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http://dx.doi.org/10.9708/jksci.2016.21.1.139

Understanding Information Asymmetry among Investors in Online Trading Environment  

Lee, Posang (Dept. of Finance & Tax Management, Songwon University)
Publication Information
Journal of the Korea Society of Computer and Information / v.21, no.1, 2016 , pp. 139-146 More about this Journal
Abstract
In this paper, we analyze the information asymmetry among investors in online trading environment using rumors which are collected in the Korean stock market for the eleven-year period between January 2004 and December 2014. We find that cumulative abnormal return of sample firms is negative and statistically significant, indicating that a significant fall of the stock price starts before the online disclosure, suggesting that the rumors were reflected in the stock price to a significant extent. Furthermore, individual investors show net purchases on firms prior to disclosure while institutional investors show net sales, showing that individual investors trade unfavorably vis-$\grave{a}$-vis institutional investors. This phenomenon is more evident for the KOSDAQ. This result confirms that the information asymmetry exists between individual and institutional investors in online trading environment.
Keywords
Information asymmetry; Individual investor; Online trading; Rumor; Stock market;
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Times Cited By KSCI : 2  (Citation Analysis)
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