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

Diyarbakirlioglu E.

EMERGING MARKETS REVIEW, cilt.12, sa.4, ss.485-509, 2011 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 12 Sayı: 4
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1016/j.ememar.2011.08.002
  • Dergi Adı: EMERGING MARKETS REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.485-509
  • Galatasaray Üniversitesi Adresli: Hayır

Özet

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. (C) 2011 Elsevier B.V. All rights reserved.