Home > Research > Publications & Outputs > Stock-return volatility and daily equity tradin...

Research

Associated organisational units

Electronic data

Keywords

View graph of relations

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

Research output: Working paper

Published

Standard

Stock-return volatility and daily equity trading by investor groups in Korea. / Shackleton, Mark; Umutlu, Mehmet.
Lancaster: Lancaster University, 2014. (Department of Accounting and Finance Working Paper Series; No. AF2014/15WP03).

Research output: Working paper

Harvard

Shackleton, M & Umutlu, M 2014 'Stock-return volatility and daily equity trading by investor groups in Korea' Department of Accounting and Finance Working Paper Series, no. AF2014/15WP03, Lancaster University, Lancaster.

APA

Shackleton, M., & Umutlu, M. (2014). Stock-return volatility and daily equity trading by investor groups in Korea. (Department of Accounting and Finance Working Paper Series; No. AF2014/15WP03). Lancaster University.

Vancouver

Shackleton M, Umutlu M. Stock-return volatility and daily equity trading by investor groups in Korea. Lancaster: Lancaster University. 2014. (Department of Accounting and Finance Working Paper Series; AF2014/15WP03).

Author

Shackleton, Mark ; Umutlu, Mehmet. / Stock-return volatility and daily equity trading by investor groups in Korea. Lancaster : Lancaster University, 2014. (Department of Accounting and Finance Working Paper Series; AF2014/15WP03).

Bibtex

@techreport{27299cd34cff415b9acae2991df34230,
title = "Stock-return volatility and daily equity trading by investor groups in Korea",
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 a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.",
keywords = "stock-return volatility, trading, investor groups",
author = "Mark Shackleton and Mehmet Umutlu",
year = "2014",
language = "English",
series = "Department of Accounting and Finance Working Paper Series",
publisher = "Lancaster University",
number = "AF2014/15WP03",
type = "WorkingPaper",
institution = "Lancaster University",

}

RIS

TY - UNPB

T1 - Stock-return volatility and daily equity trading by investor groups in Korea

AU - Shackleton, Mark

AU - Umutlu, Mehmet

PY - 2014

Y1 - 2014

N2 - 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 a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.

AB - 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 a non-decreasing impact on volatility. Our results are robust to alternative measures of volatility and obtained after controlling for a Monday effect, volatility persistency, total volume and lagged stock returns.

KW - stock-return volatility

KW - trading

KW - investor groups

M3 - Working paper

T3 - Department of Accounting and Finance Working Paper Series

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

PB - Lancaster University

CY - Lancaster

ER -