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Do foreign investors help the price discovery process? Evidence from Korea

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  • Do foreign investors help the price discovery process? Evidence from Korea
  • Eom, Chanyoung
  • Hanyang University


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Title Do foreign investors help the price discovery process? Evidence from Korea
Similar Titles
Material Type Reports
Author(English)

Eom, Chanyoung

Publisher

[Seoul, South Korea]:Hanyang University

Date 2015-01
Pages 31
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic Administration
Economy < Direct Investment
Holding SSRN

Abstract

Using the unique datasets of the Korean Stock Exchange (KSE), this paper finds that foreign ownership and trading activity negatively affects the price discovery process of common stocks. In contrast, the trading activity of domestic investors enhances information efficiency of intraday prices. Sectoral foreign holdings exhibit a negative information spillover, and at the same time dilute the effects of firm-specific foreign holdings on information efficiency. Finally, it is foreign trades with the market that mainly deteriorate the market quality of the KSE.