Foreign investors and the delay of information dissemination in the Korean stock market

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This study examines whether foreign investors improve the transmission of global and local market information on individual stock prices in the Korean stock market from 1999 to 2012. We investigate the beneficial effect of foreign investors in the Korean market using the weekly trading data of domestic institutional, individual, and foreign investors. Using the normalized foreign trading share volume as a measure for foreign trading, we find that foreign trading significantly reduces delays in global market information dissemination, along with that of local market information, though not as much as that of global information. Next, we find a more significant relation between foreign trading and delays in information dissemination for global firms with high levels of international trading activity. This indicates that foreign investors are more advantaged than local investors with respect to global information. Finally, the trading of domestic institutional investors reduces delays in local and global information dissemination, but the effect of foreign trading persists, even after controlling for the trading of domestic institutional and/or individual investors. 2016 Elsevier B.V. All rights reserved
Publisher
ELSEVIER SCIENCE BV
Issue Date
2016-06
Language
English
Article Type
Article
Keywords

DOMESTIC INVESTORS; VOLATILITY; EXPERIENCE; RETURNS

Citation

PACIFIC-BASIN FINANCE JOURNAL, v.38, pp.1 - 16

ISSN
0927-538X
DOI
10.1016/j.pacfin.2016.03.004
URI
http://hdl.handle.net/10203/212280
Appears in Collection
MT-Journal Papers(저널논문)
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