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Korean Journal of Financial Studies 2010;39(4):545-571.
Published online December 31, 2010.
Changes in Trading Activities Following Stock Splits: Evidence from the Korean Stock Market
Jin Woo Park, Kyoung Soon Kim, Jin Hwon Lee
주식분할 후 변동성 증가와 거래행태의 변화
박진우, 김경순, 이진훤
Abstract
This study examines the behavior of stock return volatility following the ex-dates of stock splits in the Korean stock market. For the 182 stock split data from 1999 to 2008 we find a significant increase in volatility following the stock splits by comparing stock returns of 180 days before the stock split announcement and after the ex-dates. On the basis of noise trader hypothesis this study investigates the reasons for the increasing volatility following the stock splits. Specifically. this paper computes the variance ratios of stock returns before and after stock split, and finds significant decrease in the variance ratios after the ex-dates. When dissembling noise component and permanent component of return volatility, we find that only the noise component increases subsequent to the ex-dates of stock splits. This suggests that noise traders contribute to changes in trading activities after the splits. Furthermore, by using three-step mediated regression analysis, this paper finds the following consequences of increasing volatility after the stock splits. Low stock price after the splits causes an increase in the number of small traders. As a result of the small investors` high noise trading frequency, the turnover volume increases. Then, this increase in turnover volume results in an increase in the noise component of return volatility after the splits.
Key Words: 거래행태,노이즈거래자,변동성,소액투자자,주식분할,Noise Trading,Small Traders,Stock Splits,Variance Ratio,Volatility


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