SUDIMAN, JOSEPHINE; ALLEN, DAVID EDMUND; POWELL, ROBERT JOHN - In: Annals of Financial Economics (AFE) 08 (2013) 02, pp. 1350008-1
This article examines the contribution of foreign investors to price discovery by applying a vector error correction model (VECM) to 30 frequently-traded stocks on the Indonesia Stock Exchange. We use the Lee and Ready (1991) rule to determine the initiator of a trade and compute the volume...