Abstract

The study aims to investigate the effect of domestic and foreign investors on the efficiency of the XU100. First, the sample entropy is used to calculate the informational efficiency of the XU100. Second, the effect of portfolio values of domestic and foreign investors on efficiency is analyzed by employing the Fourier Autoregressive Distributed Lag cointegration test (FADL). The findings indicate that XU100 is partially efficient. Since the COVID-19 period, XU100 has experienced the lowest level of efficiency. The efficiency of XU100 has not reached the pre-pandemic level. The results of the FADL test indicate that there is a long-run relationship between the portfolio values of both domestic and foreign investors and the efficiency of the XU100. The results suggest that foreign investors have a positive impact on the efficiency of the XU100, while domestic investors have a negative impact. These results can be explained by the fact that foreign investors are institutional investors. As they trade in international markets, they have superior investment experience and are better at processing information. For domestic investors, behavioral factors have an impact on market efficiency.