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

Chune Young Chung; Yunjae Lee; Doojin Ryu

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

机译：国内机构交易会加剧信息不对称吗？来自韩国股票市场的证据

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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.

机译：我们分析了来自韩国股票市场（具有代表性的领先股票市场）的交易数据集，以研究国内机构交易对信息不对称的影响。使用买入价差作为信息不对称所施加的逆向选择成本的代理，我们从经验上考察了国内机构交易与其相应买入价差之间的关系。我们发现，当国内机构投资者的交易量很高时，买入/卖出价差往往会增加，这表明此类投资者往往会像韩国股市中的知情交易者一样加剧信息不对称性。

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来源
《Asia-Pacific Financial Markets》 |2017年第4期|309-322|共14页
作者
Chune Young Chung; Yunjae Lee; Doojin Ryu;
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作者单位

School of Business Administration, Chung-Ang University, Seoul, Republic of Korea;

School of Business Administration, Chung-Ang University, Seoul, Republic of Korea;

College of Economics, Sungkyunkwan University, Seoul, Republic of Korea;

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原文格式 PDF
正文语种 eng
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关键词
Bid-ask spread; Domestic institution; Information asymmetry; Institutional trade; Korean stock market;

机译：买卖差价;国内机构;信息不对称;机构贸易;韩国股市;

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4. Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets [C] . Ki-Hong Choi, Sang Hoon Kang, Seong-Min Yoon International Conference on Economics and Business Administration . 2013

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

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