We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pe
Using trade data from Korea from December 1996 to November 1998, we find evidence that domestic individual investors have a short-lived private information advantage for individual stocks over foreign
The Volume column shows the total shares traded on each day and the Cum. Volume % column shows the percent of total volume that took place on or before that date.
