Heterogeneous investors and their changing demand and supply schedules for individual common stocks
By: Jung-Wook Kim, Jason Lee, Randall K. Morck.
Contributors: Lee, Jason.; Morck, Roland Anton, 1913- [from old catalog]; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10410; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10410.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Investments -- Korea (South) -- Econometric models
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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