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...
| Main Author: | |
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
2015
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| Online Access: | http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/1/11142-30908-1-PB.pdf |
| _version_ | 1848812114935808000 |
|---|---|
| author | Ros Zam Zam Sapian, |
| author_facet | Ros Zam Zam Sapian, |
| author_sort | Ros Zam Zam Sapian, |
| building | UKM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T23:57:09Z |
| format | Article |
| id | oai:generic.eprints.org:9523 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:57:09Z |
| publishDate | 2015 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org: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 |
| spellingShingle | Ros Zam Zam Sapian, The relationship between trades of foreign institutional and retail investors and equity return |
| title | 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_short | 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 |
| url | http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/ http://journalarticle.ukm.my/9523/1/11142-30908-1-PB.pdf |