Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market

被引：2
|
作者：
Kim, Donghyun [1 ]
Chung, Chune Young [2 ]
Kim, Kyung Soon [3 ]
Sul, Hong Kee [2 ]
机构：
[1] Univ Wisconsin, Lubar Sch Business, Milwaukee, WI 53201 USA
[2] Chung Ang Univ, Coll Business & Econ, Sch Business Adm, Seoul, South Korea
[3] Chosun Univ, Coll Business, Div Business Adm, 309 Pilmun Daero, Gwangju 501759, South Korea
来源：
EMERGING MARKETS FINANCE AND TRADE | 2019年 / 55卷 / 01期
关键词：
Amihud's illiquidity ratio; bid-ask spread; emerging market; order-driven market; short-term trading data; G11; G12; G14; G15; BID-ASK SPREAD; INDIVIDUAL INVESTORS; EARNINGS ANNOUNCEMENTS; OWNERSHIP STRUCTURE; FOREIGN INVESTORS; CROSS-SECTION; RETURNS; IMPACT; VOLATILITY; VOLUME;
D O I：
10.1080/1540496X.2018.1504291
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine the influence of trading by heterogeneous investors on information asymmetry in the Korean stock market, which includes domestic and foreign institutional investors and individual investors. In particular, we examine the relationship between the daily trading volume and the level of information asymmetry reflected in the stock price. The results reveal that high-volume daily trading by domestic institutional and individual investors increases the degree of information asymmetry in the short term, but is more evident for individual investors. Foreign institutional investors tend to mitigate the information asymmetry. Finally, our findings are robust to an alternative measure of investor trading.
引用
收藏
页码：13 / 28
页数：16
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