A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns

We present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between stock market returns and foreign investors’ trading. MF-VAR allows us to use daily investor trading data together with higher-frequency return series...

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Veröffentlicht in:	Empirical economics 2024-07, Vol.67 (1), p.47-73
Hauptverfasser:	Eroğlu, Burak Alparslan, İkizlerli, Deniz, Ülkü, Numan
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Hypotheses Information content Institutional investments Insurance Investors Management Predictions Securities markets Statistics for Business Stock exchanges Trading
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