Do Big Investors’ Trades Have Predictive Power? A Note on Istanbul Stock Market

Numan Ülkü

Journal of BRSA Banking and Financial Markets, 2008, vol. 2, issue 1, pages 85-108

Abstract: The net buying (selling) volume of the most net buyer (seller) brokers over a unit period is a widely followed piece of information in Istanbul Stock Market, which most market commentaries inaccurately refer to as “the net money in- or outflow”. It is, in fact, a proxy for big investors’ trading. In this note, we test whether this information has predictive value, whether market participants’ emphasis on this information is justified, or just an illusion. By doing so, we add to the literature on the relationship between big investors’ trading and stock returns, using a unique information set. Results suggest a significant contemporaneous association between the “net inflow” and current returns, but little predictive value

Keywords: The Relationship Between Big Investors’ Trading and Returns; Predictive Value of Large Trades; Market Microstructure; Istanbul Stock Market (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:bdd:journl:v:2:y:2008:i:1:p:85-108

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