TY - JOUR
T1 - An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets
AU - Faff, Robert W.
AU - Hillier, David J.
AU - Mckenzie, Michael D.
PY - 2005/9
Y1 - 2005/9
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=23944489615&partnerID=8YFLogxK
U2 - 10.1142/S0219091505000440
DO - 10.1142/S0219091505000440
M3 - Article
AN - SCOPUS:23944489615
SN - 0219-0915
VL - 8
SP - 467
EP - 499
JO - Review of Pacific Basin Financial Markets and Policies
JF - Review of Pacific Basin Financial Markets and Policies
IS - 3
ER -