Stock-return volatility and daily equity trading by investor groups in Korea

Shackleton, Mark and Umutlu, Mehmet (2014) Stock-return volatility and daily equity trading by investor groups in Korea. Working Paper. Lancaster University, Lancaster.

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Abstract

We examine the short-run relationship between stock-return volatility and daily equity trading by several investor groups in the Korean Stock Exchange. We also investigate whether trade characteristics and trading styles can explain the potential distinct volatility effects of these investor groups. For large stocks, we find that whether a trade is a purchase or a sale and whether it is a contrarian or a momentum trade does not play a role in the relation between volatility and trading. It is the trading of informed institutional investors against non-informed individual investors that drives volatility and produces a negative volatility effect. We further show that net foreign trading has a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.

Item Type:
Monograph (Working Paper)
Subjects:
ID Code:
71966
Deposited By:
Deposited On:
28 Nov 2014 16:55
Refereed?:
No
Published?:
Published
Last Modified:
26 Sep 2020 23:55