TY - JOUR
T1 - Foreign investor trading and information asymmetry
T2 - evidence from a leading emerging market
AU - Chung, Chune Young
AU - Kim, Hyeyoen
AU - Ryu, Doojin
N1 - Publisher Copyright:
© 2016 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2017/5/4
Y1 - 2017/5/4
N2 - This article examines the influence of foreign investor trading on information asymmetry in the Korean stock market, a representative emerging market characterized by a high level of information asymmetry between corporate insiders and outsiders, and among investors. We find a significantly positive relationship between foreign investor trading and the consequent bid–ask spread–the latter of which is considered as a proxy for the degree of information asymmetry–on both daily and weekly bases. Our results indicate that active foreign investor trading tends to exacerbate informational variation.
AB - This article examines the influence of foreign investor trading on information asymmetry in the Korean stock market, a representative emerging market characterized by a high level of information asymmetry between corporate insiders and outsiders, and among investors. We find a significantly positive relationship between foreign investor trading and the consequent bid–ask spread–the latter of which is considered as a proxy for the degree of information asymmetry–on both daily and weekly bases. Our results indicate that active foreign investor trading tends to exacerbate informational variation.
KW - bid–ask spread
KW - Foreign investor trading
KW - information asymmetry
KW - trading volume
UR - https://www.scopus.com/pages/publications/84978474540
U2 - 10.1080/13504851.2016.1208349
DO - 10.1080/13504851.2016.1208349
M3 - Article
AN - SCOPUS:84978474540
SN - 1350-4851
VL - 24
SP - 540
EP - 544
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 8
ER -