Information Asymmetry, Speculation and Foreign Trading Activity: Emerging Market Evidence
Posted: 10 Jul 2020
Date Written: 2008
This paper provides evidence on the relation between private-information-based trading and foreign trading activity on the Istanbul Stock Exchange (ISE). We use a recently developed model that utilizes information in volume–return dynamics of individual stocks and show that variables such as size and Tobin's Q explain the extent of speculative activity across firms traded on the ISE. We present evidence supporting the notion that foreign trading activity is associated with informed trading on the ISE. Implications of our findings for emerging markets research are also discussed.
Keywords: information asymmetry, foreign trading, volume-return relationship, speculation
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