The paper examines the price whether the foreign investors are informed traders by investigating the degree of the contribution to price discovery classified by the size of the stocks. Our results show that the foreign investors account for a majority of price discovery in spite of less number of deal volume and deal value traded by the foreign investors. The information share estimates for foreign investors range from 30 percent to 68 percent which is higher than the information share of the local customers. After controlling for the volume traded and the number of transactions traded, the information share exhibits higher degree of price discovery from the foreign investors.
Number of Pages in PDF File: 39
Keywords: Informed trading, Price discovery, Trader type
Janyangyuen, Worapong , Cost of Informed Trading and Trader Type
Exploration of Price Discovery by Trader Type (August 18, 2008). 21st Australasian Finance and Banking Conference 2008 Paper. Available at SSRN: http://ssrn.com/abstract=1234262 or http://dx.doi.org/10.2139/ssrn.1234262