Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market

Springer Science and Business Media LLC - Tập 24 - Trang 309-322 - 2017
Chune Young Chung1, Yunjae Lee1, Doojin Ryu2
1School of Business Administration, Chung-Ang University, Seoul, Republic of Korea
2College of Economics, Sungkyunkwan University, Seoul, Republic of Korea

Tóm tắt

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.

Tài liệu tham khảo

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