2017
DOI: 10.1111/ajfs.12177
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PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market

Abstract: Duarte and Young (2009) decompose the probability of information-based trading PIN into adjusted PIN (AdjPIN) and probability of trading caused by symmetric order flow shocks (PSOS). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that AdjPIN is not priced, while PSOS is negatively priced, a finding that Lai et al. (2014) label "puzzling." We find that the negative price of… Show more

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Cited by 4 publications
(1 citation statement)
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“…The negative relation of dynamic VI occurrences with liquidity variables is rather intuitive: the prices of illiquid stocks tend to fluctuate more, and thus dynamic VI is more frequently triggered in those stocks. Meanwhile, the positive relation of static VI occurrences seems to be related to a difference of opinion among traders (Diether et al 2002;Eom et al 2017), since static VI is associated with cumulative price changes. A large trading volume caused by traders with differing opinions may contribute to the occurrence of static VI.…”
Section: Descriptive Statistics On VI Occurrencesmentioning
confidence: 93%
“…The negative relation of dynamic VI occurrences with liquidity variables is rather intuitive: the prices of illiquid stocks tend to fluctuate more, and thus dynamic VI is more frequently triggered in those stocks. Meanwhile, the positive relation of static VI occurrences seems to be related to a difference of opinion among traders (Diether et al 2002;Eom et al 2017), since static VI is associated with cumulative price changes. A large trading volume caused by traders with differing opinions may contribute to the occurrence of static VI.…”
Section: Descriptive Statistics On VI Occurrencesmentioning
confidence: 93%