Earticle

초록

영어

Motivated by Choe, Kho and Stulz (1999), this paper examines which type of investor among the Korean individuals, Korean institutions, and foreign investors is most responsible for the sudden drop of the Korean stock market during the global financial crisis period from September 2008 to February 2009. Herding by foreign investors is higher than these of Korean individuals and institutions before and during crisis, and foreigners’ herding behaviour increases during the crisis period, especially in the large stocks. In both event study with 5-minute intervals and price impact per trade, foreign investors’ sales have smaller impact on stock returns in absolute value than Korean individuals’ and institutions’ before crisis. However, price impact of foreign investors increases dramatically during crisis and its magnitude could not be negligible. The permanent component of price impact per trade of foreign investors is greater in absolute value than other investors’ in the large stocks.

목차

Abstract
 1. Introduction
 2. Background on the Korean market
  2.1. The Korean stock market
  2.2. Korea in the 2008 global financial crisis
 3. Data and sample selection
  3.1. Sample construction
  3.2. Data Sources
 4. Herding and positive feedback trading
  4.1. Herding
  4.2. Positive feedback trading
 5. Price impact
  5.1. Event study with the 5-minute intervals
  5.2. Price impact of each trade
 6. Conclusion
 Figure
 Table
 REFERENCES

키워드

저자

• Cheol-Won Yang [ Assistant Professor of Finance, School of Business Administration, Dankook University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330