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Asymmetric Investor Behavior Between Buyside and Sellside: Evidence from Investor Classes in the Sri Lankan Stock Market

48 Pages Posted: 31 Jul 2010 Last revised: 18 Nov 2010

Lalith P. Samarakoon

University of St. Thomas

Date Written: 2010

Abstract

Using unique trading data for investor classes from Sri Lanka, this study finds asymmetric investor behavior between buyside and sellside in large trades. Investors are positive feedback traders on the buyside and contrarians on the sellside. Domestic investors exhibit more feedback and contrarian behavior than foreign investors, suggesting that foreign investors are more informed on the buyside and less informed on the sellside. Individuals are more feedback and contrarian traders than institutions. Foreign institutional investor sales do not precede, coincide with, or lead to significant returns. Trades do not lead to price momentum or reversals, but leave a permanent positive price effect.

Keywords: Equity flows, Positive feedback, Contrarian, Foreign and domestic investors, Emerging markets, Colombo Stock Exchange

JEL Classification: F3, G11, G15

Suggested Citation

Samarakoon, Lalith P., Asymmetric Investor Behavior Between Buyside and Sellside: Evidence from Investor Classes in the Sri Lankan Stock Market (2010). Journal of Multinational Financial Management, Vol. 20, pp. 93-113, 2010. Available at SSRN: https://ssrn.com/abstract=1650027

Lalith P. Samarakoon (Contact Author)

University of St. Thomas ( email )

2115 Summit Ave
St. Paul, MN 55105
United States

HOME PAGE: http://www.stthomas.edu/business/faculty/directory/Samarakoon_Lalith.html

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