Understanding Information Asymmetry among Investors in Online Trading Environment (온라인 증권거래 환경에서의 투자자간 정보비대칭 현상에 대한 고찰)

posang lee (이포상)

Understanding Information Asymmetry among Investors in Online Trading Environment

Journal of The Korea Society of Computer and Information
Abbr : JKSCI
2016, 21(1), pp.139-146
Publisher : The Korean Society Of Computer And Information
Research Area : Engineering > Computer Science

posang lee ¹

¹송원대학교

Accredited

ABSTRACT

In this paper, we analyze the information asymmetry among investors in online trading environment using rumors which are collected in the Korean stock market for the eleven-year period between January 2004 and December 2014. We find that cumulative abnormal return of sample firms is negative and statistically significant, indicating that a significant fall of the stock price starts before the online disclosure, suggesting that the rumors were reflected in the stock price to a significant extent. Furthermore, individual investors show net purchases on firms prior to disclosure while institutional investors show net sales, showing that individual investors trade unfavorably vis-à-vis institutional investors. This phenomenon is more evident for the KOSDAQ. This result confirms that the information asymmetry exists between individual and institutional investors in online trading environment.

KEYWORDS

Information asymmetry, Individual investor, Online trading, Rumor, Stock market

Citation status

* References for papers published after 2023 are currently being built.

[journal] 이정훈 / 2010 / The Stocks Profit Rate Analysis which Uses Individual‧Engine‧ foreigner‧ Knowledge Base HTS at The Bear Period‧The Bear Wave Period‧The Bull Period‧The Bull Wave Period / 한국컴퓨터정보학회논문지 / 한국컴퓨터정보학회 15(1) : 207~217

[journal] 장대성 / 2012 / The Service Quality of Home Trading System: Its Impact on Customer Satisfaction and Loyalty / 한국컴퓨터정보학회논문지 / 한국컴퓨터정보학회 17(7) : 175~184

[journal] Libin, N.C / 2001 / Securities industry and the internet: A suitable match? / Colum. Bus. L. Rev.

[journal] Huang, S. / 2005 / A study on decision factors in adopting an online stock trading system by brokers in Taiwan / Decision Support Systems 40(2) : 315~328

[journal] Shin, H / 2004 / Segmentation of stock trading customers according to potential value / Expert Systems with Applications 27(1) : 27~33

[journal] Coffee Jr, J. C. / 1997 / Brave new world? : The impact(s)of the internet on modern securities regulation / The Business Lawyer 52(4) : 1195~1233

[journal] Paul, D. C. / 1998 / Securities trading via the internet / Stanford Journal of Law, Business & Finance (Winter)

[journal] Easley, D. / 2002 / Is information risk a determinant of asset returns? / Journal of Finance 57(5) : 2185~2221

[journal] Glosten, L. R. / 1985 / Bid, ask and transaction prices in a specialist market with heterogeneously informed traders / Journal of Financial Economics 14(1) : 71~100

[journal] O'hara, M. / 2003 / Presidential address : liquidity and price discovery / Journal of Finance 58(4) : 1335~1354

[journal] Eleswarapu, V. R. / 2004 / The impact of regulation fair disclosure : trading costs and information asymmetry / Journal of Financial and Quantitative Analysis 39(2) : 209~226

[journal] Barber, B. M. / 2009 / Just how much do individual investors lose by trading? / Review of Financial Studies 22(2) : 609~632

[journal] Hvidkjaer, S. / 2008 / Small trades and the cross-section of stock returns / Review of Financial Studies 21(3) : 1123~1151

[journal] Kim, K. / 2007 / The behavior of Japanese individual investors during bull and bear markets / Journal of Behavioral Finance 8(3) : 138~153

[journal] Grinblatt, M / 2001 / What makes investors trade? / Journal of Finance 56(2) : 589~616

[journal] Odean, T. / 1998 / Are investors reluctant to realize their losses? / Journal of Finance 53(5) : 1775~1798

[journal] Griffin, J. M. / 2003 / The dynamics of institutional and individual trading / Journal of Finance 58(6) : 2285~2320

[journal] Barber, B. M. / 1999 / Do investors trade too much? / American Economic Review 89(5) : 1279~1298

[journal] Barber, B. M. / 2000 / Trading is hazardous to your wealth : The common stock investment performance of individual investors / Journal of Finance 55(2) : 773~806

[journal] Grinblatt, M. / 2000 / The investment behavior and performance of various investor types : A study of Finland’s unique data set / Journal of Financial Economics 55(1) : 43~67

[journal] 배성철 / 2011 / Trading Behavior, Performance, and Stock Preference of Foreigners, Local Institutions, and Individual Investors: Evidence from the Korean Stock Market / Asia-Pacific Journal of Financial Studies / 한국증권학회 40(2) : 199~239

[journal] Ashiq, A. / 2008 / Institutional stake holdings and better-informed traders at earnings announcements / Journal of Accounting and Economics 46(1) : 47~61

[journal] Battalio, R. H. / 2005 / Earnings expectations, investor trade size, and anomalous returns around earnings announcements / Journal of Financial Economics 77(2) : 289~319

[journal] Campbell, J. Y. / 2009 / Caught on tape : institutional trading, stock returns, and earnings announcements / Journal of Financial Economics 92(1) : 66~91

[journal] Bamber, L. S / 1987 / Unexpected earnings, firm size, and trading volume around quarterly earnings announcements / Accounting Review 62(3) : 510~532

[journal] Shevlin, T. / 1993 / Firm Size, Security Returns, and Unexpected Earnings : The Anomalous Signed‐Size Effect* / Contemporary Accounting Research 10(1) : 1~30

[journal] Wohlgemuth, M. J / 1988 / The Relation between Firm Size and the Informational Content of Earnings / Quarterly Journal of Business and Economics 27(4) : 135~148

[journal] Ashiq, A. / 2008 / Institutional stake holdings and better-informed traders at earnings announcements / Journal of Accounting and Economics 46(1) : 47~61

[journal] Campbell, J. Y. / 2009 / Caught on tape : institutional trading, stock returns, and earnings announcements / Journal of Financial Economics 92(1) : 66~91

[journal] Kim, C. / 1997 / Measuring security price performance in event studies / Korean Journal of Financial Studies 20(1) : 301~327

[journal] Han, B. / 2001 / The measurement of unexpected earnings and abnormal stock returns / Korean Journal of Financial Studies 29(1) : 183~214

KJCKorea
Journal Central

Journal of The Korea Society of Computer and Information 2023 KCI Impact Factor : 0.65