한국증권시장에서 내부자 거래에 대한 개인, 기관 및 외국인 투자자 거래의 정보효과

We examine the asymmetric information and trading between inside and outside investors in the Korea stock market. We present evidence that domestic individual investors are the liquidity providers of aggregate insider trading in the Korea stock market. Korea stock market is characterized by the larger individual investors’ ownership and frequency of trading than those of the institutional investors. Given the major differences between Korea and other developed stock markets, we find that (1) the insider trading is inversely related to individual trading measured over the same day, unlike U.S. studies that view institutional investors as the liquidity provider of insider trading; (2) compared with other investors, the insiders have different preferences: the insiders demonstrate a preference for stocks with lower total and idiosyncratic volatility and lower trading volume, while individual investors favor lottery-type stocks; (3) stocks with the greatest insider purchasing subsequently outperform those with the greatest insider selling, also there are evidence that insiders’ trades are more profitable than individual and institutional investors’ trades. These inconsistent results with previous U.S. studies could be due to different market position of domestic investors in the Korea stock market by comparison with the U.S. market. Taken together, our results indicate that the proportion and trading behavior of individuals and institutions in the stock market are crucial factors of the liquidity provision of insider trading.