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Information asymmetry, speculation and foreign trading activity: Emerging market evidence

Listed author(s):
  • Ciner, Cetin
  • Karagozoglu, Ahmet K.
Registered author(s):

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    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(07)00063-4
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 17 (2008)
    Issue (Month): 4 (September)
    Pages: 664-680

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    Handle: RePEc:eee:finana:v:17:y:2008:i:4:p:664-680
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    1. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
    2. Michael S. Gibson, 1999. "Is corporate governance ineffective in emerging markets?," Finance and Economics Discussion Series 1999-63, Board of Governors of the Federal Reserve System (U.S.).
    3. Cooper, Michael, 1999. "Filter Rules Based on Price and Volume in Individual Security Overreaction," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 901-935.
    4. Michael L. Lemmon & Karl V. Lins, 2003. "Ownership Structure, Corporate Governance, and Firm Value: Evidence from the East Asian Financial Crisis," Journal of Finance, American Finance Association, vol. 58(4), pages 1445-1468, 08.
    5. Guillermo Llorente & Roni Michaely & Gideon Saar & Jiang Wang, 2001. "Dynamic Volume-Return Relation of Individual Stocks," NBER Working Papers 8312, National Bureau of Economic Research, Inc.
    6. Brennan, Michael J & Cao, H Henry, 1997. " International Portfolio Investment Flows," Journal of Finance, American Finance Association, vol. 52(5), pages 1851-1880, December.
    7. Michael Gombola & Hei Wai Lee & Feng-Ying Liu, 1997. "Evidence of Selling by Managers after Seasoned Equity Offering Announcements," Financial Management, Financial Management Association, vol. 26(3), Fall.
    8. Brian M. Lucey, 2005. "Speculation or hedging in the Irish stock exchange," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 9-14, January.
    9. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-1271, November.
    10. Harvey, Campbell R. & Lins, Karl V. & Roper, Andrew H., 2004. "The effect of capital structure when expected agency costs are extreme," Journal of Financial Economics, Elsevier, vol. 74(1), pages 3-30, October.
    11. Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
    12. Rafael La Porta & Florencio Lopez-de-Silane & Andrei Shleifer & Robert W. Vishny, 1996. "Law and Finance," NBER Working Papers 5661, National Bureau of Economic Research, Inc.
    13. Simon Gervais & Ron Kaniel & Dan Mingelgrin, "undated". "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 01-99, Wharton School Rodney L. White Center for Financial Research.
    14. Froot, Kenneth A. & O'Connell, Paul G. J. & Seasholes, Mark S., 2001. "The portfolio flows of international investors," Journal of Financial Economics, Elsevier, vol. 59(2), pages 151-193, February.
    15. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
    16. Laurence Booth, 2001. "Capital Structures in Developing Countries," Journal of Finance, American Finance Association, vol. 56(1), pages 87-130, 02.
    17. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 2000. "When an event is not an event: the curious case of an emerging market," Journal of Financial Economics, Elsevier, vol. 55(1), pages 69-101, January.
    18. Stijn Claessens & Simeon Djankov & Joseph P. H. Fan & Larry H. P. Lang, 2002. "Disentangling the Incentive and Entrenchment Effects of Large Shareholdings," Journal of Finance, American Finance Association, vol. 57(6), pages 2741-2771, December.
    19. Darrat, Ali F. & Rahman, Shafiqur & Zhong, Maosen, 2003. "Intraday trading volume and return volatility of the DJIA stocks: A note," Journal of Banking & Finance, Elsevier, vol. 27(10), pages 2035-2043, October.
    20. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    21. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
    22. Claessens, Stijn & Djankov, Simeon & Lang, Larry H. P., 2000. "The separation of ownership and control in East Asian Corporations," Journal of Financial Economics, Elsevier, vol. 58(1-2), pages 81-112.
    23. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
    24. 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.
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