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Foreign equity trading and average stock-return volatility

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Foreign equity trading and average stock-return volatility. / Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslihan.
In: The World Economy, Vol. 36, No. 9, 09.2013, p. 1209-1228.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Umutlu, M, Akdeniz, L & Altay-Salih, A 2013, 'Foreign equity trading and average stock-return volatility', The World Economy, vol. 36, no. 9, pp. 1209-1228. https://doi.org/10.1111/twec.12011

APA

Umutlu, M., Akdeniz, L., & Altay-Salih, A. (2013). Foreign equity trading and average stock-return volatility. The World Economy, 36(9), 1209-1228. https://doi.org/10.1111/twec.12011

Vancouver

Umutlu M, Akdeniz L, Altay-Salih A. Foreign equity trading and average stock-return volatility. The World Economy. 2013 Sept;36(9):1209-1228. Epub 2013 Feb 11. doi: 10.1111/twec.12011

Author

Umutlu, Mehmet ; Akdeniz, Levent ; Altay-Salih, Aslihan. / Foreign equity trading and average stock-return volatility. In: The World Economy. 2013 ; Vol. 36, No. 9. pp. 1209-1228.

Bibtex

@article{be21e7fc96c3482a86b52a5c4caf3ce9,
title = "Foreign equity trading and average stock-return volatility",
abstract = "We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading, which not only enable us to capture effective foreign investor participation but also to observe the potential asymmetric effects of incoming and outgoing funds on the average total volatility. Consistent with the implications of the asymmetric information hypothesis, we find that net equity flow is positively associated with average total volatility. Furthermore, we show that net equity flow affects the average total volatility through the local and idiosyncratic volatilities, suggesting that foreign investors engage in the production of firm specific and market wide information.",
author = "Mehmet Umutlu and Levent Akdeniz and Aslihan Altay-Salih",
year = "2013",
month = sep,
doi = "10.1111/twec.12011",
language = "English",
volume = "36",
pages = "1209--1228",
journal = "The World Economy",
issn = "0378-5920",
publisher = "Wiley-Blackwell",
number = "9",

}

RIS

TY - JOUR

T1 - Foreign equity trading and average stock-return volatility

AU - Umutlu, Mehmet

AU - Akdeniz, Levent

AU - Altay-Salih, Aslihan

PY - 2013/9

Y1 - 2013/9

N2 - We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading, which not only enable us to capture effective foreign investor participation but also to observe the potential asymmetric effects of incoming and outgoing funds on the average total volatility. Consistent with the implications of the asymmetric information hypothesis, we find that net equity flow is positively associated with average total volatility. Furthermore, we show that net equity flow affects the average total volatility through the local and idiosyncratic volatilities, suggesting that foreign investors engage in the production of firm specific and market wide information.

AB - We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading, which not only enable us to capture effective foreign investor participation but also to observe the potential asymmetric effects of incoming and outgoing funds on the average total volatility. Consistent with the implications of the asymmetric information hypothesis, we find that net equity flow is positively associated with average total volatility. Furthermore, we show that net equity flow affects the average total volatility through the local and idiosyncratic volatilities, suggesting that foreign investors engage in the production of firm specific and market wide information.

U2 - 10.1111/twec.12011

DO - 10.1111/twec.12011

M3 - Journal article

VL - 36

SP - 1209

EP - 1228

JO - The World Economy

JF - The World Economy

SN - 0378-5920

IS - 9

ER -