Abstract

https://ssrn.com/abstract=424503
 
 

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Are Daily Cross-border Equity Flows Pushed or Pulled?


John M. Griffin


University of Texas at Austin - Department of Finance

René M. Stulz


Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

Federico Nardari


University of Melbourne - Department of Finance


EFA 2003 Annual Conference Paper No. 893

Abstract:     
We investigate the conditions under which an equilibrium intertemporal model based on portfolio decisions of investors can explain the dynamics of high frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors are more extrapolative than those of domestic investors (either due to foreigners being less informed or to behavioural reasons), unexpectedly high worldwide or local stock returns lead to net euqity inflows in small countries. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that euqity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and out empirical analysis show that global stock return performance is an important factor in understanding equity flows.

Number of Pages in PDF File: 60


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Date posted: July 21, 2003  

Suggested Citation

Griffin, John M. and Stulz, René M. and Nardari, Federico, Are Daily Cross-border Equity Flows Pushed or Pulled?. EFA 2003 Annual Conference Paper No. 893. Available at SSRN: https://ssrn.com/abstract=424503 or http://dx.doi.org/10.2139/ssrn.424503

Contact Information

John M. Griffin (Contact Author)
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-471-6621 (Phone)
HOME PAGE: http://www.jgriffin.info

Rene M. Stulz
Ohio State University (OSU) - Department of Finance ( email )
2100 Neil Avenue
Columbus, OH 43210-1144
United States
HOME PAGE: http://www.cob.ohio-state.edu/fin/faculty/stulz

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Federico Nardari
University of Melbourne - Department of Finance ( email )
Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia
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