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dc.contributor.authorUmutlu, M.en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.date.accessioned2016-02-08T09:35:58Z
dc.date.available2016-02-08T09:35:58Z
dc.date.issued2013en_US
dc.identifier.issn0378-5920
dc.identifier.urihttp://hdl.handle.net/11693/20822
dc.description.abstractWe 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.en_US
dc.language.isoEnglishen_US
dc.source.titleWorld Economyen_US
dc.relation.isversionofhttp://dx.doi.org/10.1111/twec.12011en_US
dc.subjectCapital flowen_US
dc.subjectEquityen_US
dc.subjectForeign direct investmenten_US
dc.subjectHypothesis testingen_US
dc.subjectIndustrial investmenten_US
dc.subjectInvestment locationen_US
dc.subjectStock marketen_US
dc.subjectTurkeyen_US
dc.titleForeign equity trading and average stock-return volatilityen_US
dc.typeArticleen_US
dc.departmentDepartment of Business Administration
dc.citation.spage1209en_US
dc.citation.epage1228en_US
dc.citation.volumeNumber36en_US
dc.citation.issueNumber9en_US
dc.identifier.doi10.1111/twec.12011en_US
dc.publisherWiley-Blackwell Publishingen_US


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