International equity flows and market returns: A case study of Japanese market

This paper studies the relation between international equity flows and market returns in Japanese market. It highlights an increasing role of' foreign investors in Japanese stock. market, and its implications are discussed. This study also confirms the contemporaneous relarion between international equity flows and market returns, and the herding effect in Japanese market. Using annual volatility, the study finds no significant relation between the volatility 01' equity flows and the volatility of market returns.