returns: the case of Mexico,’ Federal Reserve Bank of New York Staff Reports No 24.

Dahlquist M and G Robertsson (2004), ‘A note on foreigners’ trading and price effects across firms,' Journal of Banking and Finance, 28(3), pp 615–632.

Dvořák T (2003), ‘Do domestic investors have an information advantage? Evidence from Indonesia,’ working paper, Union College, forthcoming in Journal of Finance.

Edelen RM and JB Warner (2001), ‘Aggregate price effects of institutional trading: a study of mutual fund flow and market returns,’ Journal of Financial Economics, 59(2), pp 195–220.

Evans MD and RK Lyons (2003), ‘How is macro news transmitted to exchange rates?’, NBER Working Paper No 9433.

Froot KA, PGJ O'Connell and MS Seasholes (2001), ‘The portfolio flows of international investors’, Journal of Financial Economics, 59(2), pp 151–193.

Goetzmann WN and M Massa (2003), ‘Index funds and stock market growth,’ Journal of Business, 76(1), pp 1–28.

Griffin JM, JH Harris and S Topaloglu (2003), ‘The dynamics of institutional and individual trading,’ Journal of Finance, 58(6), pp 2285–2320.

Griffin JM, F Nardari and RM Stulz (2003), ‘Daily cross-border equity flows: pushed or pulled?’, European Finance Association 2003 Annual Conference Paper No. 893, forthcoming in Review of Economics and Statistics.

Grinblatt M and M Keloharju (2000), ‘The investment behaviour and performance of various investor types: a study of Finland's unique data set,’ Journal of Financial Economics, 55(1), pp 43–67.

Grinblatt M, S Titman and R Wermers (1995), ‘Momentum investment strategies, portfolio performance, and herding: a study of mutual fund behavior,’ American Economic Review, 85(5), pp 1088–1105.

Hasbrouck J (1991), ‘Measuring the information content of stock trades,’ Journal of Finance, 46(1), pp 179–207.

Jackson A (2003), ‘The aggregate behaviour of individual investors,’ unpublished working paper, London Business School.

Karolyi GA (2002), ‘Did the Asian financial crisis scare foreign investors out of Japan?’, Pacific-Basin Finance Journal, 10(4), pp 411–442.

Kaul A, V Mehrotra and R Morck (2000), ‘Demand curves for stocks do slope down: new evidence from an index weights adjustment,’ Journal of Finance, 55(2), pp 893–912.

Linnainmaa J (2003), ‘Who makes the limit order book? Implications for contrarian strategies, attention-grabbing hypothesis, and the disposition effect,’ unpublished working paper, University of California, Los Angeles.

Lyons RK (2001), The Microstructure Approach to Exchange Rates, MIT Press, Cambridge, Massachusetts.

Park KS, E Lee and H Jang (2003), ‘Investors’ choice between limit and market orders in the Korean stock market' Korean Journal of Finance (in Korean), 16(1), pp 1–44.

Seasholes MS (2001), ‘Smart foreign traders in emerging markets,’ unpublished working paper, University of California, Berkeley.

Shleifer A (1986), ‘Do demand curves for stocks slope down?’, Journal of Finance, 41(3), pp 579–590.

Stulz RM (1999), ‘Globalization of equity markets and the cost of capital,’ Ohio State University Dice Center Working Paper No 99-1.

Warther VA (1995), ‘Aggregate mutual fund flows and security returns,’ Journal of Financial Economics, 39(2/3), pp 209–235.