The impact of individual investor trading on information asymmetry in the Korean stock market

被引：17
|
作者：
Chung, Chune Young [1 ]
Wang, Kainan [2 ]
机构：
[1] Chung Ang Univ, Sch Business Adm, Seoul 156756, South Korea
[2] Univ Toledo, Coll Business & Innovat, Dept Finance, 2801 W Bancroft St, Toledo, OH 43606 USA
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2016年 / 37卷
关键词：
Individual investor trading; Information asymmetry; Bid-ask spread; Short-term trading data; Korean stock market; Emerging market; BID-ASK SPREADS; EARNINGS ANNOUNCEMENTS; VOLATILITY; VOLUME; RETURN; OVERCONFIDENCE; EQUILIBRIUM; OWNERSHIP; BEHAVIOR; RISK;
D O I：
10.1016/j.najef.2016.05.005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the impact of individual investor trading on information asymmetry in the market. In particular, we examine the relationship between the trading volume by individual investors and the corresponding bid-ask spread in the Korean stock market, where the majority of the trading activity is driven by individual investors and therefore information asymmetry can be evident. We find that high trading activity by individual investors increases the bid-ask spread in a short investment horizon, suggesting that individual investors, as uninformed and unsophisticated traders, amplify the degree of information asymmetry in the market through trading. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：472 / 484
页数：13
相关论文
共 50 条
  • [41] Examining the effects of information sources on individual earning rates in the South Korean stock market
    Park, Eunil
    Kwon, Sang Jib
    [J]. ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2015, 28 (01): : 650 - 667
  • [42] Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market
    Ryu, Doowon
    Ryu, Doojin
    Yang, Heejin
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2020, 56 (08) : 1804 - 1816
  • [43] Study on impact of Institutional Investor on Stock Market Volatility
    Guo Xiao
    Yang Naiding
    Dong Tieniu
    [J]. ADVANCES IN MANAGEMENT OF TECHNOLOGY, PT 1, 2008, : 430 - 435
  • [44] IMPACT OF OPTION TRADING ON INDIAN STOCK MARKET
    Gahlot, Ruchika
    Datta, Saroj Kumar
    [J]. 4TH ANNUAL EUROMED CONFERENCE OF THE EUROMED ACADEMY OF BUSINESS: BUSINESS RESEARCH CHALLENGES IN A TURBULENT ERA, 2011, : 696 - 706
  • [45] Information Asymmetry and Investor Valuations of Initial Public Offerings: Two Dimensions of Organizational Reputation as Stock Market Signals
    Liu, Yang
    Cheng, Peng
    OuYang, Zhe
    Wang, Ao
    [J]. MANAGEMENT AND ORGANIZATION REVIEW, 2020, 16 (04) : 945 - 964
  • [46] Structural transmissions among investor attention, stock market volatility and trading volumes
    Herwartz, Helmut
    Xu, Fang
    [J]. EUROPEAN FINANCIAL MANAGEMENT, 2022, 28 (01) : 260 - 279
  • [47] Momentum and Earnings Information in the Korean Stock Market
    Ha, YuSung
    Kang, Jangkoo
    Kim, SunYung
    [J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2021, 50 (03) : 334 - 359
  • [48] Information of employee decisions and stock returns in the Korean stock market
    Bae, Jaewan
    Kang, Jangkoo
    [J]. INTERNATIONAL REVIEW OF FINANCE, 2023, 23 (01) : 206 - 224
  • [49] Foreign investor trading and information asymmetry: evidence from a leading emerging market (vol 24, pg 540, 2016)
    Chung, C. Y.
    Kim, H.
    Ryu, D.
    [J]. APPLIED ECONOMICS LETTERS, 2017, 24 (08) : I - I
  • [50] Impact of stock market trading on currency market volatility spillovers
    Baklaci, Hasan Fehmi
    Aydogan, Berna
    Yelkenci, Tezer
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 52
12345