Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only)

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dc.contributor Svenska handelshögskolan, Institutionen för finansiell ekonomi och ekonomisk statistik, finansiell ekonomi sv
dc.contributor Swedish School of Economics and Business Administration, Department of Finance and Statistics, Finance en Mänttäri, Henri 2011-03-02T13:22:00Z 2011-03-02T13:22:00Z 2005-08-02
dc.identifier.isbn 951-555-886-7
dc.identifier.uri URN:ISBN:951-555-886-7
dc.description.abstract As globalization and capital free movement has increased, so has interest in the effects of that global money flow, especially during financial crises. The concern has been that large global money flows will affect the pricing of small local markets by causing, in particular, overreaction. The purpose of this thesis is to contribute to the body of work concerning short-term under- and overreaction and the short-term effects of foreign investment flow in the small Finnish equity markets. This thesis also compares foreign execution return to domestic execution return. This study’s results indicate that short-term under- and overreaction occurs in domestic-buy portfolios (domestic net buying) rather than in foreign-buy portfolios. This under- and overreaction, however, is not economically meaningful after controlling for the bid-ask bounce effect. Based on this finding, one can conclude that foreign investors do not have a destabilizing effect in the short-term in the Finnish markets. Foreign activity affects short-term returns. When foreign investors are net buyers (sellers) there are positive (negative) market adjusted returns. Literature related to nationality and institutional effect leads us to expect these kind of results. These foreign flows are persistent at a 5 % to 21 % level and the persistence of foreign buy flow is higher than the foreign sell flow. Foreign daily trading execution is worse than domestic execution. Literature which quantifies foreign investors as liquidity demanders and literature related to front-running leads us to expect poorer foreign execution than domestic execution. fi
dc.format.extent 1837 bytes
dc.format.extent 258620 bytes
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Swedish School of Economics and Business Administration en
dc.relation.ispartofseries Economics and Society
dc.relation.ispartofseries 147
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject short-term underreaction fi
dc.subject short-term overreaction fi
dc.subject foreign investors fi
dc.subject foreign equity flow fi
dc.subject price effect fi
dc.subject foreign trade execution fi
dc.subject.other Finance fi
dc.title Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only) fi
dc.type.ontasot Doctoral thesis en
dc.type.ontasot Väitöskirja fi
dc.type.ontasot Doktorsavhandling sv
dc.type.dcmitype Text 2005-08-12

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