Information Asymmetry of Corporate Korean World: (Bid-Ask Spread)
11 Pages Posted: 24 May 2016
Date Written: May 22, 2016
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: Suggested Citation