Foreign equity flows and the "Size Bias": Evidence from an emerging stock market

Erkin Diyarbakirlioglu ()
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Erkin Diyarbakirlioglu: IRG - Institut de Recherche en Gestion - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12

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Abstract: This paper examines foreign investors' equity-level transactions in an emerging stock market, the Istanbul Stock Exchange, for the period 1997–2008 to derive insights into the debate on information asymmetries between domestic and foreign investors and the home bias puzzle. The analysis suggests two important findings. First, foreign investors do not consider the market portfolio of domestic securities as predicted by standard theories of international portfolio diversification. Second, the firm's size and the expected return are central to explain foreign investors' equity trades. The results are consistent with models based upon the hypothesis of differential information between foreign and domestic investors.

Keywords: home bias; Istanbul Stock Exchange; portfolio flows; foreign investors; information asymmetries (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

Published in Emerging Markets Review, 2011, 12 (4), pp.485-509

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01127657

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