Are daily cross-border equity flows pushed or pulled?

• 成果类型: Article; Proceedings Paper
• 署名作者: Griffin, JM; Nardari, F; Stulz, RM
• 署名单位: University of Texas System; University of Texas Austin; Arizona State University; Arizona State University-Tempe; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/0034653041811725
• 发表日期: 2004-08
• 页码: 641-657
• 关键词: investment; estimators; DYNAMICS; models

摘要

We investigate the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain the dynamics of high-frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors are more extrapolative than those of domestic investors (either due to foreigners being less informed or for behavioral reasons), unexpectedly high worldwide or local stock returns lead to net equity inflows in small countries. We investigate these predictions using daily data on net equity flows for nine emerging-market countries. Equity flows are positively related to host-country stock returns as well as market performance abroad at daily frequencies. Though these effects are remarkably robust at the daily frequency, they dissipate quickly.