Information Asymmetry of Corporate Korean World: (Bid-Ask Spread)

11 Pages Posted: 24 May 2016

Date Written: May 22, 2016

Abstract

This paper followed a similar Amihud and Mendelson (1986) methodology to empirically examine the relationship between expected stock's return and the bid-ask spread in the Korean corporate market. We could noticed a significant and positive bid-ask spread. The result recognized information asymmetry or market frictions. After confirming market efficiency in previous studies, and information asymmetry in this study, we concluded that the market are weak and semi-strong but we doubt if the market are strongly efficient. We recommended that investors should limit their effort to technical and fundamental analysis. However digging some private information could be of advantage to active strategist. This can only be confirm through a comparative Korean stock's earning analysis of both domestic and foreign investors.

Keywords: Bid-Ask Spread, Market Efficiency, Expected Return

JEL Classification: G11, G12 ,G14

Suggested Citation

Alexis, Ndayishimiye and Toh, Tasoh, Information Asymmetry of Corporate Korean World: (Bid-Ask Spread) (May 22, 2016). Available at SSRN: https://ssrn.com/abstract=2783011 or http://dx.doi.org/10.2139/ssrn.2783011

Ndayishimiye Alexis

Daegu University ( email )

Jinrang, Gyeongsan, Gyeongsangbuk
Korea, Republic of (South Korea)

Tasoh Toh (Contact Author)

Independent ( email )

No Address Available

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