Distribution of Private Information Across Investors: Evidence from the Korea Stock Exchange

Using four-years (1997-2000) of transactions data for large stocks traded on the Korea Stock Exchange, this paper examines who moves stock prices and conveys information through trading. The estimates of monthly price contributions show that foreigners, domestic institutions, and domestic big individuals play important roles in moving stock prices, but the role of domestic big individuals becomes dominant in later years. Domestic small individuals, whose trades constitute about 53% of total trades, contribute negatively to stock price changes, which is particularly distinct in later years. KCI Citation Count: 13