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. This conference was cancelled due to COVID restrictions.

Date
Jun 5, 2020
Location
University of Illinois at Chicago
Chicago, IL 60607
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Stephen Rush
Sr Risk Quant

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