This paper studies the behavior of foreign, local investors and total
market in a stock trading. The analysis is focused on their
implementation of positive feedback strategy, the existence of mean
reverting process and their sensitivity toward expected capital gain and
losses. The result reveals that both of these two investors apply the
positive feedback strategy, at a different degree. The investment
horizon of the foreign investors is shorter than the local investors.
There is a mean reverting pattern in the price volatilities. The
convergence period for local investor is 2.4. The market needs 1.8
month. No convergence period for foreign investors. The local investors
and total market are neutral toward expected gain and losses. The
foreign investors are more sensitive to capital loss. Previous price and
volume changes have a leverage effect to the current demand of foreign
investors. The local investors are affected by changes in price only.