Uelkue, Numan and Weber, Enzo (2013) Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data. JOURNAL OF BANKING & FINANCE, 37 (8). pp. 2733-2749. ISSN 0378-4266,
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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 public information and information revealed by market prices. Applying this method to daily data on investor types from the Korea Stock Exchange, we find significant intraday bi-directional interaction between flows and returns and their latent common drivers, altering some of the results of the previous literature based on Cholesky assumptions. Thus, we obtain a number of new insights concerning the behavior of investor types. (C) 2013 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MUTUAL FUND FLOWS; FOREIGN INVESTORS; DOMESTIC INVESTORS; EQUITY MARKETS; EXCHANGE-RATES; ORDER FLOWS; BEHAVIOR; INFORMATION; PERFORMANCE; PRICES; The interaction between trading flows and returns; Identification; Structural conditional correlation; Investor types; Feedback trading behavior |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 06 Apr 2020 10:40 |
| Last Modified: | 06 Apr 2020 10:40 |
| URI: | https://pred.uni-regensburg.de/id/eprint/16336 |
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