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Do Foreigners Act as Positive Feedback Traders in Turkey?

Author

Listed:
  • Cuneyt Akar

Abstract

In this study, trading behavior of foreigners is investigated by using monthly data of the Istanbul Stock Exchange (ISE). The causality relationship between net foreign trading volume and stock returns is analyzed by Granger Causality Test. The positive feedback hypothesis is tested by using impulse response analysis. Results show that there is unidirectional causality from stock returns to net foreign trading volume and foreigners act as negative feedback traders in the ISE.

Suggested Citation

  • Cuneyt Akar, 2008. "Do Foreigners Act as Positive Feedback Traders in Turkey?," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 10(39), pages 59-66.
    • Handle: RePEc:bor:iserev:v:10:y:2008:i:39:p:59-66
    as

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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_39.pdf
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    References listed on IDEAS

    as
    1. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
    2. Hyuk Choe & Bong-Chan Kho & René M. Stulz, 2005. "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 795-829.
    3. Brennan, Michael J & Cao, H Henry, 1997. "International Portfolio Investment Flows," Journal of Finance, American Finance Association, vol. 52(5), pages 1851-1880, December.
    4. Dahlquist, Magnus & Robertsson, Goran, 2004. "A note on foreigners' trading and price effects across firms," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 615-632, March.
    5. Grinblatt, Mark & Keloharju, Matti, 2000. "The investment behavior and performance of various investor types: a study of Finland's unique data set," Journal of Financial Economics, Elsevier, vol. 55(1), pages 43-67, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Foreign Trading; Granger Causality Test; Impulse-Response Analysis; Positive Feedback Hypothesis;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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    Access and download statistics

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