The best PIN model in the Korean stock market

Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon

The best PIN model in the Korean stock market

Kyong Shik Eom, Jangkoo Kang, Kyung Yoon Kwon

Accounting And Finance

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Abstract

We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data

Original language	English
Pages (from-to)	425-436
Number of pages	12
Journal	Asian Review of Financial Research
Volume	29
Issue number	3
Publication status	Published - 1 Aug 2016

Keywords

adjusted PIN
information risk
likelihood ratio test
monte carlo simulation
Korean stock market microstructure

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Eom-etal-ARFR2016-The-best-PIN-model-Korean-stock-marketAccepted author manuscript, 307 KB

http://www.korfin.org/eng/e_sub04/sub0401_view.asp?code=282781&journal=1&year=2016&issue=21006&searchType=&searchValue=&page=1

Cite this

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title = "The best PIN model in the Korean stock market",

abstract = "We investigate the effectiveness of the original PIN model (Easley, Kiefer, O{\textquoteright}Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data",

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AU - Kang, Jangkoo

AU - Kwon, Kyung Yoon

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N2 - We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data

AB - We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data

KW - adjusted PIN

KW - information risk

KW - likelihood ratio test

KW - monte carlo simulation

KW - Korean stock market microstructure

UR - http://www.korfin.org/korfin_file/forum/29-3-04.pdf

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VL - 29

SP - 425

EP - 436

JO - Asian Review of Financial Research

JF - Asian Review of Financial Research

IS - 3

ER -

The best PIN model in the Korean stock market

Abstract

Keywords

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