Understanding Asian equity flows, market returns and exchange rates
By: by Chayawadee Chai-Anant and Corinne Ho.
Contributors: Ho, Corrinne Miu-ching, 1971-; Bank for International Settlements. Monetary and Economic Dept.
Series: BIS working papers -- no. 245
Publisher: Bank for International Settlements
Published: 2008
Place of publication: Basel, Switzerland
Language: eng
Format: Electronic resource
Description: 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 often move 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.
Notes: Title from PDF file (viewed on Oct. 10, 2008).

"January 2008."

"Monetary and Economic Department."

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.