The relationship between trades of foreign institutional and retail investors and equity return

This study examined the relationship between equity flows and domestic equity returns using daily aggregate trade data categorized by two foreign investors’ classes; namely foreign institutional and retail investors. To explore the relationship between domestic equity returns and both buy and sal...

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Main Author:	Ros Zam Zam Sapian
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2015
Online Access:	http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/1/11142-30908-1-PB.pdf

id	ukm-9523
recordtype	eprints
spelling	ukm-95232016-12-14T06:50:11Z http://journalarticle.ukm.my/9523/ The relationship between trades of foreign institutional and retail investors and equity return Ros Zam Zam Sapian, This study examined the relationship between equity flows and domestic equity returns using daily aggregate trade data categorized by two foreign investors’ classes; namely foreign institutional and retail investors. To explore the relationship between domestic equity returns and both buy and sale trades of foreign institutional and retail investors, this study employed bivariate vector autoregressive model and impulse response functions. The main finding of this study amongst others indicated that past equity returns do impact the sale trades of both foreign institutional and retail investors; however they are inversely related. The findings indicated that foreign institutional investors sell less during market upswing, while foreign retail investors sell more during upside market momentum. The finding of this study also revealed that there is a temporary impact of foreign retail investors’ buy trades on domestic equity returns, thus supports the information dissemination concept particularly with regard to price momentum. Penerbit Universiti Kebangsaan Malaysia 2015 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/9523/1/11142-30908-1-PB.pdf Ros Zam Zam Sapian, (2015) The relationship between trades of foreign institutional and retail investors and equity return. Jurnal Pengurusan, 44 . pp. 1-16. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/700
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study examined the relationship between equity flows and domestic equity returns using daily aggregate trade data categorized by two foreign investors’ classes; namely foreign institutional and retail investors. To explore the relationship between domestic equity returns and both buy and sale trades of foreign institutional and retail investors, this study employed bivariate vector autoregressive model and impulse response functions. The main finding of this study amongst others indicated that past equity returns do impact the sale trades of both foreign institutional and retail investors; however they are inversely related. The findings indicated that foreign institutional investors sell less during market upswing, while foreign retail investors sell more during upside market momentum. The finding of this study also revealed that there is a temporary impact of foreign retail investors’ buy trades on domestic equity returns, thus supports the information dissemination concept particularly with regard to price momentum.
format	Article
author	Ros Zam Zam Sapian,
spellingShingle	Ros Zam Zam Sapian, The relationship between trades of foreign institutional and retail investors and equity return
author_facet	Ros Zam Zam Sapian,
author_sort	Ros Zam Zam Sapian,
title	The relationship between trades of foreign institutional and retail investors and equity return
title_short	The relationship between trades of foreign institutional and retail investors and equity return
title_full	The relationship between trades of foreign institutional and retail investors and equity return
title_fullStr	The relationship between trades of foreign institutional and retail investors and equity return
title_full_unstemmed	The relationship between trades of foreign institutional and retail investors and equity return
title_sort	relationship between trades of foreign institutional and retail investors and equity return
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2015
url	http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/1/11142-30908-1-PB.pdf
first_indexed	2023-09-18T19:55:06Z
last_indexed	2023-09-18T19:55:06Z
_version_	1777406477047169024

The relationship between trades of foreign institutional and retail investors and equity return

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