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- Publisher Website: 10.1111/j.2041-6156.2011.01042.x
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Article: Mispricing of US shocks in the Korean stock market
Title | Mispricing of US shocks in the Korean stock market |
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Authors | |
Keywords | Information asymmetry Investor type Korean stock market Mispricing Return reversal Trading behavior |
Issue Date | 2011 |
Publisher | Wiley-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? |
Abstract | At 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 Identifier | http://hdl.handle.net/10722/139836 |
ISSN | 2020 SCImago Journal Rankings: 0.375 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Park, CW | en_HK |
dc.contributor.author | Yi, CA | en_HK |
dc.date.accessioned | 2011-09-23T05:57:27Z | - |
dc.date.available | 2011-09-23T05:57:27Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Asia-Pacific Journal Of Financial Studies, 2011, v. 40 n. 3, p. 347-376 | en_HK |
dc.identifier.issn | 1226-1165 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/139836 | - |
dc.description.abstract | At 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.language | eng | en_US |
dc.publisher | Wiley-Blackwell Publishing, Inc. The Journal's web site is located at http://www.interscience.wiley.com/jpages/2041-9945 | en_US |
dc.relation.ispartof | Asia-Pacific Journal of Financial Studies | en_HK |
dc.rights | The definitive version is available at www3.interscience.wiley.com | en_US |
dc.subject | Information asymmetry | en_HK |
dc.subject | Investor type | en_HK |
dc.subject | Korean stock market | en_HK |
dc.subject | Mispricing | en_HK |
dc.subject | Return reversal | en_HK |
dc.subject | Trading behavior | en_HK |
dc.title | Mispricing of US shocks in the Korean stock market | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Park, CW: acparkc@hku.hk | en_HK |
dc.identifier.authority | Park, CW=rp01090 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1111/j.2041-6156.2011.01042.x | en_HK |
dc.identifier.scopus | eid_2-s2.0-84855240557 | en_HK |
dc.identifier.hkuros | 193931 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-84855240557&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 40 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 347 | en_HK |
dc.identifier.epage | 376 | en_HK |
dc.identifier.eissn | 2041-6156 | - |
dc.identifier.isi | WOS:000292083100001 | - |
dc.publisher.place | United States | - |
dc.identifier.scopusauthorid | Park, CW=37062708100 | en_HK |
dc.identifier.scopusauthorid | Yi, CA=54880847400 | en_HK |
dc.identifier.issnl | 1226-1165 | - |