Political turmoil and the impact of foreign orders on equity prices
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, cilt.65, 2020 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 65
- Basım Tarihi: 2020
- Doi Numarası: 10.1016/j.intfin.2020.101174
- Dergi Adı: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit
- Orta Doğu Teknik Üniversitesi Adresli: Hayır
Özet
This paper examines whether foreign investors possess an information advantage over local investors in the Turkish stock market between 2007 and 2015. We find that foreign investors have an information advantage in 24 stocks, corresponding to seven percent of the sample firms. Foreign investors' information advantage tends to prevail primarily during a period of political instability, which started with the Gezi Park protests in June 2013. The adverse selection component of the foreign trade spreads, which reflects a permanent change in stock prices, rises significantly after June 2013, by 66 bps. Our results suggest that domestic investors' funding constraints, which limit their ability to impart their information on stock prices, may give foreign investors a relative information advantage during periods of political turmoil. (C) 2020 Elsevier B.V. All rights reserved.