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Market participants' trading behavior toward anomalies: Evidence from the Korean market

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  • Kim, Donghoon
  • Kang, Jangkoo
  • Roh, Soohyun

Abstract

We examine the relationship between trading behavior and anomalies in the Korean stock market. Using a mispricing measure constructed from 26 statistically significant anomalies in the Korean stock market, we document the following results. First, individual investors are uninformed traders generating the anomalies. Second, institutional and foreign investors are, in general, sophisticated investors who exploit and mitigate the anomalies. Third, only some of the institutional and foreign investors are smart investors because only institutions involved in financial asset management and registered foreign investors effectively exploit anomalies.

Suggested Citation

  • Kim, Donghoon & Kang, Jangkoo & Roh, Soohyun, 2025. "Market participants' trading behavior toward anomalies: Evidence from the Korean market," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    • Handle: RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003743
    DOI: 10.1016/j.pacfin.2024.102622
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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