Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market
- Authors
- Chung, C.Y.[Chung, C.Y.]; Lee, Y.[Lee, Y.]; Ryu, D.[Ryu, D.]
- Issue Date
- 2017
- Publisher
- Springer New York LLC
- Keywords
- Bid–ask spread; Domestic institution; Information asymmetry; Institutional trade; Korean stock market
- Citation
- Asia-Pacific Financial Markets, v.24, no.4, pp.309 - 322
- Indexed
- SCOPUS
- Journal Title
- Asia-Pacific Financial Markets
- Volume
- 24
- Number
- 4
- Start Page
- 309
- End Page
- 322
- URI
- https://scholarworks.bwise.kr/skku/handle/2021.sw.skku/32916
- DOI
- 10.1007/s10690-017-9235-0
- ISSN
- 1387-2834
- Abstract
- We analyze a trading dataset from the Korean stock market, a representative and leading emerging equity market, to study the impact of domestic institutional trades on information asymmetry. Using the bid–ask spread as a proxy for the adverse selection cost imposed by information asymmetry, we empirically examine the relationship between domestic institutional trades and their corresponding bid–ask spreads. We find that bid–ask spreads tend to increase when the trading volume of domestic institutional investors is high, suggesting that such investors tend to aggravate information asymmetry as informed traders in the Korean stock market. © 2017, Springer Japan KK, part of Springer Nature.
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Collections - Economics > Department of Economics > 1. Journal Articles
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