Do foreign investors destabilize stock markets? The Korean experience in 1997

Order submission behaviors and opening price behaviors: evidence from an emerging market

“…First, as shown in Tables 6 and 7, the estimated coefficients of the EM order imbalance and aggressiveness by individuals on R -1 and R -2 are relatively large to those by professional institutions. It follows that individuals demonstrate a stronger positive-feedback trading tendency than professional institutions do, very different from Nofsinger and Sias (1999), Grinblatt and Kelharju (2000), and Choe et al (1999). The observed difference possibly comes from the selection of the sample.…”

“…After learning the linkage between order submission behavior and opening price behavior, in this sub-section, let us further compare the results between this paper and previous relevant studies, including Nofsinger and Sias (1999), Grinblatt and Kelharju (2000), and Choe et al (1999) examining the trading behaviors among various investor groups. First, as shown in Tables 6 and 7, the estimated coefficients of the EM order imbalance and aggressiveness by individuals on R -1 and R -2 are relatively large to those by professional institutions.…”

Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market

“…9 Dhar and Kumar (2001), investigating trading of individual investors in the U.S., further document the existence of momentum-type investors on both the buy and sell ends. Cho et al (1999) find momentum trading strategy among foreign investors in Korea, and Grinblatt and Keloharju (2001) show that sophisticated foreign investors in Finland also tend to act as momentum traders. Bauman et al (1999) find that investors and research analysts in 22 countries outside the U.S. tend to assume that past growth rates in earnings-per-share will continue into the future.…”

Bayesian forecaster using class-based optimization

“…As a result, the movements of the GII actually direct local markets, particularly when they are hit by severe external or internal shocks. For instance, in cases of external or internal shocks such as the Asian financial crisis in 1997, the Russian moratorium in 1998, and the 9/11 terrorist attacks in 2001, the abnormal pullout by the GII drove several related local markets to near collapse [8,13]. In order to prepare against such devastating situations, most local markets demand a proper early warning indicator (EWI) that is capable of detecting or predicting an abnormal pullout by the GII, especially in global hedge funds.…”