Title: Foreign portfolio investment performance and investor's trading patterns: empirical study in Indonesian government bonds market

Authors: Ahmad Danu Prasetyo

Addresses: Graduate School of Economics, Keio University, 2–15–45 Mita, Tokyo 108–8345, Japan; School of Business and Management, Institut Teknologi Bandung, Jl. Ganesha No. 10, Bandung 40132, Indonesia

Abstract: There is a dispute on whether foreign investors are superior compared to the domestic investors. Many economists suggest that foreign investors may have had more advantages due to significant amount of investment, experience and expertise. On the other hand, domestic investors may have a short-lived information advantage. Following the work of Kamesaka et al. (2003), this paper is purposed to uncover the trading patterns of foreign investors and the other domestic investor groups, as well as to measure their performance in Indonesian government bonds market. The study suggests that foreign investors were not always profited. Nevertheless, cumulatively, they enjoyed the highest return in Indonesian Government bond market. In addition, there is indication that foreign investors have become market followers instead of initiators in the market.

Keywords: foreign portfolio investment; trading patterns; investor performance; Indonesia; government bonds.

DOI: 10.1504/IJEPEE.2013.056933

International Journal of Economic Policy in Emerging Economies, 2013 Vol.6 No.3, pp.254 - 268

Received: 11 Feb 2013
Accepted: 19 May 2013

Published online: 28 Jun 2014 *

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