Title Page
ABSTRACT
국문 초록
Contents
1. Introduction 10
2. Institutional Background 14
3. Literature Review 15
3.1. Role of Electronic Disclosure Systems in Stock Market 16
3.2. Impact of Financial Technologies on Investors 19
4. Hypothesis Development 21
5. Data and Variables 25
5.1. Data 26
5.2. Key Measures 26
5.2.1. Dependent Variables 26
5.2.2. Independent Variables 28
5.2.3. Control Variables 29
5.3. Model-free Evidence 31
6. Empirical Analysis 32
6.1. Model Specification 32
6.2. Results 34
7. Additional Analysis 40
7.1. The Impact on Institutional Investors 40
7.2. Differences-in-Differences: Retail vs. Institutional Investors 43
8. Conclusion 47
References 51
Appendices 55
Appendix Ⅰ. Model-free Evidence 55
Appendix Ⅱ. Estimation using CAR with different Time Windows 56
Appendix Ⅲ. DiD Estimation 60
Table 1. Summary Statistics 30
Table 2. Estimation Outcomes of AVOL (Retail Investors) 35
Table 3. Estimation Outcomes of Trade Quality (Retail Investors) 36
Table 4. Heterogeneous Effects: AVOL on Opaque Stocks (Retail Investors) 38
Table 5. Heterogeneous Effects: Trade Quality on Opaque Stocks (Retail Investors) 39
Table 6. Estimation Outcomes of AVOL, and Trade Quality (Institutional Investors) 41
Table 7. Heterogeneous Effects: AVOL and Trade Quality on by Opaque Stocks (Institutional Investors) 42
Table 8. DID Regressions on Trading Reaction (AVOL) and Trade Quality (CAR / NETBUY) 46
Figure 1. Mean Trading Outcome of Retail Investors 31