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

Umutlu, Mehmet and Shackleton, Mark (2015) Stock-return volatility and daily equity trading by investor groups in Korea. Pacific-Basin Finance Journal, 34. pp. 43-70. ISSN 0927-538X

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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 an increasing impact on volatility though it is not always significant. Our results are robust to alternative measures of volatility and obtained after controlling for volatility persistency, total volume and lagged stock returns.

Item Type:
Journal Article
Journal or Publication Title:
Pacific-Basin Finance Journal
Additional Information:
This is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Pacific-Basin Finance Journal, 34, 2015 DOI: 10.1016/j.pacfin.2015.05.003
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2003
Subjects:
?? stock-return volatilitytradinginvestor groupsfinanceeconomics and econometricsg12g15discipline-based research ??
ID Code:
73961
Deposited By:
Deposited On:
18 Jun 2015 05:57
Refereed?:
Yes
Published?:
Published
Last Modified:
21 Sep 2024 00:36