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Heterogeneous investors and their changing demand and supply schedules for individual common stocks

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  • Heterogeneous investors and their changing demand and supply schedules for individual common stocks
  • Kim, Jung-Wook; Lee, Jason; Morck, Randall K.
  • National Bureau of Economic Research


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Title Heterogeneous investors and their changing demand and supply schedules for individual common stocks
Similar Titles
Material Type Reports
Author(English)

Kim, Jung-Wook; Lee, Jason; Morck, Randall K.

Publisher

Cambridge:National Bureau of Economic Research

Date 2004-04
Series Title; No NBER Working Paper Series / 10410
Pages 63
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Original Format pdf
Subject Industry and Technology < Entrepreneurship
Holding National Bureau of Economic Research

Abstract

Using 550 million limit orders submitted in the Korea Stock Exchange, we estimate demand and supply elasticities of heterogeneous investor types and their changes around the Asian financial crisis. We find that domestic individuals have substantially more inelastic demand and supply curves than domestic institutions and foreign investors. The crisis permanently reduced price elasticities of domestic individuals by 50% but had no effect on those of foreign investors. Institutional changes restricting margin purchases, implemented after the crisis, seem particularly important in explaining the dramatic drop. Information heterogeneity, availability of close substitutes and arbitrage risk also explain time-series variations in elasticities.