This paper shows that the behavior of gross capital flows can identify the nature of information asymmetries in international equity markets. Information asymmetry between foreign and domestic investors implies a correlation between net flows and returns. Information asymmetry within groups of...

During the last four years, the eight Eastern European countries that joined the EU in 2004 have made significant strides toward financial integration with the EU. Several pieces of evidence support this finding. First, yields on long-term sovereign bonds in accession countries have converged...

Using transaction data from the Jakarta Stock Exchange, I nd three pieces of evidence which indicate that domestic investors have an information advantage over foreign investors. First, foreign investors systematically buy at higher and sell at lower intra-day prices than domestic investors....