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Trading Behavior of Foreign Vis a Vis Local Investors in The Indonesian Stock Market

Gadjah Mada International Journal of Business

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Field Value
 
Title Trading Behavior of Foreign Vis a Vis Local Investors in The Indonesian Stock Market
 
Creator Rahardjo, Soemarso Slamet
 
Subject —
E44
 
Description This paper studies the behavior of foreign, local investors and total market in a stock trading. The analysis is focused on their implementation of positive feedback strategy, the existence of mean reverting process and their sensitivity toward expected capital gain and losses. The result reveals that both of these two investors apply the positive feedback strategy, at a different degree. The investment horizon of the foreign investors is shorter than the local investors. There is a mean reverting pattern in the price volatilities. The convergence period for local investor is 2.4. The market needs 1.8 month. No convergence period for foreign investors. The local investors and total market are neutral toward expected gain and losses. The foreign investors are more sensitive to capital loss. Previous price and volume changes have a leverage effect to the current demand of foreign investors. The local investors are affected by changes in price only.
 
Publisher Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada
 
Contributor —
 
Date 2015-04-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journal.ugm.ac.id/gamaijb/article/view/6149
 
Source Gadjah Mada International Journal of Business; Vol 17, No 1 (2015): January-April
2338-7238
1411-1128
 
Language eng
 
Relation http://journal.ugm.ac.id/gamaijb/article/view/6149/4847