An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

Robert W. Faff; David J. Hillier; Michael D. Mckenzie

doi:10.1142/S0219091505000440

An investigation of conditional autocorrelation and cross-autocorrelation in emerging markets

Robert W. Faff^*, David J. Hillier, Michael D. Mckenzie

^*Corresponding author for this work

Macquarie Graduate School of Management

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	467-499
Number of pages	33
Journal	Review of Pacific Basin Financial Markets and Policies
Volume	8
Issue number	3
DOIs	https://doi.org/10.1142/S0219091505000440
Publication status	Published - Sep 2005

Keywords

Conditional return autocorrelation
Feedback trading
Informed traders
Migration hypothesis

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10.1142/S0219091505000440

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abstract = "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.",

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KW - Migration hypothesis

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