Foreign investment fluctuations and emerging market stock returns
Subtitle: the case of Mexico
By: John Clark, Elizabeth Berko.
Contributors: Berko, Elizabeth.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 24; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 24.
Publisher: Federal Reserve Bank of New York
Published: 1997
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Investments, Foreign -- Mexico -- Effect of stock prices on -- Econometric models.
Description: "We investigate the economically and statistically significant positive correlation between monthly foreign purchases of Mexican stocks and Mexican stock returns.  We find that a 1 percent of market capitalization surprise foreign inflow is associated with a 13 percent increase in Mexican stock prices.  We explore whether this correlation might be explained by permanent reductions in conditional expected returns resulting from expansion of the investor base along the lines modeled by Merton (1987), or correlations with other factors causing returns, price pressures, or positive feedback strategies by foreign investors, and conclude that the available evidence is consistent with the base-broadening hypothesis"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.