Predicting currency fluctuations and crises: Do resident firms have an informational advantage?

Are Foreign Institutional Investors Good for Emerging Markets?

“…The latest study in this line of investigation is Choe, Kho and Stulz (2001) A fourth approach addressing the possible information asymmetry has been presented by Kaufman, Mehrez and Schmukler (1999). Their idea is to test whether local businesses had more correct expectations about the forthcoming Asian crisis than international financial markets.…”

Informational asymmetries and a multiplier effect on price correlation and trading

“…So, whenever there is enough noise in the market, we consider these, times of crisis. 26,27 We run several numerical examples to investigate the effects of some parameters on the difference in correlation (between the asymmetric and symmetric case) all of then reinforce our intuition about the importance of the information structure.…”

“…See for instance:[16],[17],[12],[9],[28] and[27] 13. In the interpretation provided in the paper, the assets are Brazilian and Argentine securities.…”

“…The defining point of a crisis is considered, here, to be the volatility of fundamentals through information variables 27. It is worth pointing out that we used correlation, and not covariance, as a proposed measure of contagion because the former is unit free.…”

Gross capital flows and asymmetric information

“…On the other hand, Seasholes (2000) and Froot and Ramadorai (2001), find that foreign investors act as more informed than domestic. Kaufmann et al (1999) show additional evidence on asymmetric information between foreign and domestic investors.…”