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...

This paper analyzes the impact of political risk on foreign investors' trading in emerging stock markets, market-wide and for industry portfolios, using quantified political risk ratings reported in the <i>International Country Risk Guide</i> and foreign flows data compiled by the Istanbul Stock...

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...

The purpose of this study is to analyze the persistent, typically negative, mispricing in the new stock index futures market in Turkey, which has amounted to 5–8%, several multiples of transaction costs. The observations suggest that it is the outcome of a combination of practical difficulties...

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...

We assess the connection between stock market linkages and macroeconomic linkages by using a world index model. Specifically, we test the association between the stock market beta (the sensitivity of country stock market index to world index) and macroeconomic betas (the sensitivity of national...

Hau and Rey (2006) explain a surprising negative correlation between the stock market and home currency by rebalancing action taken by unhedged international equity investors. Foreign investor flows data from Greece with a nationality-breakdown permit a unique empirical test of the key...

A double world index model is proposed as an ideal way of characterizing the comovement among emerging stock markets, and applied to Budapest-Istanbul as an interesting case. An exclusive increase in the correlation between Budapest and Istanbul during the recent crisis period is documented. To...