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Gross Capital Flows and Asymmetric Information

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    Abstract

    This paper shows that the behavior of gross capital flows can identify the nature of information asymmetries in international equity markets. Information asymmetry between foreign and domestic investors implies a correlation between net flows and returns. Information asymmetry within groups of foreign and domestic investors implies that gross flows and absolute returns are correlated. I find that the correlation between gross flows and absolute returns is stronger than the correlation between net flows and returns, suggesting that information asymmetries within countries are more important than those between countries.

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    File URL: http://web.williams.edu/Economics/wp/gross_flows.pdf
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    Bibliographic Info

    Paper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2001-07.

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    Date of creation: Jun 2001
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    Publication status: published in Journal of International Money and Finance, November 2003, v. 22, iss. 6, pp. 835-64
    Handle: RePEc:wil:wileco:2001-07

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    Keywords: gross international capital flows; asymmetricinformation; trading volume;

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