Are daily cross-border equity flows pushed or pulled?

Review of Economics and Statistics

Volumn 86, Issue 3, 2004, Pages 641-657

  Griffin, John M ^a   Nardari, Federico ^b   Stulz, René M ^c  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b ARIZONA STATE UNIVERSITY   (United States)

^c OHIO STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4444271175     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/0034653041811725     Document Type: Conference Paper

References (33)

1. Bai, J., and P. Perron, "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica 66 (1998), 47-78.
2. Bai, J., R. L. Lumsdaine, and J. H. Stock, "Testing for and Dating Breaks in Stationary and Nonstationary Multivariate Time Series," Review of Economic Studies 65 (1998), 395-432.
3. Baltagi, B. H., and J. M. Griffin, "Pooled Estimators vs. Their Heterogeneous Counterparts in the Context of Dynamic Demand for Gasoline," Journal of Econometrics 77 (1997), 303-327.
4. _ "To Pool or Not to Pool: Homogeneous vs. Heterogeneous Estimators Applied to Cigarette Demand," this REVIEW, 82 (2000), 117-126.
5. Bekaert, G., C. R. Harvey, and R. L. Lumsdaine, "The Dynamics of Emerging Market Equity Flows," Journal of International Money and Finance 21:3 (2002), 295-350.
6. Bhagwati, J., "The Capital Myth," Foreign Affairs 77:3 (1998), 7-12.
7. Bohn, H., and L. Tesar, "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?" American Economic Review 86 (1996), 77-81.
8. Brennan, M. J., and H. Cao, "International Portfolio Flows," Journal of Finance 52 (1997), 1851-1880.
9. Calvo, G., L. Leiderman, and C. Reinhart, "Capital Inflows and the Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF staff paper (1993).
10. Choe, H., B. Kho, and R. M. Stulz, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," Journal of Financial Economics 54 (2004), 3-46.
11. _ "Do Domestic Investors Have More Valuable Information about Individual Stocks than Foreign Investors?" Ohio State University working paper (2000).
12. Chuhan, P., S. Claessens, and N. Mamingi, "Equity and Bond Flows to Latin America and Asia: The Role of Global and Country Factors," Journal of Development Economics 55 (1998), 439-463.
13. Dvorak, T., "Do Domestic Investors Have an Informational Advantage? Evidence from Indonesia," Journal of Finance (2004), forthcoming.
14. Edison, H. J., and F. E. Warnock, "Cross-border Listings, Capital Controls, and Equity Flows to Emerging Markets," Federal Reserve Board unpublished paper, Washington, DC (2003).
15. Fernandez-Arias, E., "The New Wave of Private Capital Inflows: Push or Pull?" Journal of Development Economics 48 (1996), 389-418.
16. Friedman, T. L., The Lexus and the Olive Tree (New York: Farrar Straus Giroux, 1999).
17. Froot, K., P. O'Connell, and M. Seasholes, "The Portfolio Flows of International Investors," Journal of Financial Economics 59 (2001), 151-193.
18. Froot, K., and T. Ramadorai, "The Information Content of International Portfolio Flows," Harvard Business School working paper, Boston (2002).
19. Griffin, J. M., J. Harris, and S. Topaloglu, "The Dynamics of Institutional and Individual Trading," Journal of Finance 58 (2003), 2285-2320.
20. _ "Investor Behavior over the Rise and Fall of Nasdaq," University of Texas at Austin working paper (2004).
21. Grinblatt, M., and M. Keloharju, "The Investment Behavior and Performance of Various Investor Types: A Study of Finland's Unique Data Set," Journal of Financial Economics 55 (2000), 43-67.
22. Holtz-Eakin, D., W. Newey, and H. S. Rosen, "Estimating Vector Autoregressions with Panel Data," Econometrica 56 (1988), 1371-1395.
23. Hong, H., and J. Stein, "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance 54 (1999), 2143-2184.
24. Hoogstrate, A. J., F. C. Palm, and G. A. Pfann, "Pooling in Dynamic Panel Data Model: An Application to Forecasting GDP Growth Rates," Journal of Business and Economic Statistics 18 (2000), 274-283.
25. Karolyi, G. A., "Did the Asian Financial Crisis Scare Foreign Investors Out of Japan?" Pacific Basin Finance Journal 10 (2002), 411-442.
26. Karolyi, G. A., and R. M. Stulz, 2003, "Are Financial Assets Priced Locally or Globally?" (pp. 975-1020), in G. Constantinides, M. Harris, and R. Stulz (Eds.), Handbook of the Economics of Finance, Vol. 2, North-Holland.
27. Pavabutr, P., and H. Yan, "Foreign Equity Flows and Emerging Markets," University of Texas at Austin working paper (2003).
28. Pesaran, M. H., and R. Smith, "Estimating Long-Run Relationships from Dynamic Heterogeneous Panels," Journal of Econometrics 68 (1995), 79-113.
29. Richards, A., "Big Fish in Small Ponds: The Momentum Investing and Price Impact of Foreign Investors in Asian Emerging Equity Markets," Journal of Financial and Quantitative Analysis (2004), forthcoming.
30. Seasholes, M., "Smart Foreign Traders in Emerging Markets," Harvard University working paper (2000).
31. Stiglitz, J., "Distinguished Lecture on Economics in Government: The Private Uses of Public Interests: Incentives and Institutions," Journal of Economic Perspectives 12 (1998), 3-22.
32. Stulz, R. M., "On the Effects of Barriers to International Investment," Journal of Finance 36 (1981), 923-934.
33. Williams, J. T., "Capital Asset Prices with Heterogeneous Beliefs," Journal of Financial Economics 5 (1977), 219-239.