A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns

Basit Öğe Kaydı
dc.authoridEroğlu, Burak Alparslan/0000-0001-6814-747X|ULKU, Numan/0000-0001-5428-1854
dc.authorwosidEroğlu, Burak Alparslan/HSH-2428-2023
dc.authorwosidEroğlu, Burak Alparslan/A-8187-2019
dc.contributor.authorEroglu, Burak Alparslan
dc.contributor.authorIkizlerli, Deniz
dc.contributor.authorUelku, Numan
dc.date.accessioned2024-07-18T20:40:25Z
dc.date.available2024-07-18T20:40:25Z
dc.date.issued2024
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractWe present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between stock market returns and foreign investors' trading. MF-VAR allows us to use daily investor trading data together with higher-frequency return series and uncover novel intraday patterns in the feedback trading behavior and the information content of trading. Using data from Korea, we find that foreign investors chase opening-hour returns, and their trading has the ability to forecast subsequent days' late-hour returns. This pattern suggests that foreign investors selectively respond to the information incorporated during opening hours. Over the years, foreign investors' response to intraday returns has become more prompt, and the predictive ability of their trading has disappeared. A specific test made feasible by the MF-VAR method does not support the global private information hypothesis.en_US
dc.description.sponsorshipUniverzita Karlova v Prazeen_US
dc.description.sponsorshipNo Statement Availableen_US
dc.identifier.doi10.1007/s00181-023-02541-4
dc.identifier.issn0377-7332
dc.identifier.issn1435-8921
dc.identifier.scopus2-s2.0-85185302092en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1007/s00181-023-02541-4
dc.identifier.urihttps://hdl.handle.net/11411/7106
dc.identifier.wosWOS:001168915600001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPhysica-Verlag Gmbh & Coen_US
dc.relation.ispartofEmpirical Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMixed-Frequency Varen_US
dc.subjectForeign İnvestor Tradingen_US
dc.subjectIntraday Returnen_US
dc.subjectBehavioren_US
dc.subjectFlowsen_US
dc.titleA mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns
dc.typeArticle

Dosyalar

Koleksiyon

Web of Science Indexed Publications
Scopus Indexed Publications