IDEAS home Printed from https://ideas.repec.org/a/eee/mulfin/v20y2010i2-3p93-113.html
   My bibliography  Save this article

Asymmetric investor behavior between buyside and sellside: Evidence from investor classes in the Sri Lankan stock market

Author

Listed:
  • Samarakoon, Lalith P.

Abstract

Using unique trading data for investor classes from Sri Lanka, this study finds asymmetric investor behavior between buyside and sellside in large trades. Investors are positive feedback traders on the buyside and contrarians on the sellside. Domestic investors exhibit more feedback and contrarian behavior than foreign investors, suggesting that foreign investors are more informed on the buyside and less informed on the sellside. Individuals are more feedback and contrarian traders than institutions. Foreign institutional investor sales do not precede, coincide with, or lead to significant returns. Trades do not lead to price momentum or reversals, but leave a permanent positive price effect.

Suggested Citation

  • Samarakoon, Lalith P., 2010. "Asymmetric investor behavior between buyside and sellside: Evidence from investor classes in the Sri Lankan stock market," Journal of Multinational Financial Management, Elsevier, vol. 20(2-3), pages 93-113, July.
  • Handle: RePEc:eee:mulfin:v:20:y:2010:i:2-3:p:93-113
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042-444X(10)00019-8
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    2. Kim, Woochan & Wei, Shang-Jin, 2002. "Foreign portfolio investors before and during a crisis," Journal of International Economics, Elsevier, vol. 56(1), pages 77-96, January.
    3. 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.
    4. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    5. Swanson, Peggy E. & Lin, Anchor Y., 2005. "Trading behavior and investment performance of U.S. investors in global equity markets," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 99-115, April.
    6. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-395, June.
    7. Karolyi, G. Andrew, 2002. "Did the Asian financial crisis scare foreign investors out of Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 411-442, September.
    8. Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
    9. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Department of Economics Working Papers 2001-04, Department of Economics, Williams College.
    10. Joshua D. Coval & Tobias J. Moskowitz, 1999. "Home Bias at Home: Local Equity Preference in Domestic Portfolios," Journal of Finance, American Finance Association, vol. 54(6), pages 2045-2073, December.
    11. 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.
    12. Shen, Qian & Szakmary, Andrew C. & Sharma, Subhash C., 2005. "Momentum and contrarian strategies in international stock markets: Further evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 235-255, July.
    13. Mark Grinblatt, 2001. "How Distance, Language, and Culture Influence Stockholdings and Trades," Journal of Finance, American Finance Association, vol. 56(3), pages 1053-1073, June.
    14. Brennan, Michael J & Cao, H Henry, 1997. " International Portfolio Investment Flows," Journal of Finance, American Finance Association, vol. 52(5), pages 1851-1880, December.
    15. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
    16. Brennan, Michael J. & Henry Cao, H. & Strong, Norman & Xu, Xinzhong, 2005. "The dynamics of international equity market expectations," Journal of Financial Economics, Elsevier, vol. 77(2), pages 257-288, August.
    17. S.G. Badrinath & Sunil Wahal, 2002. "Momentum Trading by Institutions," Journal of Finance, American Finance Association, vol. 57(6), pages 2449-2478, December.
    18. Rene M. Stulz, 1999. "Globalization of Equity Markets and the Cost of Capital," NBER Working Papers 7021, National Bureau of Economic Research, Inc.
    19. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, April.
    20. Tomás Dvorák, 2005. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Journal of Finance, American Finance Association, vol. 60(2), pages 817-839, April.
    21. Bohn, Henning & Tesar, Linda L, 1996. "U.S. Equity Investment in Foreign Markets: Portfolio Rebalancing or Return Chasing?," American Economic Review, American Economic Association, vol. 86(2), pages 77-81, May.
    22. De Bondt, Werner P. M., 1993. "Betting on trends: Intuitive forecasts of financial risk and return," International Journal of Forecasting, Elsevier, vol. 9(3), pages 355-371, November.
    23. Harald Hau, 2001. "Location Matters: An Examination of Trading Profits," Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.
    24. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:mulfin:v:20:y:2010:i:2-3:p:93-113. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/mulfin .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.