This study investigates the trading behavior of institutional investors in Korea. For this purpose, 562,560 daily trading records from 348 funds are analyzed during the period from 2006 to 2011. The findings of this study are as follows. First, the disposition effect exists in Korean stock market. Second, a stronger disposition effect is associated with the lower risk. Third, there is no disposition effect if the current price is used as the reference point. However, for bond type fund, disposition effect recurs as the reference point gets closer to the current price. Fourth, degree of the disposition effect increases as the length of the holding period increases. Fifth, a stronger disposition effect is associated with lower returns. Finally, the disposition effect disappears after the global financial crisis, suggesting that Korean investors trade more rationally since the crisis.
Key words: Disposition Effect, Risk, Reference Point, Interval Effect, Financial Crisis
[2016년 제 2차] Investigation of the Disposition Effect in Korea
작성자 : 관리자
조회수 : 1185
게시일 :
2016-06-03