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Article: Mispricing of US shocks in the Korean stock market

TitleMispricing of US shocks in the Korean stock market
Authors
KeywordsInformation asymmetry
Investor type
Korean stock market
Mispricing
Return reversal
Trading behavior
Issue Date2011
PublisherWiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/2041-9945
Citation
Asia-Pacific Journal Of Financial Studies, 2011, v. 40 n. 3, p. 347-376 How to Cite?
AbstractAt the opening of each trading day, the Korean stock market closely follows the overnight US stock market performance, and yet the subsequent intraday return is negatively related to the US market. Using the minute-by-minute return data, we find that the return reversal is gradually magnified throughout the day, which suggests that the Korean market systematically misprices the overnight US shocks. We hypothesize that the intraday return reversal is due to the misunderstanding of domestic individual investors regarding the persistence of the US shocks. Consistent with this prediction, we find that domestic individual investors act as contrarian traders and foreign institutional investors act as positive feedback traders vis-à-vis the overnight US market shocks. Further, the foreign investors' trading behavior has a predictive power for future abnormal returns attributable to the persistence of the US market shocks, indicating that the foreign investors may be better informed about the persistence of US market shocks in the Korean stock market. © 2011 Korean Securities Association.
Persistent Identifierhttp://hdl.handle.net/10722/139836
ISSN
2008 Impact Factor: 0.136
2015 SCImago Journal Rankings: 0.241
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorPark, CWen_HK
dc.contributor.authorYi, CAen_HK
dc.date.accessioned2011-09-23T05:57:27Z-
dc.date.available2011-09-23T05:57:27Z-
dc.date.issued2011en_HK
dc.identifier.citationAsia-Pacific Journal Of Financial Studies, 2011, v. 40 n. 3, p. 347-376en_HK
dc.identifier.issn1226-1165en_HK
dc.identifier.urihttp://hdl.handle.net/10722/139836-
dc.description.abstractAt the opening of each trading day, the Korean stock market closely follows the overnight US stock market performance, and yet the subsequent intraday return is negatively related to the US market. Using the minute-by-minute return data, we find that the return reversal is gradually magnified throughout the day, which suggests that the Korean market systematically misprices the overnight US shocks. We hypothesize that the intraday return reversal is due to the misunderstanding of domestic individual investors regarding the persistence of the US shocks. Consistent with this prediction, we find that domestic individual investors act as contrarian traders and foreign institutional investors act as positive feedback traders vis-à-vis the overnight US market shocks. Further, the foreign investors' trading behavior has a predictive power for future abnormal returns attributable to the persistence of the US market shocks, indicating that the foreign investors may be better informed about the persistence of US market shocks in the Korean stock market. © 2011 Korean Securities Association.en_HK
dc.languageengen_US
dc.publisherWiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/2041-9945en_US
dc.relation.ispartofAsia-Pacific Journal of Financial Studiesen_HK
dc.rightsThe definitive version is available at www3.interscience.wiley.comen_US
dc.subjectInformation asymmetryen_HK
dc.subjectInvestor typeen_HK
dc.subjectKorean stock marketen_HK
dc.subjectMispricingen_HK
dc.subjectReturn reversalen_HK
dc.subjectTrading behavioren_HK
dc.titleMispricing of US shocks in the Korean stock marketen_HK
dc.typeArticleen_HK
dc.identifier.emailPark, CW: acparkc@hku.hken_HK
dc.identifier.authorityPark, CW=rp01090en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.2041-6156.2011.01042.xen_HK
dc.identifier.scopuseid_2-s2.0-84855240557en_HK
dc.identifier.hkuros193931en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84855240557&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume40en_HK
dc.identifier.issue3en_HK
dc.identifier.spage347en_HK
dc.identifier.epage376en_HK
dc.identifier.eissn2041-6156-
dc.identifier.isiWOS:000292083100001-
dc.publisher.placeUnited States-
dc.identifier.scopusauthoridPark, CW=37062708100en_HK
dc.identifier.scopusauthoridYi, CA=54880847400en_HK

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