Do Local or Foreign traders know more in an emerging market? A possible solution of the puzzle

Diego Agudelo ()

No 11117, Documentos de Trabajo de Valor Público from Universidad EAFIT

Abstract: A branch of the literature in international finance has tried to give a definitive answer to the question, who is better informed in an emerging market, Foreigners or Locals?. We measured the probability of informed trading (PIN) for the Jakarta Stock Exchange for two types of investors, foreigners and locals, developing an extension of the model of Easley, Kiefer and O’Hara (1997). We find that locals do most of the informed trades, but also most of the uninformed trades. On the other hand, given the type of investor, foreigners are more likely to be informed than locals. Besides, the evidence shows that locals tend to be more informed in smaller and more volatile firms, whereas foreigners tend to be more informed in larger an less volatile firms and firms with higher foreign ownership. We also find evidence of market-wide effects on liquidity from the foreign informed trades but not from the local ones.

Pages: 54
Date: 2007-07-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://repository.eafit.edu.co/bitstream/handle/10 ... quence=1&isAllowed=y
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to repository.eafit.edu.cobitstream:443 (No such host is known. ) (http://repository.eafit.edu.co/bitstream/handle/10784/969/2007_06_Diego_Agudelo.pdf?sequence=1&isAllowed=y [302 Found]--> https://repository.eafit.edu.cobitstream/handle/10784/969/2007_06_Diego_Agudelo.pdf?sequence=1&isAllowed=y)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000122:011117

Access Statistics for this paper

More papers in Documentos de Trabajo de Valor Público from Universidad EAFIT Contact information at EDIRC.
Bibliographic data for series maintained by Valor Público EAFIT - Centro de estudios e incidencia ().