Choice of Market versus Limit Orders by Foreign Investors in the Korean Stock Market

Yoon, Sun Heum; Choe, Hyuk

Korean Journal of Financial Studies 2014;43(3):461-497.
Published online June 30, 2014.

Sun Heum Yoon, Hyuk Choe

한국 주식시장 외국인의 주문선택 행동 분석

윤선흠, 최혁

Abstract

This paper investigates the order choice behavior of foreign investors in the Korean stock market from January 1997 to August 2009, and compares the results with those of experimental market research of Bloomfield et al. (2005). Foreign investors submit morelimit (market) orders when the value of private information is high (low), like liquidity traders, from January 1997 to December 2005. On the contrary, from January 2006 to August 2009, they use more market (limit) orders when the value of private information is high (low). These results suggest that foreign investors behave as liquidity traders on average since most of them are institutional investors, but they may switch their order choice behavior of liquidity traders to those of informed traders when they have informational advantages.

Key Words: 시장가 체결율,외국인,유동성거래자,정보거래자,지정가 주문율,Foreign Investors,Informed Trader,Liquidity Trader,Submission Rate,Taking Rate