Foreign versus domestic equity holdings and equity returns in South Africa
Date
2012-01-17
Authors
Morar, Vinesh
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Abstract
Foreign versus domestic investor returns performance was quantified and interpreted on
the Johannesburg Stock Exchange (JSE) equities market from 2007 to 2009, utilising a
real-time high frequency intraday transactional dataset sourced directly from the
exchange. Foreign investors bought at higher and sold at lower than volume weighted
average market prices relative to domestic investors, for the same stocks traded
randomly on the same day. Foreign investors exhibited diminished returns attributed to
information asymmetry effects. Across all trades, domestic investors demonstrated an
edge over foreign investors when trading securities on the JSE.
Description
MBA thesis - WBS
Keywords
Equities, Foreign, Equities, Domestic