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Understanding Asian equity flows, market returns and exchange rates
Chai-Anant, Chayawadee (Author), Ho, Corrinne (Author)

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Abstract
This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter for net equity purchases, and vice versa. In addition, we find that while currency returns tend to show little influence over foreign investors' demand for Asian equities, net equity purchases do have some explanatory power over near-term exchange rate changes. Moreover, we find that foreign investors do quite oftenmove in or out of multiple Asian markets simultaneously - but more so on the way in than on the way out. Nonetheless, during specific events of heightened market volatility, we observe some interesting deviations from the full-sample average relationships.

Language:English
Keywords:Azija, finančni trg, trg kapitala, denarni tokovi, donos, devizni tečaji, tečajne razlike, investicije, Asia, financial market, capital market, cash flows, yield, exchange rate, rate-of-exchange losses or gains, investments
Work type:Not categorized (r6)
Organization:EF - Faculty of Economics
Year:2008
Publisher:Bank for International Settlements, Monetary and Economic Department
Number of pages:V, 43 str.
Place:Basel
UDC:336.76
COBISS.SI-ID:17780198 Link is opened in a new window
Views:450
Downloads:197
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