Rights statement: This is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Pacific-Basin Finance Journal, 34, 2015 DOI: 10.1016/j.pacfin.2015.05.003
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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Stock-return volatility and daily equity trading by investor groups in Korea
AU - Umutlu, Mehmet
AU - Shackleton, Mark
N1 - This is the author’s version of a work that was accepted for publication in Pacific-Basin Finance Journal. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Pacific-Basin Finance Journal, 34, 2015 DOI: 10.1016/j.pacfin.2015.05.003
PY - 2015/9/1
Y1 - 2015/9/1
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 an increasing impact on volatility though it is not always significant. Our results are robust to alternative measures of volatility and obtained after controlling for 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 an increasing impact on volatility though it is not always significant. Our results are robust to alternative measures of volatility and obtained after controlling for volatility persistency, total volume and lagged stock returns.
KW - stock-return volatility
KW - trading
KW - investor groups
U2 - 10.1016/j.pacfin.2015.05.003
DO - 10.1016/j.pacfin.2015.05.003
M3 - Journal article
VL - 34
SP - 43
EP - 70
JO - Pacific-Basin Finance Journal
JF - Pacific-Basin Finance Journal
SN - 0927-538X
ER -