Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks

Jung-Wook Kim, Jason Lee and Randall Morck

No 10410, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2004-04
New Economics Papers: this item is included in nep-fmk and nep-ifn
Note: AP CF
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Citations: View citations in EconPapers (3)

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Working Paper: Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks (2004)
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