학회소식
[2004년 제 2차] Who is more Informed? Foreign Investors & Instituti
작성자 : 관리자
조회수 : 1084
게시일 :
2004-05-24
This paper examines the relationship between the speed of price adjustment to new information and the level of stock ownership by foreign investors and institutional investors using the data from the Korean stock market. The lead-lag pattern analyses indicate that stocks with high level of foreign ownership lead the stocks with low level of foreign ownership, especially after foreign ownership restriction is lifted. Likewise, stocks with high level of institutional ownership lead the stocks with the low level of institutional ownership, controlling for firm size. The results suggest that the speed of adjustment to new information depends on the level of foreign or institutional ownership, and as a consequence the information in the emerging securities market is transmitted from stocks with high level of foreign or institutional ownership to the stocks with low level of foreign or institutional ownership.
