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Do Big Investors’ Trades Have Predictive Power? A Note on Istanbul Stock Market

  • Numan Ülkü

The net buying (selling) volume of the most net buyer (seller) brokers over a unit period is a widely followed piece of information in Istanbul Stock Market, which most market commentaries inaccurately refer to as “the net money in- or outflow”. It is, in fact, a proxy for big investors’ trading. In this note, we test whether this information has predictive value, whether market participants’ emphasis on this information is justified, or just an illusion. By doing so, we add to the literature on the relationship between big investors’ trading and stock returns, using a unique information set. Results suggest a significant contemporaneous association between the “net inflow” and current returns, but little predictive value

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Article provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.

Volume (Year): 2 (2008)
Issue (Month): 1 ()
Pages: 85-108

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Handle: RePEc:bdd:journl:v:2:y:2008:i:1:p:85-108
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  1. Patrick J. Dennis & Deon Strickland, 2002. "Who Blinks in Volatile Markets, Individuals or Institutions?," Journal of Finance, American Finance Association, vol. 57(5), pages 1923-1949, October.
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  8. Russ Wermers, 1999. "Mutual Fund Herding and the Impact on Stock Prices," Journal of Finance, American Finance Association, vol. 54(2), pages 581-622, 04.
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  10. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
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