Investors’ Trading Activity and Information Asymmetry: Evidence from the Romanian Stock Market

This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on Bucharest Stock Exchange (BVB) for period 2004–2011. Using monthly returns companies listed BVB, stock market indices during seven years period, as well aggregate data foreign domestic (both individual) sales purchases Romanian market, this research intends to provide an answer following question: Are better informed than ones continually achieve higher rates return market? We compare advantage different investors’ categories by separating in our sample into two categories, namely blue-chips stocks (mostly that are part BET index, also containing one international stock, Erste Bank), “regular” stocks. Subsequently, we study explanatory power potential impact factors, which reflect net position four groups (Purchases-Sales) employing multivariate regression models a five variable VAR system. Ultimately, interested whether particular category consistently buyers just before increase sellers decrease, thus suggesting they have compared ones. Our aim is robust empirical evidence nature utilising unique set directly assessing relevant inter-relationships.