A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns

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dc.authorscopusid57103418500
dc.authorscopusid55315097700
dc.authorscopusid44462290600
dc.contributor.authorEroğlu, Burak Alparslan
dc.contributor.authorİkizlerli D.
dc.contributor.authorÜlkü N.
dc.date.accessioned2024-03-09T19:39:55Z
dc.date.available2024-03-09T19:39:55Z
dc.date.issued2024
dc.departmentİzmir Bakırçay Üniversitesien_US
dc.description.abstractWe present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between stock market returns and foreign investors’ trading. MF-VAR allows us to use daily investor trading data together with higher-frequency return series and uncover novel intraday patterns in the feedback trading behavior and the information content of trading. Using data from Korea, we find that foreign investors chase opening-hour returns, and their trading has the ability to forecast subsequent days' late-hour returns. This pattern suggests that foreign investors selectively respond to the information incorporated during opening hours. Over the years, foreign investors' response to intraday returns has become more prompt, and the predictive ability of their trading has disappeared. A specific test made feasible by the MF-VAR method does not support the global private information hypothesis. © The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2024.en_US
dc.description.sponsorshipUniverzita Karlova v Praze, UKen_US
dc.description.sponsorshipThis work was supported by the Cooperatio Program, Research Area Economics, at Charles University, Czechia.en_US
dc.identifier.doi10.1007/s00181-023-02541-4
dc.identifier.issn0377-7332
dc.identifier.scopus2-s2.0-85185302092en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1007/s00181-023-02541-4
dc.identifier.urihttps://hdl.handle.net/20.500.14034/1564
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringer Science and Business Media Deutschland GmbHen_US
dc.relation.ispartofEmpirical Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectForeign investor trading; Intraday return; Mixed-frequency VARen_US
dc.titleA mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returnsen_US
dc.typeArticleen_US

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