온라인 증권거래 환경에서의 투자자간 정보비대칭 현상에 대한 고찰

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-à-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.