Table 4 Characteristics of the stocks... | Emerald Publishing

Table 4

Characteristics of the stocks traded by the NPS

Panel A: Total market
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	12,770	679,716	35,283	124,978	78,272	−0.0577
External	9,078	583,392	19,659	82,040	36,882	0.1352
t-value	82.44**	15.17**	105.15**	111.7**	114.18**	−31.00**

Panel A: Total market
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	12,770	679,716	35,283	124,978	78,272	−0.0577
External	9,078	583,392	19,659	82,040	36,882	0.1352
t-value	82.44**	15.17**	105.15**	111.7**	114.18**	−31.00**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0102	−0.0443	3.5043	0.6339	0.2832	0.0395
External	0.0869	0.0529	3.9634	1.0833	0.4476	0.1600
t-value	−32.62**	−16.81**	−84.4**	−70.12**	−15.83**	−23.44**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0102	−0.0443	3.5043	0.6339	0.2832	0.0395
External	0.0869	0.0529	3.9634	1.0833	0.4476	0.1600
t-value	−32.62**	−16.81**	−84.4**	−70.12**	−15.83**	−23.44**

Panel B: KOSPI
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	12,828	682,147	35,437	125,596	79,124	−0.0550
External	9,218	608,068	21,601	93,688	44,943	0.0949
t-value	75.77**	10.59**	84.99**	74.16**	83.35**	−24.88**

Panel B: KOSPI
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	12,828	682,147	35,437	125,596	79,124	−0.0550
External	9,218	608,068	21,601	93,688	44,943	0.0949
t-value	75.77**	10.59**	84.99**	74.16**	83.35**	−24.88**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0103	−0.0417	3.4935	0.6249	0.2785	0.0383
External	0.0628	0.0365	3.7141	0.8262	0.3946	0.1550
t-value	−24.72**	−13.98**	−42.15**	−36.43**	−12.01**	−47.47**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0103	−0.0417	3.4935	0.6249	0.2785	0.0383
External	0.0628	0.0365	3.7141	0.8262	0.3946	0.1550
t-value	−24.72**	−13.98**	−42.15**	−36.43**	−12.01**	−47.47**

Panel C: KOSDAQ
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	8,823	512,677	24,699	82,513	19,696	−0.2382
External	8,565	492,507	12,508	39,137	7,188	0.2838
t-value	0.91	0.72	17.52**	47.70**	54.66**	−8.89**

Panel C: KOSDAQ
	Number of trade	Trading volume	Trading amount (million won)	Price (won)	Market cap. (billion won)	Daily return (%)
Internal	8,823	512,677	24,699	82,513	19,696	−0.2382
External	8,565	492,507	12,508	39,137	7,188	0.2838
t-value	0.91	0.72	17.52**	47.70**	54.66**	−8.89**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0087	−0.2240	4.2475	1.2525	0.6048	0.0515
External	0.1753	0.1134	4.8819	2.0300	0.6429	0.1750
t-value	−7.07**	−6.16**	−12.76**	−10.57**	−0.35	−24.33**

	CTOO (%)	OTOC (%)	Volatility (%)	Turnover (%)	Spread (%)	Amihud (%*million won)
Internal	−0.0087	−0.2240	4.2475	1.2525	0.6048	0.0515
External	0.1753	0.1134	4.8819	2.0300	0.6429	0.1750
t-value	−7.07**	−6.16**	−12.76**	−10.57**	−0.35	−24.33**

Note(s): *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors