Economics, NIDA Literature Review 5 Recently, Diebold and Yilmaz (2009, 2012) propose the spillover index constructed from the variance decomposition of the Vector AutoRegression (VAR) models. Since then

GPR_IDIO Changes in Idiosyncratic components of Country-specific GPR (Local Idiosyncratic shock) Decomposition in manner similarly employed by Zaremba, et al. (2022). 7 8 To test the baseline hypothesis of

= 𝐵𝑢𝑦𝑁𝑈𝑀𝑖𝑝𝑡 − 𝑆𝑒𝑙𝑙𝑁𝑈𝑀𝑖𝑝𝑡 Result • The decomposition shows that the imbalance is concentrated among retail investors and less so among mutual funds and foreign investors. Result • The univariate t-test