dc.contributor.author |
Poshakwale, Sunil S. |
|
dc.contributor.author |
Thapa, Chandra |
|
dc.date.accessioned |
2009-11-10T09:56:40Z |
|
dc.date.available |
2009-11-10T09:56:40Z |
|
dc.date.issued |
2009-01 |
|
dc.identifier.citation |
Sunil Poshakwale and Chandra Thapa, The impact of foreign equity investment flows on integration of Asian emerging equity markets. RP 1/09, Cranfield University School of Management |
en_UK |
dc.identifier.isbn |
1859051987 |
|
dc.identifier.uri |
http://hdl.handle.net/1826/3929 |
|
dc.description.abstract |
The paper investigates the impact of foreign equity investment flows on the integration
process of emerging markets with the global markets. Daily net foreign equity investment
flow and return data for the four Asian emerging markets of India, Korea, Taiwan, and
Thailand for 2001-2007 is used in examining the long and short-run relationship with the
global markets. The findings show that despite the instability of the correlation structure,
there is a general trend towards greater integration. The cointegration analysis results
suggest that the four Asian emerging markets are getting integrated with the global
markets and the integration process is driven by the activities of the foreign investors.
Findings confirm that the global markets have significant causal impact on returns of all
four emerging markets and the foreign equity investment flows play a significant role in
correcting the short-term deviations in the convergence process. Whilst the results are
consistent with previous research, we find stronger evidence for the positive feedback
hypothesis for all four markets. The results support the widely held view that foreign
investors are high return chasers and extract information from recent returns. Our results
also confirm the price pressure hypothesis which suggests that foreign equity investors are
mainly responsible for the increase in the stock market valuations in the four Asian
emerging markets. If this were to be true, the emerging markets may become increasingly
vulnerable to the shocks in the volume of foreign equity investment flows and turn more
volatile in future. |
en_UK |
dc.language.iso |
en |
en_UK |
dc.publisher |
Cranfield University School of Management |
en_UK |
dc.relation.ispartofseries |
Research Paper Series |
en_UK |
dc.relation.ispartofseries |
RP 1/09 |
en_UK |
dc.subject |
Foreign equity investors |
en_UK |
dc.subject |
Asian emerging markets |
en_UK |
dc.subject |
Cointegration and VEC |
en_UK |
dc.subject |
Global linkages and short-run dynamics |
en_UK |
dc.title |
The impact of foreign equity investment flows on integration of Asian emerging equity markets |
en_UK |
dc.type |
Working Paper |
en_UK |