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Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market

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  • Diyarbakirlioglu, Erkin

Abstract

This 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.

Suggested Citation

  • Diyarbakirlioglu, Erkin, 2011. "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 12(4), pages 485-509.
  • Handle: RePEc:eee:ememar:v:12:y:2011:i:4:p:485-509
    DOI: 10.1016/j.ememar.2011.08.002
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Bamiatzi, Vassiliki & Bozos, Konstantinos & Lambertides, Neophytos, 2016. "Mapping the trading behavior of the middle class in emerging markets: Evidence from the Istanbul Stock Exchange," International Business Review, Elsevier, vol. 25(3), pages 679-690.
    2. repec:eee:ememar:v:33:y:2017:i:c:p:102-139 is not listed on IDEAS
    3. Groh, Alexander Peter & Wich, Matthias, 2012. "Emerging economies' attraction of foreign direct investment," Emerging Markets Review, Elsevier, vol. 13(2), pages 210-229.
    4. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2015. "Matching the BRIC equity premium: A structural approach," Emerging Markets Review, Elsevier, vol. 22(C), pages 65-75.
    5. repec:cmj:seapas:y:2017:i:15:p:419-425 is not listed on IDEAS

    More about this item

    Keywords

    Information asymmetries; Foreign investors; Portfolio flows; Istanbul Stock Exchange; Home bias;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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