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Jung-Wook Kim,Jason Lee,Randall Morck 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.11
Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) complete limit order demand and supply schedules for individual stocks. Both have demonstrably finite elasticities, indicating that individual stocks exhibit economically large private valuation heterogeneity across investors. Both elasticities fall markedly, by about 40%, with the crisis and remain depressed long after the stock market recovers to its pre-crisis level – consistent with a lingering post-crisis impairment in information diffusion. Superimposed upon this common long-term pattern, individual stocks’ demand and supply elasticities correlate negatively at daily frequencies. That is, whenever a stock exhibits unusually elastic demand, it tends simultaneously to exhibit unusually inelastic supply, and vice versa. Moreover, if demand is flat relative to supply at the open, subsequent intraday returns are higher. We propose that limit order books react to trading patterns indicating possible private information: aggressive orders on one side of the order book increases its elasticity, but this elevates perceived adverse selection risk on the other side of the order book, inducing order cancellations that reduce its elasticity. Arbitrage may thus limit its own profits by steepening the price schedule on the opposite side of the market. If rational market participants cannot distinguish informed from uninformed order surges, this steepening feedback may similarly magnify price fluctuations unrelated to fundamentals.
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