| Friction Effects of Block Ownership |
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Junghoon Seon |
| 주식 대량보유의 마찰효과 |
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선정훈 |
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| Abstract |
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We examine wether there exist the friction effects of block ownership in the stocks listed on the Korea exchange. Following Stoll (2000)’s view, we decompose the friction effects of block ownership into two components: the real and informational frictions. The real friction is defined as the negative impact of the order flow by block ownership on the trading activity of stocks. The informational friction is defined as the adverse impact of the order flow by block ownership on the price impacts of a stock, due to the information asymmetry among market participants. We find the inverse relationship between lagged block ownership and trading activity of stocks-the real friction effects of block ownership and the inverse relationship is driven by both corporate insiders and institutional investors. We also find the adverse impact of lagged block ownership on the Amihud (2002)’s price impacts of stocks-the friction effects of block ownership. The adverse impact, however, is disappeared, when real frictions are controlled in the friction effects. Our findings suggest that the friction effects are driven by the real frictions and the informational frictions play no role in the friction effects. |
| Key Words:
가격충격,마찰효과,실질마찰,정보 마찰,주식 대량보유,Block Ownership,Friction Effect,Informational Friction,Price Impact,Real Friction |
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