This paper proposes an ideal specification for studying joint dynamics of emerging stock and foreign exchange markets, and applies it on European emerging markets where this interaction is of particular significance due to large external deficits. Results show that global developed and emerging...

Using monthly foreign flows data from Madrid Stock Exchange, we analyze the interaction between foreigners’ trading and stock returns, both marketwide and on individual stocks. We show that global risk appetite has a significant role in driving marketwide foreign investor flows. Our data of...

This study uses a special data set, derived from member brokers’ transactions, as a proxy for big players’ trading. Big players as represented by this variable include institutional, big individual and foreign traders, and these groups are not mutually exclusive. The interaction between big...

Testing short-horizon technical trend-following rules, including the first comprehensive evidence on the relatively-neglected MACD rule, on a large panel of world stock market indexes, we investigate the determinants of technical trading rule profitability. The main driver of trend-following...

This paper introduces a new method for identifying the simultaneity between returns and trading flows. The proposed method enables us to identify the intraday interaction using daily data, and provides measures of the information content of trading flows, and their instantaneous response to...