Journal of the Korea Society of Computer and Information (한국컴퓨터정보학회논문지)

Korean Society of Computer Information (한국컴퓨터정보학회)
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Understanding Information Asymmetry among Investors in Online Trading Environment

  • Lee, Posang (Dept. of Finance & Tax Management, Songwon University)
  • Received : 2015.11.19
  • Accepted : 2015.12.30
  • Published : 2016.01.30
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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.

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