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All Journal Gadjah Mada International Journal of Business Economics and Finance in Indonesia
Soemarso Slamet Rahardjo
Faculty of Economics at University of Indonesia
Economics, Econometrics & Finance

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Trading Behavior of Foreign Vis a Vis Local Investors in The Indonesian Stock Market Rahardjo, Soemarso Slamet
Gadjah Mada International Journal of Business Vol 17, No 1 (2015): January-April
Publisher : Master of Management, Faculty of Economics and Business, Universitas Gadjah Mada

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (282.367 KB)

Abstract

This paper studies the behavior of foreign, local investors and total market in a stock trading. The analysis is focused on their implementation of positive feedback strategy, the existence of mean reverting process and their sensitivity toward expected capital gain and losses. The result reveals that both of these two investors apply the positive feedback strategy, at a different degree. The investment horizon of the foreign investors is shorter than the local investors. There is a mean reverting pattern in the price volatilities. The convergence period for local investor is 2.4. The market needs 1.8 month. No convergence period for foreign investors. The local investors and total market are neutral toward expected gain and losses. The foreign investors are more sensitive to capital loss. Previous price and volume changes have a leverage effect to the current demand of foreign investors. The local investors are affected by changes in price only.
Dampak Reformasi Perpajakan 1984 Terhadap Efisiensi Sistem Perpajakan Indonesia Rahardjo, Soemarso Slamet
Economics and Finance in Indonesia Volume 46, Number 3, 1998
Publisher : Institute for Economic and Social Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (28.873 KB) | DOI: 10.47291/efi.v46i3.187

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