所属栏目:家庭金融/行为金融

Are Foreign Investors Too Aggressive in Trading? Evidence from Indonesia
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发布日期:2008年05月03日 上次修订日期:2008年05月03日

摘要

In this study, we investigate the aggressiveness of trading by foreign investors in the Indonesian stock market. We accomplish this with the help of complete order and transaction records between May 1995 and May 2003, from the Jakarta Stock Exchange. We find that foreign investors, compared to domestic investors, exhibit aggressive trading behavior in several respects: (1) the orders submitted by foreign investors have a higher probability of being executed (filled); (2) foreign investors are more likely to submit orders to initiate trades; and (3) it takes less time for the non-initiation orders from foreign investors to be filled. We also find that the aggressive trading behavior of foreign investors does affect their trading performance, even though they do not necessarily have an information disadvantage over domestic investors. Finally, we find weak evidence to suggest that the aggressive trading may increase selling pressure on stock prices when the market is under distress.
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Sumit Agarwal; Chunlin Liu Are Foreign Investors Too Aggressive in Trading? Evidence from Indonesia (2008年05月03日) https://www.cfrn.com.cn/lw/12021

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