Asian Review of financial Research

Asian Review of Financial Research Vol.29 No.3 pp.425-436

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

Key Words : Adjusted PIN,Information Risk,Likelihood Ratio Test,Monte Carlo Simulation,Korean Stock Market Microstructure

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.

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