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What types of investors generate the two-phase phenomenon?

Doojin Ryu

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 23, pages 5939-5946

Abstract: We examine the two-phase phenomenon described by Plerou, Gopikrishnan, and Stanley (2003) [1] in the KOSPI 200 options market, one of the most liquid options markets in the world. By analysing a unique intraday dataset that contains information about investor type for each trade and quote, we find that the two-phase phenomenon is generated primarily by domestic individual investors, who are generally considered to be uninformed and noisy traders. In contrast, our empirical results indicate that trades by foreign institutions, who are generally considered informed and sophisticated investors, do not exhibit two-phase behaviour.

Keywords: Two-phase phenomenon; KOSPI 200 options; Investor type; Econophysics (search for similar items in EconPapers)
Date: 2013
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Persistent link: http://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:23:p:5939-5946

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Physica A: Statistical Mechanics and its Applications is edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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