Information Diffusion in Korean Equity Markets

Abstract

I measure the price delay on 2,500 Korean stocks over 5 years and find differences in the link between price efficiency and information measures when compared to the U.S. I also find that foreign institutional investors play a significant role in price discovery. The results are robust to model specification.

Date
Jun 5, 2020
Location
University of Illinois at Chicago
Chicago, IL 60607
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Stephen Rush
Assistant Professor of Finance

My research interests include Market Microstructure, Empirical Asset Pricing, and Investment Management