Research Discussion Paper – RDP 2004-05 Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets


A version of this paper is forthcoming in the Journal of Financial and Quantitative Analysis. I am grateful for comments from Stephen Brown, Torbjörn Becker, Luci Ellis, Gaston Gelos, Andrew Jackson, Jonathan Kearns, Juhani Linnainmaa, Hélène Rey, John Simon, an anonymous referee, and seminar participants at the Reserve Bank of Australia, International Monetary Fund and Australian National University. I am also grateful to the Korea Stock Exchange, Kosdaq Stock Market, Philippine Stock Exchange, Stock Exchange of Thailand, and Taiwan Stock Exchange for assistance with data. The views expressed in this paper are those of the author and do not necessarily reflect those of the Reserve Bank of Australia.