Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Abstract This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression w...

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Bibliographic Details
Main Authors: Boubekeur Baba, Güven Sevil
Format: Article
Language:English
Published: SpringerOpen 2021-06-01
Series:Financial Innovation
Subjects:
Stock returns
Net foreign equity flows
Time-varying parameter VAR
Feedback trading
Forecast ability
Economic policy uncertainty
Online Access:https://doi.org/10.1186/s40854-021-00267-9

Internet

https://doi.org/10.1186/s40854-021-00267-9

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