Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market
AbstractThis paper examines foreign investors' equity-level transactions in an emerging stock market, the Istanbul Stock Exchange, for the period 1997–2008 to derive insights into the debate on information asymmetries between domestic and foreign investors and the home bias puzzle. The analysis suggests two important findings. First, foreign investors do not consider the market portfolio of domestic securities as predicted by standard theories of international portfolio diversification. Second, the firm's size and the expected return are central to explain foreign investors' equity trades. The results are consistent with models based upon the hypothesis of differential information between foreign and domestic investors.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 12 (2011)
Issue (Month): 4 ()
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Web page: http://www.elsevier.com/locate/inca/620356
Information asymmetries; Foreign investors; Portfolio flows; Istanbul Stock Exchange; Home bias;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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- Groh, Alexander Peter & Wich, Matthias, 2012. "Emerging economies' attraction of foreign direct investment," Emerging Markets Review, Elsevier, vol. 13(2), pages 210-229.
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