Do Domestic Investors Have an Information Advantage? Evidence from Indonesia
Using transaction data from the Jakarta Stock Exchange, I nd three pieces of evidence which indicate that domestic investors have an information advantage over foreign investors. First, foreign investors systematically buy at higher and sell at lower intra-day prices than domestic investors. Second, foreign investors tend to sell prior to large positive returns. Finally, the permanent impact of foreign purchases is smaller than that of domestic purchases. Over time, prices at which foreign investors trade have worsened, while foreign selling prior to positive returns has disappeared.
|Date of creation:||Oct 2001|
|Date of revision:|
|Publication status:||published in Journal of Finance, April 2005, v. 60, iss. 2, pp. 817-39|
|Contact details of provider:|| Postal: Williamstown, MA 01267|
Phone: 413 597 2476
Fax: 413 597 4045
Web page: http://econ.williams.edu
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Aditya Kaul & Vikas Mehrotra & Randall Morck, 1999.
"Demand Curves for Stocks Do Slope Down: New Evidence From An Index Weights Adjustment,"
Harvard Institute of Economic Research Working Papers
1884, Harvard - Institute of Economic Research.
- Aditya Kaul & Vikas Mehrotra & Randall Morck, 2000. "Demand Curves for Stocks "Do "Slope Down: New Evidence from an Index Weights Adjustment," Journal of Finance, American Finance Association, vol. 55(2), pages 893-912, 04.
- Hau, Harald, 2001. "Geographic patterns of trading profitability in Xetra," European Economic Review, Elsevier, vol. 45(4-6), pages 757-769, May.
- Brennan, Michael J & Cao, H Henry, 1997.
" International Portfolio Investment Flows,"
Journal of Finance,
American Finance Association, vol. 52(5), pages 1851-80, December.
- Comerton-Forde, Carole, 1999. "Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 495-521, December.
- 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.
- Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
- Bonser-Neal, Catherine & Linnan, David & Neal, Robert, 1999. "Emerging market transaction costs: Evidence from Indonesia," Pacific-Basin Finance Journal, Elsevier, vol. 7(2), pages 103-127, May.
- Kenneth Rogoff, 1999.
"International Institutions for Reducing Global Financial Instability,"
Journal of Economic Perspectives,
American Economic Association, vol. 13(4), pages 21-42, Fall.
- Kenneth Rogoff, 1999. "International Institutions for Reducing Global Financial Instability," NBER Working Papers 7265, National Bureau of Economic Research, Inc.
- Shleifer, Andrei, 1986. " Do Demand Curves for Stocks Slope Down?," Journal of Finance, American Finance Association, vol. 41(3), pages 579-90, July.
When requesting a correction, please mention this item's handle: RePEc:wil:wileco:2001-04. 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: (Stephen Sheppard)
If references are entirely missing, you can add them using this form.