IKIZLERLI, DENIZ (2010) AN EMPIRICAL INVESTIGATION OF THE BEHAVIOUR OF FOREIGN INVESTORS IN EMERGING MARKETS. Doctoral thesis, Durham University.
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Author-imposed embargo until 13 September 2015.
Using monthly data of foreign flows on Istanbul Stock Exchange (ISE), the thesis finds that in contrast to most of the available theory and repeated previous findings on other markets, foreign investors act in a contrarian manner with respect to past local returns in ISE, however only in rising markets. The findings do not support the price pressure hypothesis; instead the price impact is permanent supporting the base-broadening and information hypotheses. The analysis on individual stocks suggests no evidence of informed trading, suggesting that, foreigners have no particular advantage in terms of domestic information in the ISE. Employing daily trading data from five emerging stock markets, namely the Jakarta Stock Exchange, Korea Stock Exchange (KOSPI), Stock Exchange of Thailand (SET), Taiwan Stock Exchange, and the Kosdaq Stock Market, this thesis documents that that in four out of five markets global risk appetite affects equity flows to emerging markets. Furthermore, foreigners’ trading with respect to local return is found to be different across high and low risk appetite levels in Indonesia, Kosdaq and the Kospi markets. Their trading with respect to local return is also found to be different across high and low states of the economy in KOSPI and SET. Finally, using a daily dataset from the Stock Exchange of Thailand, this thesis investigates whether foreigners react differently on the announcement of macroeconomic news, compared to local investors. It also addresses some serious econometric issues that have affected other papers in this area. Under this improved model, many reactions turn out not to be significant, particularly since the 1997-8 crisis. However, on hearing inflation news, foreigners do react in the opposite way to local individual investors. They will therefore tend to reduce any locally-induced volatility.
|Item Type:||Thesis (Doctoral)|
|Award:||Doctor of Philosophy|
|Keywords:||foreigner's trading, feedback trading, informed trading,global risk appetite, macroeconomic announcements.|
|Faculty and Department:||Faculty of Social Sciences and Health > Economics, Finance and Business, School of|
|Copyright:||Copyright of this thesis is held by the author|
|Deposited On:||13 Sep 2010 14:17|