Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market |
| |
| Authors: | Donghyun Kim Chune Young Chung Hong Kee Sul |
| |
| Affiliation: | 1. Lubar School of Business, University of Wisconsin – Milwaukee, Milwaukee, Wisconsin, USA;2. School of Business Administration, College of Business and Economics, Chung-Ang University, Seoul, Korea |
| |
| Abstract: | 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. |
| |
| Keywords: | Amihud’s illiquidity ratio bid–ask spread emerging market order-driven market short-term trading data |
|
|
