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PIN , Adjusted PIN , and PSOS : Difference of Opinion in the Korean Stock Market
Author(s) -
Eom Kyong Shik,
Kang Jangkoo,
Kwon Kyung Yoon
Publication year - 2017
Publication title -
asia‐pacific journal of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.375
H-Index - 15
eISSN - 2041-6156
pISSN - 2041-9945
DOI - 10.1111/ajfs.12177
Subject(s) - stock (firearms) , stock price , database transaction , econometrics , stock market , economics , business , financial economics , computer science , database , biology , geography , paleontology , horse , series (stratigraphy) , archaeology
Duarte and Young (2009) decompose the probability of information‐based trading PIN into adjusted PIN ( Adj PIN ) and probability of trading caused by symmetric order flow shocks ( PSOS ). We explore sources of PSOS in the Korean stock market and examine the relation between PSOS and stock returns. Using transaction data with trader types and initiator information, we find that Adj PIN is not priced, while PSOS is negatively priced, a finding that Lai et al . (2014) label “puzzling.” We find that the negative price of PSOS comes from differences of opinion among domestic individual investors on the significance of public news.