Gross capital flows and asymmetric information

Journal of International Money and Finance

Volumn 22, Issue 6, 2003, Pages 835-864

  Dvořák, Tomáš ^a  

^a UNION COLLEGE   (United States)

Author keywords

Asymmetric information; Gross international capital flows; Trading volume

Indexed keywords

EID: 17644440307     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2003.08.007     Document Type: Article

References (23)

1. Brennan M.J. Cao H.H. International portfolio investment flows Journal of Finance 52 5 1997 1851-1880
2. Calvo G.A. Mendoza E. Capital market crises and economic collapse in emerging markets: an information friction approach American Economic Review: Papers and Proceedings 2000a 59-64
3. Calvo G.A. Mendoza E. Rational contagion and globalization of securities markets Journal of International Economics 51 1 2000b 79-113
4. Campbell J.Y. Grossman S.J. Wang J. Trading volume and serial correlation in stock returns Quarterly Journal of Economics 108 4 1993 905-939
5. Choe, H., Kho, C.B., Stulz, R.M., 2000. Do domestic investors have more valuable information about individual stocks than foreign investors? Mimeo.
6. Comiskey E.E. Walkling R.A. Weeks M.A. Dispersion of expectations and trading volume Journal of Business Finance and Accounting 14 2 1987 229-239
7. Copeland T.E. A model of asset trading under the assumption of sequential information arrival Journal of Finance 31 4 1976 1149-1168
8. Dvorak, T., 2002. Do domestic investors have an information advantage? Evidence from Indonesia. Union College Working Paper.
9. Fischer, S., 1998. Reforming the International Monetary System. David Finch Lecture in Melbourne.
10. Frankel, J.A., Schmukler, S., 1996. Country fund discounts, asymmetric information and the Mexican crisis of 1994: did local residents turn pessimistic before international investors? NBER Working Paper #5714.
11. Froot, K.A., Ramadorai, T., 2001. The information content of international portfolio flows. NBER Working Paper #8472.
12. Gennotte G. Leland H. Market liquidity, hedging and crashes American Economic Review 80 5 1990 999-1021
13. Grossman S.J. On the efficiency of competitive stock markets where trades have diverse information Journal of Finance 31 2 1976 573-585
14. Hellwig M.F. On the aggregation of information in competitive markets Journal of Economic Theory 22 3 1980 477-498
15. International Monetary Fund, 1999. World Economic Outlook.
16. Kaufmann, D., Mehrez, G., Schmukler, S., 1999. Predicting currency fluctuations and crises: do resident firms have an informational advantage? Mimeo.
17. Kodres L. Pritsker M. A rational expectations model of financial contagion Journal of Finance 57 2 2002 769-799
18. Portes, R., Rey, H., 1999. The determinants of cross-border equity flows. NBER Working Paper #7736.
19. Seasholes, M.S., 2000. Smart foreign traders in emerging markets. University of California at Berkeley mimeo.
20. Tesar L.L. Werner I.M. International equity transactions and US portfolio choice In: Frankel J. (Ed.), The Internationalization of Equity Markets 1994 NBER University of Chicago Press
21. Tesar L.L. Werner I.M. Home bias and high turnover Journal of International Money and Finance 14 4 1995 467-492
22. Wang J. A model of competitive stock trading volume Journal of Political Economy 102 1 1994 127-168
23. World Bank, 1997. World Development Finance, vol. 1.