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.
|Number of pages||33|
|Journal||Review of Pacific Basin Financial Markets and Policies|
|Publication status||Published - Sep 2005|
- Conditional return autocorrelation
- Feedback trading
- Informed traders
- Migration hypothesis