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3 edition of Understanding Asian equity flows, market returns and exchange rates found in the catalog.

Understanding Asian equity flows, market returns and exchange rates

Chayawadee Chai-Anant

Understanding Asian equity flows, market returns and exchange rates

by Chayawadee Chai-Anant

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  • 25 Currently reading

Published by Bank for International Settlements in Basel, Switzerland .
Written in English


About the Edition

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.

Edition Notes

Statementby Chayawadee Chai-Anant and Corinne Ho.
SeriesBIS working papers -- no. 245
ContributionsHo, Corrinne Miu-ching, 1971-, Bank for International Settlements. Monetary and Economic Dept.
Classifications
LC ClassificationsHG3879
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL22649184M
LC Control Number2008613029

  This paper examines the nexus between capital flows and real exchange rate (RER) in emerging Asian countries using a dynamic panel-data model for In contrast to previous studies, capital flows here are separated into foreign direct investment (FDI), portfolio investment, and other investment (bank loans) by: Thanks for contributing an answer to Quantitative Finance Stack Exchange! Please be sure to answer the question. Provide details and share your research! But avoid Asking for help, clarification, or responding to other answers. Making statements based on opinion; back them up with references or personal experience. Use MathJax to format.

  Abstract. In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between (also two sub-periods covering the time between , and between ) have been analysed with separate 30 VAR : Ihsan Erdem Kayral, Semra Karacaer. and local market returns that can be attributable to exchange rate fluctuations, Φ, can be measured as: p(Zjt,Rt) fVarlZjtJ For given p(r^sd,RJ, the values of Φ are determined by the correlation of US equity market returns with local currency values and the volatility ratio of the foreign exchange market relative to the local equity market.

Asian Equity Markets. 17 REVIEW OF MARKETS’05 • In , Asian markets traded firm, led by a rebound • The single most significant factor that affected the market positively was the FII flows in CY which were at a record $8, mn as against $6, mn in • Taiwan Stock Exchange numbers show that foreign. Foreign exchange is one aspect of the global capital markets. Companies access the global capital markets to utilize both the debt and equity markets; these are important for growth. Being able to access transparent and efficient capital markets around the world is another important component in the flattening world for global firms.


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Understanding Asian equity flows, market returns and exchange rates by Chayawadee Chai-Anant Download PDF EPUB FB2

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 Confirming much of the literature, we find that equity market returns matter for net equity purchases, and vice by:   Understanding Asian equity flows, market returns and exchange rates.

BIS 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 we find that while currency returns tend to show.

Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals Kenneth A. Froot, Tarun Ramadorai.

NBER Working Paper No. Issued in July NBER Program(s):Asset Pricing Program, International Finance and Macroeconomics Program We explore the interaction between exchange rates, institutional investor currency flows and exchange-rate fundamentals.

International Order Flows: Explaining Equity and Exchange Rate Returns in the correlation structure of equity returns and exchange rates. After controlling for order flow, US ()). The microstructure approach used here can be useful in understanding international market interdependence.

Domestic equity returns should not only be. Understanding Asian equity flows, market returns and exchange rates Chayawadee Chai-Anant and Corrinne Ho§ 1. Introduction1 Capital flows have always been a topic of interest and concern among emerging markets, no less because of their implications for exchange rate movements and possibly financial by: Capital Flows and the Behavior of Emerging Market Equity Returns The paper is organized as follows.

Section provides the setting for our investigation by describing the relation between capital flows and fi- nancial market integration. Section provides a brief description of the capital flow data that we use and some summary statistics.

The correlation for the pooled sample increases to and is statistically significant at the 1% level. Overall, the evidence is supportive of a linkage between net equity portfolio flows and exchange rate returns.

Net equity flows into the foreign market are positively correlated with an appreciating foreign by: This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility using monthly bilateral data for the US vis-a-vis seven Asian developing and emerging countries (India, Indonesia, Pakistan, the Philippines, South Korea, Taiwan and Thailand) over the period – GARCH models and Markov switching specifications with time-varying transition Cited by: Downloadable.

Foreign portfolio flows may reflect deep changes in the functioning of an emerging market economy and its capital markets. Using a database of monthly net U.S. equity flows, we investigate the relation of these flows to the behavior of equity returns, the structural characteristics of the capital markets, exchange rates, and the strength of the economy.

Robert N McCauley & Jenz Zukunft, "Asian banks and the international interbank market," BIS Quarterly Review, Bank for International Settlements, adee Chai-Anant & Corinna Ho, "Understanding Asian equity flows, market returns and exchange rates," BIS Working PapersBank for International ds, Anthony, with the theory, both exchange rate returns and order flow into the overseas market have explanatory power for the domestic stock market returns.

Fourth, our model can explain the asymmetry in the correlation structure of equity returns and exchange rates. Cited by: the French equity market is representative of the consolidated euro-zone equity market both in terms of returns and order flow characteristics.

Our data spans the five year period from January to December and therefore start with the creation of the. investor sentiment and portfolio equity flows in determining equity returns.

Description of Data and Methodology Data The data of foreign equity flows will be obtained from the Stock Exchange of Thailand. This dataset contains the foreign equity flows to the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai).

International portfolio managers often highlight the asymmetry in the correlation structure of equity and exchange rate returns. Table 1 documents the negative correlation of the U.S. dollar return with the U.S. equity market index and the even more negative correlation of all European equity markets with the same exchange rate return.

A symmetric setting should imply opposite signs for the Cited by: Seeks long-term capital appreciation, measured in U.S.

dollars, through investment primarily in the equity securities of companies, for the avoidance of doubt including Real Estate Investment Trusts (REITS), domiciled in or exercising the predominant part of their economic activity in Asia, excluding Japan, thereby taking advantage of the dynamic economic growth capabilities of the region.

However, while there is a vast literature on the link between interest rate differentials and exchange rates across countries, little is known about the relation between exchange rates and international equity returns (see Burnside et al.Lustig et al.and Menkhoff et al.

for recent contributions). The equity market is to Earth, as the foreign exchange market is to Pluto; vastly diverse realms in size, function and dynamics. Whilst equity markets are primarily driven by speculation, currency markets are driven by economic necessity. The necessity for currency exchange, and it's fundamental reflection of economic forces.4/4(2).

It is comparable in size to the stock market and has enormous depth. The book "Triumph Of The Optimists: Years Of Global Investment Returns" ().

Chayawadee Chai-Anant has written: 'Understanding Asian equity flows, market returns and exchange rates' Asked in Business & Finance, Adjectives and Articles, Hyperbole and Superlative, US.

Return on Market Value of Equity - ROME: Return on market value of equity (ROME) is a comparative measure typically used by analysts to identify companies that generate positive returns on book.

stock market returns and exchange rate movements in a multiple currency economy Tsagkanos, A., & Siriopoulos, C. (). A long - run relationship between stoc k price index andAuthor: Mabutho Sibanda.Craig Stephen's This Week in China China ‘equity return’ is a misnomer Published: Jan.

12, at p.m. ET.It’s a big world out there. The U.S. makes up a little less than half of the global market cap.

By avoiding international stock markets, you cut out half of the investment opportunities. The chart below breaks down the annual performance of developed international stock markets.

Each country’s performance seems to bounce around at random.