Publisher : The Korea Academia-Industrial cooperation Society
DOI : 10.5762/KAIS.2015.16.10.6511
Title & Authors
Idiosyncratic Volatility Puzzle Explained by Individual Traders in Korea Stock Market Jung, Youra; Yoo, Shiyong;
This paper examines the relationship between idiosyncratic volatility(IVOL) puzzle and trading volumes by trader types in the Korean stock market. The data set includes all stock in both KRX and KOSDAQ for the period from January 1999 through December 2013. Idiosyncratic volatility is measured by using the Fama-French's three-factor model. Traders are classified into individual, institution, and foreign trader. We construct (5X5) portfolios based on each trader's net buying and idiosyncratic volatility. We find that there are some special portfolios that show the idiosyncratic volatility puzzle. For individual investors, top net buying portfolios show clear the idiosyncratic volatility puzzle. However, for institution and foreign investors, lowest net buying portfolio show the idiosyncratic volatility puzzle. This results imply that the idiosyncratic volatility puzzle in the Korean stock market is mainly caused by individual investors.
Idiosyncratic Volatility;IVOL Puzzle;Fama-French Three-Factor Model;Trading Volumes by Trader Types;Individual Trader;
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