The impact of asymmetric information on foreign portfolio investment flow

Research output: Contribution to journalArticle

Abstract

This paper examines the relationship between asymmetric information and Foreign Portfolio Investment (FPI). Using daily stock price based on firm-level data from ASEAN+3 countries, we analyse the information asymmetry through market microstructure. Asymmetric information is measured by two ratios: namely, Amivest and Proportional Spread. Our static panel regression results indicate that asymmetric information through Proportional Spread negatively affects FPI; however, Amivest does not give any significant impact. The inverse effect of Proportional Spread suggests that high asymmetric information of the stock price tarnishes the capital inflows of foreign portfolio investment. Hence, policy makers should promote higher level of market transparency.

Original languageEnglish
Pages (from-to)475-494
Number of pages20
JournalInternational Journal of Business and Management Science
Volume8
Issue number2
Publication statusPublished - 1 Jan 2018

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Foreign portfolio investment
Asymmetric information
Stock prices
Panel regression
Market microstructure
Capital inflows
Market transparency
Politicians
Firm-level data
Information asymmetry

Keywords

  • Asymmetric information
  • Foreign portfolio investment
  • Market microstructure

ASJC Scopus subject areas

  • Business and International Management
  • Economics and Econometrics

Cite this

The impact of asymmetric information on foreign portfolio investment flow. / ‘Ain Mohd, Nurul; Abdul Rahman, Aisyah; Yaacob, Mohd Hasimi.

In: International Journal of Business and Management Science, Vol. 8, No. 2, 01.01.2018, p. 475-494.

Research output: Contribution to journalArticle

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