The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets

Todea, Alexandru; Pleşoianu, Anita

doi:10.1016/j.econmod.2013.03.017

Cited by 22 publications

(16 citation statements)

References 52 publications

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“…The transmission mechanism between FPI and GDP has been summarized in the previous studies, e.g. Errunza and Losq (1985), Obstfeld (1994), Errunza et al (1998), Levine and Livine (2000), Errunza (2001), Perotti and Van (2001), Abdalla and Dafaalla (2011) and Todea and Pleşoianu (2013). FPI can influence domestic growth through its contribution in developing the local financial markets.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Causality between Foreign Portfolio Inflows and Economic Growth: Evidence from China and India

Ahmad¹,

Yang²,

Draz³

2015

IJEF

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The objective of this paper is to examine the causal relationship of foreign portfolio inflows and economic growth for two Asian economies, i.e. China and India. We have used Granger causality test for both countries' data ranging from 2001 to 2013 and concur with the findings of Durham (2003) and Duasa and Kassim (2009), i.e. there is no direct causality between foreign portfolio inflows and economic growth. Our results also suggest an indirect relationship between foreign portfolio inflows and economic growth of China and India.

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Section: Theoretical Backgroundmentioning

confidence: 99%

Causality between Foreign Portfolio Inflows and Economic Growth: Evidence from China and India

Ahmad¹,

Yang²,

Draz³

2015

IJEF

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“…Monte-Carlo tests done by researchers such as Charles et al (2010) to study comparison between small sample properties of other tests for martingale difference hypothesis (MDH) conclude that the GS test has better power under nonlinear dependence and have more empirical power than other tests. The GS test proceeds as followed in Todea and Lazar (2012):…”

Section: Methodsmentioning

confidence: 99%

African Stock Markets and Return Predictability

Gill

2016

JEBS

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This article re-examines the return predictability of eight African stock markets. When returns of stocks are predictable, arbitrageurs make abnormal gains from analyzing prices. The study uses a non-parametric Generalised Spectral (GS) test in a rolling window approach. The rolling window approach tracts the periods of efficiency over time. The GS test is robust to conditional heteroscedasticity and it detects the presence of linear and nonlinear dependencies in a stationary time series. Our results support the Adaptive Market Hypothesis (AMH). This is because, indices whose returns were observed to be predictable by analyzing them in absolute form and therefore weak - form inefficient showed trends of unpredictability in a rolling window.

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“…Moreover, when there are foreign equity flows into a developing market, they lead new information to be incorporated into prices more quickly (Todea and Pleşoianu, 2013). Similarly, high transaction costs and low liquidity levels may extend the time period of the above mentioned incorporation process (Schatberg and Rieber, 1992).…”

Section: Foreign Equity Inflowsmentioning

confidence: 99%

How to Increase Market Capitalization in Eurasian Markets?

Sönmezer

Sözen

2014

International Conference on Eurasian Economies 2014

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The objective of the study is to put forth the difference between the characteristics of Eurasian markets and the developing country markets and test convergence hypothesis based on market capitalization. Factors that obstacle foreign investments into these markets are assessed and possible ways to eradicate the gap between these markets is discussed. Market based variables such as number of listed companies is combined with other variables that may shed light to the investment environment to have a better understanding of the factors affecting market capitalization. Multi regression analysis are done for the markets that succeed in coaxing foreign investors and domestic investors to their market and the study highlights the factors that countries need to focus in order to converge to the successful ones.

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The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets

Cited by 22 publications

References 52 publications

Causality between Foreign Portfolio Inflows and Economic Growth: Evidence from China and India

Causality between Foreign Portfolio Inflows and Economic Growth: Evidence from China and India

African Stock Markets and Return Predictability

How to Increase Market Capitalization in Eurasian Markets?

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