International equity flows and developing markets: The asian financial market crisis revisited

Journal of International Financial Markets, Institutions and Money

Volumn 14, Issue 1, 2004, Pages 55-73

  Lin, Anchor Y ^a   Swanson, Peggy E ^b  

^a NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^b UNIVERSITY OF TEXAS AT ARLINGTON   (United States)

Author keywords

Asian markets; Crises; Equity flows; Feedback trading; Information dissemination; Market liberalization

Indexed keywords

EID: 0344468265     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(03)00044-1     Document Type: Article

References (31)

1. Bollerslev T. Chou R. Kroner K. ARCH modeling in finance: a review of the theory and empirical evidence Journal of Econometrics 52 1992 5-59
2. Cha B. Oh S. The relationship between developed equity markets and the pacific basin's emerging equity markets International Review of Economics and Finance 9 2000 299-322
3. Corsetti G. Pesenti P. Roubini N. 2001 The role of large players in currency crises. NBER working paper no. W8303.
4. Coval J.A. Moskowitz T.J. Home bias at home: local equity preference in domestic portfolios Journal of Finance 54 1999 2045-2073
5. Dann L.Y. Mayers D. Raab R.J. Trading rules, large block trades and the speed of price adjustment Journal of Financial Economics 4 1977 3-22
6. French K.R. Roll R. Stock return variances: the arrival of information and the reaction of traders Journal of Financial Economics 17 1986 5-26
7. Froot K. Ramadorai T. 2001 The information content of international portfolio flows. NBER working paper no. W8472.
8. Froot K. O'Connell P. Seasholes M.S. The portfolio flows of international investors Journal of Financial Economics 59 2001 151-193
9. Glassman D.A. Riddick L. What causes home asset bias and how should it be measured? Journal of Empirical Finance 8 2001 35-54
10. Glosten L.R. Jaganathan R. Runkle D.E. On the relation between the expected value and the volatility of the nominal excess return on stocks Journal of Finance 48 1993 1779-1801
11. Hamao Y. Mei J. Living with the "Enemy": an analysis of foreign investment in Japanese equity market Journal of International Money and Finance 20 2001 715-735
12. Harris L. Gurel E. Price and volume effects associated with change in the S&P 500 list: new evidence for the existence of price pressures Journal of Finance 41 1986 815-829
13. Harvey C.R. Huang R.D. Volatility in the foreign currency futures market Review of Financial Studies 4 1991 543-569
14. Hoffman D.L. Two-step generalized least squares estimators in multi-equation generated regressor models The Review of Economics and Statistics 69 1987 336-346
15. Jegadeesh N. Titman S. Profitability of momentum strategies: an evaluation of alternative explanations Journal of Finance 56 2001 699-720
16. Kaminsky G.L. Reinhart C.M. 2001 Financial markets in times of stress. NBER working paper no. 8569.
17. Kaminsky and Schmukler 1999 What triggers market jitters? Journal of International Money and Finance 18, 537-560.
18. Kim E.H. Singal V. Are open markets good for foreign investors and emerging nations? Journal of Applied Corporate Finance 10 1997 18-33
19. Kraus A. Stoll H.R. Price impacts of block trading on the New York Stock Exchange Journal of Finance 27 1972 569-588
20. Markowitz H. Portfolio selection Journal of Finance 7 1952 77-91
21. Merton R.C. On estimating the expected return on the market: an exploratory investigation Journal of Financial Economics 8 1980 323-361
22. Nagayasu J. Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand Journal of Asian Economics 12 2001 529-546
23. Nelson D.B. Conditional heteroskedasticity in asset returns: a new approach Econometrica 59 1991 347-370
24. Officer R.R. The variability of the market factor of the New York Stock Exchange Journal of Business 46 1973 434-453
25. Perold A.F. Sharpe W.F. 1988 Dynamic strategies for asset allocation, Financial Analysts Journal, January-February, pp. 16-27.
26. Richards A.J. Volatility and predictability in national stocks markets: how do emerging and mature markets differ? International Monetary Fund Staff Papers 43 1996 461-501
27. Sarno L. Tayor M.P. Moral hazard, asset price bubbles, capital flows, and the East Asian crisis: the first test Journal of International Money and Finance 18 1999 637-657
28. Shleifer A. 2000 Professional Arbitrage in Inefficient Markets: an Introduction to Behavioral Finance, Oxford University Press, Oxford. pp. 89-111.
29. Swanson P.E. 2001 A dual approach to measuring equity market interrelationships. Working Paper, University of Texas at Arlington.
30. Stulz R.M. 1999 International Portfolio Flows and Security Markets, In: Martin Feldstein (Ed.), International Capital Flows, University of Chicago Press, Chicago, pp. 257-293.
31. Warther V.A. Aggregate mutual fund flows and security returns Journal of Financial Economics 39 1995 209-235