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The Best PIN Model in the Korean Stock Market

  • Kyong Shik Eom Affiliated Researcher, CRMR, University of California at Berkeley
  • Jangkoo Kang Professor, College of Business, Korea Advanced Institute of Science and Technology
  • Kyung Yoon Kwon Ph.D Candidate, College of Business, Korea Advanced Institute of Science and Technology
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.

  • Kyong Shik Eom
  • Jangkoo Kang
  • Kyung Yoon Kwon
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.
Adjusted PIN, Information Risk, Likelihood Ratio Test, Monte Carlo Simulation, Korean Stock Market Microstructure