Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Wang, J

Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand

Wang, J

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Publication Type:: Journal Article
Citation:: Journal of Development Economics, 2007, 84 (2), pp. 798 - 811
Issue Date:: 2007-11-01

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Field	Value	Language
dc.contributor.author	Wang, J	en_US
dc.date.issued	2007-11-01	en_US
dc.identifier.citation	Journal of Development Economics, 2007, 84 (2), pp. 798 - 811	en_US
dc.identifier.issn	0304-3878	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15732
dc.description.abstract	This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries. Trading within foreign and local investor groups is often negatively related to volatility. The findings are robust to different sub-periods and different measures for volatility and trading activities. We explore two economic explanations for the asymmetric effects of foreign and local investors. © 2006 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Journal of Development Economics	en_US
dc.relation.isbasedon	10.1016/j.jdeveco.2006.05.001	en_US
dc.subject.classification	Development Studies	en_US
dc.title	Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	84	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	84	en_US

Abstract:

This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries. Trading within foreign and local investor groups is often negatively related to volatility. The findings are robust to different sub-periods and different measures for volatility and trading activities. We explore two economic explanations for the asymmetric effects of foreign and local investors. © 2006 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/15732