CEU Electronic Theses and Dissertations, 2011
| Author | Gabor, Eniko |
|---|---|
| Title | THE INTERACTION BETWEEN FOREIGN FLOWS AND EMERGING MARKET STOCK RETURNS: THE CASE OF HUNGARY, TURKEY, AND POLAND |
| Summary | 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 (i.e. selling winning positions after markets rise) 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. Foreigners’ net purchases increase after an unexpected shock in developed market returns and emerging market returns, but decrease after a rise in credit spread and country risk rating. The latter effect is insignificant in Poland. My findings imply that foreign investors have a sophisticated response to available information. |
| Supervisor | Kondor Peter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2011/gabor_eniko.pdf |
Visit the CEU Library.
© 2007-2021, Central European University