TY  - JOUR
AU  - Kim,Jung-Wook
AU  - Lee,Jason
AU  - Morck,Randall K.
TI  - Heterogeneous Investors and their Changing Demand and Supply Schedules for Individual Common Stocks
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10410
PY  - 2004
Y2  - April 2004
UR  - http://www.nber.org/papers/w10410
L1  - http://www.nber.org/papers/w10410.pdf
N1  - Author contact info:
Jung-Wook Kim
Associate Professor of Finance
College of Business Administration
Seoul National University
Seoul, Korea
151-742
E-Mail: jwkim87@snu.ac.kr

Jason Lee, Counsel
House Committee on Commerce
2125 Rayburn House Office Building
Washington, DC 20515-6115

Randall Morck
Faculty of Business
University of Alberta
Edmonton, AB  T6G 2R6
CANADA
Tel: 780/492-5683
Fax: 780/492-3325
E-Mail: randall.morck@ualberta.ca
AB  - Using 550 million limit orders submitted in the Korea Stock Exchange, we estimate demand and supply elasticities of heterogeneous investor types and their changes around the Asian financial crisis. We find that domestic individuals have substantially more inelastic demand and supply curves than domestic institutions and foreign investors. The crisis permanently reduced price elasticities of domestic individuals by 50% but had no effect on those of foreign investors. Institutional changes restricting margin purchases, implemented after the crisis, seem particularly important in explaining the dramatic drop. Information heterogeneity, availability of close substitutes and arbitrage risk also explain time-series variations in elasticities.
ER  -