English, Article edition: An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets Robert W. Faff; David Hillier; Michael D. McKenzie

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Bookmark: http://trove.nla.gov.au/version/132459
Physical Description
  • article
Language
  • English

Edition details

Title
  • An Investigation of Conditional Autocorrelation and Cross-Autocorrelation in Emerging Markets
Author
  • Robert W. Faff
  • David Hillier
  • Michael D. McKenzie
Physical Description
  • article
Notes
  • 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.
  • Migration hypothesis, informed traders, conditional return autocorrelation, feedback trading
  • RePEc:wsi:rpbfmp:v:08:y:2005:i:03:p:467-499
Language
  • English
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