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Investors' trading behaviour and stock market volatility during crisis periods: a dual long-memory model for the Korean Stock Exchange
journal contribution
posted on 2020-06-22, 08:21 authored by Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti, Aris KartsaklasThis study examines the impact of investorsíbuy 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 results suggest that the buy and sell trades have an asymmetric effect on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post-crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non-member). Most importantly, decomposing total buy and sell trades into trader-type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre-crisis period before the recent global financial turmoil.
History
School
- Business and Economics
Department
- Business
Published in
International Journal of Finance and EconomicsPublisher
John Wiley & Sons LtdVersion
- VoR (Version of Record)
Rights holder
© The AuthorsPublisher statement
This is an open access article under the terms of the Creative Commons Attribution (https://creativecommons.org/licenses/by/4.0/) License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.Acceptance date
2020-06-18Publication date
2020-07-23Copyright date
2020ISSN
1076-9307eISSN
1099-1158Publisher version
Language
- en
Depositor
Dr Stavroula Yfanti. Deposit date: 19 June 2020Usage metrics
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