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Inviting Excess Volatility? Opening Up a Small Stock Market to International Investors

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  • Sellin, Peter

Abstract

What is the effect on asset prices of opening up a small stock market to international investors? In this paper, some evidence is found that net purchases of stocks by foreign investors lead to temporary price effects in a small stock market. On average, foreign investors' net purchases of stocks look like noise trading and seem to create some amount of excess volatility in the market. Copyright 1996 by The editors of the Scandinavian Journal of Economics.

Suggested Citation

  • Sellin, Peter, 1996. "Inviting Excess Volatility? Opening Up a Small Stock Market to International Investors," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 603-612, December.
    • Handle: RePEc:bla:scandj:v:98:y:1996:i:4:p:603-12
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    Cited by:

    1. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series 1, Institute for Financial Research.
    2. Michael Graham & Jussi Nikkinen & Jarkko Peltomäki, 2020. "Web-Based Investor Fear Gauge and Stock Market Volatility: An Emerging Market Perspective," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 127-153, August.
    3. Dahlquist, Magnus & Robertsson, Goran, 2004. "A note on foreigners' trading and price effects across firms," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 615-632, March.
    4. Dahlquist, Magnus & Robertsson, Göran, 2001. "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers 3033, C.E.P.R. Discussion Papers.
    5. Säfvenblad, Patrik, 1999. "The Informational Advantage of Foreign Investors: An Empirical Study of the Swedish Bond Market," Working Paper Series 86, Sveriges Riksbank (Central Bank of Sweden).
    6. Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.
    7. Doowoo Nam, 2004. "Do Foreign Investors Cause Noise in an Emerging Stock Market?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 21-36, January.

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