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

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  • Donghyun Kim
  • Chune Young Chung
  • Kyung Soon Kim
  • Hong Kee Sul

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.

Suggested Citation

  • Donghyun Kim & Chune Young Chung & Kyung Soon Kim & Hong Kee Sul, 2019. "Daily Stock Trading by Investor Type and Information Asymmetry: Evidence from the Korean Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(1), pages 13-28, January.
    • Handle: RePEc:mes:emfitr:v:55:y:2019:i:1:p:13-28
    DOI: 10.1080/1540496X.2018.1504291
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    Cited by:

    1. Chun-Teck Lye & Tuan-Hock Ng & Kwee-Pheng Lim & Chin-Yee Gan, 2020. "Investor protection and market reaction to unusual market activity replies," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 16(8), pages 2034-2069, July.

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