Abstract
We extend the feedback trader model by including a cross-market feedback trader. Our analysis of eighteen emerging markets suggests that there exists both positive and negative feedback traders in the markets and their activity is related to stock index return volatility. For cross-market feedback traders however, we show that, although cross-market autocorrelation among emerging markets is high and variable, the hypothesized negative relationship between cross-market autocorrelation and volatility is much weaker than its domestic counterpart.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Review of Pacific Basin Financial Markets and Policies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.