Complete limit order data from Korea show individual stocks' demand and supply elasticities correlating negatively in short windows. That is, whenever a stock's demand is unusually elastic, its supply is unusually inelastic, and vice versa. However, in long windows, individual stocks' demand and...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...

Purpose – This study focuses on the profitability of momentum trading in the Korean stock market. More specifically, an examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether momentum profits can be explained by...

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

This study investigates the relationship between Price-Earnings ratio and return on stocks. The result is use to appraise the efficiency of the Korean stock market. Findings statistically oppose S. Basu (1977) results. He realized Price-Earnings ratio effect but this study found no statistical...

Duarte and Young (2009) decompose PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and...

We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006 to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and that...

By analyzing how stock prices respond to public news, this paper examines the momentum effect in the Korean stock market. It is true that, as a whole, the momentum strategy generates no profits in Korea. However, among the stocks in a momentum portfolio, loser stocks with news headlines make...

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also...