Do Domestic Investors Have an Information Advantage? Evidence from Indonesia
AbstractUsing transaction data from the Jakarta Stock Exchange, I find three pieces of evidence which indicate that domestic investors have an information advantage over foreign investors. First, foreign investors systematically buy at higher and sell at lower intra-day prices than domestic investors. Second, foreign investors tend to sell prior to large positive returns. Finally, the permanent impact of foreign purchases is smaller than that of domestic purchases. Over time, prices at which foreign investors trade have worsened, while foreign selling prior to positive returns has disappeared.
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Bibliographic InfoPaper provided by Department of Economics, Williams College in its series Center for Development Economics with number 168.
Date of creation: Oct 2001
Date of revision:
Publication status: Published in The Journal of Finance, Vol. 60, No. 2 (Apr., 2005), pp. 817-39
Other versions of this item:
- Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Department of Economics Working Papers 2001-04, Department of Economics, Williams College.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-11-21 (All new papers)
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