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    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 56, 2018 DOI: 10.1016/j.intfin.2018.03.002

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The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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  • Cheng Yan
  • Xichen Wang
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<mark>Journal publication date</mark>09/2018
<mark>Journal</mark>Journal of International Financial Markets, Institutions and Money
Volume56
Number of pages17
Pages (from-to)38-54
Publication StatusPublished
Early online date28/03/18
<mark>Original language</mark>English

Abstract

We compare the performance of two state-of-the-art predictive regression methods of IVX-Wald (Kostakis et al., 2015), IVX-Quantile regression (Lee, 2016) with the traditional OLS in examining the relationship between foreign equity flows and emerging stock market returns. By doing so, we take into account not only the potential persistence in foreign equity flows, but also the exceptional behavior of the extreme foreign flow episodes. We find a robust positive relationship between equity flows and contemporaneous stock returns among emerging stock markets (especially in Asia), but little evidence for intertemporal return predictability.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 56, 2018 DOI: 10.1016/j.intfin.2018.03.002