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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w10410 |
来源ID | Working Paper 10410 |
Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks | |
Jung-Wook Kim; Jason Lee; Randall K. Morck | |
发表日期 | 2004-04-12 |
出版年 | 2004 |
语种 | 英语 |
摘要 | 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. |
主题 | Financial Economics |
URL | https://www.nber.org/papers/w10410 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568039 |
推荐引用方式 GB/T 7714 | Jung-Wook Kim,Jason Lee,Randall K. Morck. Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks. 2004. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w10410.pdf(555KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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