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Korean Journal of Financial Studies 2013;42(2):373-420.
Published online April 30, 2013.
Price-Based Return Comovements and Individual Investor Trading: Evidence from Stock Splits in the Korean Stock Market
Yong Ho Jun, Hyuk Choe
주식수익률의 가격대별 동조화 현상과 개인투자자의 거래행태
전용호, 최혁
Stock returns exhibit increased comovement with low-priced stocks following stock splits. Direct decomposition reveals that individual investor trading accounts for most of the shift in comovement. The shift in comovement is more pronounced with a greater increase in the proportion of individual investor trading and high investor sentiment. This suggests that individual investors are subject to behavioral bias that categorizes stocks based on price. Price-based return comovement is evident in full-cross section of stocks. Furthermore, low-priced stocks tend to comove strongly with similarly priced stocks, whereas high-priced stocks do not. We attempt to explain this by demonstrating that individual investor trading is the source of price-based return comovement. Specifically,individual investor trading is more concentrated in low-priced stocks, thereby resulting in return comovement due to behavioral bias. In contrast, return comovement seems to weaken in high-priced stocks, not only because the proportion of individual investor trading is relatively low, but also because institutions, foreigners, and other investors trade in the direction of reducing return comovement.
Key Words: 개인투자자,수익률 동조화,주식가격,주식분할,행동재무학적 편의,Behavioral Bias,Individual Investor,Nominal Price,Return Comovement,Stock Split

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