کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086206 | 1375157 | 2011 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the dynamic relation between stock returns and four types of investment flows using Korean daily data for the period 1998-2010, focusing on the investment/trading behavior of four types of investors - individual, institutional, government, and foreign - and the effect of cross-border investment flows on the Korean equity market. We find that, first, foreigners and institutional investors tend to drive the Korean equity market, and their trades seem to be information-driven, whereas individual investors do not drive the Korean equity market and their trades do not seem to be information-driven. Second, as a result, both foreigners and institutional investors performed well in the sample period, whereas individual investors performed poorly. Third, the four types of investors differ in their trading behavior. In response to U.S. market returns, foreigners and institutional investors tend to take a momentum strategy whereas individual investors and government tend to take a contrarian strategy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Japan and the World Economy - Volume 23, Issue 4, December 2011, Pages 273-287
Journal: Japan and the World Economy - Volume 23, Issue 4, December 2011, Pages 273-287
نویسندگان
Gwangheon Hong, Bong Soo Lee,