| Affiliation: | (1) Department of Finance and Real Estate, The University of Texas at Arlington, UTA Box 19449, 76019 Arlington, TX;(2) Department of Finance, National Chung Hsing University, 402 Taichung, Taiwan R.O.C. |
| Abstract: | This paper investigates the relationship between international equity flows and returns in the eight largest emerging Asian markets from 1988 through March 2002. Both the feedback-trading hypothesis, which states that past returns affect flows, and the information hypothesis, which states that flows affect returns, are tested. Volatility effects are included, and effects of the 1997 Asian crisis on the relationships are also studied. While past studies have focused on net flows, this paper investigates outflows and inflows separately to determine whether their behavior patterns follow those of net flows. |
