Foreigners' trading and stock returns in Spain
Date
2015
Authors
Porras, E.
Ülkü, N.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Journal of International Financial Markets, Institutions and Money, 2015; 34:111-126
Statement of Responsibility
Conference Name
Abstract
Using monthly foreign flows data from Madrid Stock Exchange, we analyze the interaction between foreigners' trading and stock returns, both marketwide and on individual stocks. We show that global risk appetite has a significant role in driving marketwide foreign investor flows. Our data of foreigners' trading in individual stocks, the first on a major European market, enables an out-of-sample assessment of the theories of foreign investor behavior. Positive feedback trading, an alleged symptom of information disadvantage, is visible in individual stocks, whereas negative feedback trading is observed at the market-wide level, especially by US investors who have currency exposure.
School/Discipline
Dissertation Note
Provenance
Description
Data source: Supplementary data, http://www.sciencedirect.com/science/article/pii/S1042443114001401#appd002
Access Status
Rights
Copyright 2014 Elsevier B.V.