Nonlinear Evidence of Investor Heterogeneity: Retail Cash Flows as Drivers of Market Dynamics

Nonlinear Evidence of Investor Heterogeneity: Retail Cash Flows as Drivers of Market Dynamics | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Nonlinear Evidence of Investor Heterogeneity: Retail Cash Flows as Drivers of Market Dynamics Gabjin Oh This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-7485618/v1 This work is licensed under a CC BY 4.0 License Status: Under Review Version 1 posted 7 You are reading this latest preprint version Abstract We quantify long memory in investor-segregated cash flows in the Korean equity market from 2015 to 2024. Using detrended fluctuation analysis on BUY, SELL, and NET aggregates, we estimate the Hurst exponent both as a full-sample measure and in a 250-day rolling window. All series are heavy-tailed, with complementary cumulative distribution exponents roughly between two and three. Time-shuffled controls return Hurst exponents near one half, indicating that persistence arises from temporal correlations rather than marginal distributions. For BUY and SELL flows, persistence ranks highest for retail investors, intermediate for institutions, and lowest for foreign investors. For NET flows, long-range dependence is lower for all three groups than in their own BUY/SELL baselines. Rolling estimates exhibit clear regime sensitivity, with level shifts around the 2018–2019 tariff episode, the COVID-19 pandemic, and the disinflation period from November 2022 through October 2024. Regressions of daily volatility on the rolling Hurst exponent yield positive and statistically significant coefficients for most groups; notably, the retail NET Hurst exponent shows predictive power for future volatility, whereas the institutional NET Hurst exponent does not. The findings provide a model-light, replicable diagnostic of investor-specific temporal correlations and their regime dependence, challenging a simple noise-trader versus informed-trader. Econophysics Heterogeneity Retail investor Market efficiency Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Under Review Version 1 posted Editorial decision: Revision requested 19 Sep, 2025 Reviews received at journal 15 Sep, 2025 Reviewers agreed at journal 09 Sep, 2025 Reviewers invited by journal 09 Sep, 2025 Editor assigned by journal 02 Sep, 2025 Submission checks completed at journal 01 Sep, 2025 First submitted to journal 29 Aug, 2025 You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-7485618","acceptedTermsAndConditions":true,"allowDirectSubmit":false,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":515576327,"identity":"3b150b1f-974e-490d-b1d1-cd66c95ee32c","order_by":0,"name":"Gabjin Oh","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA90lEQVRIiWNgGAWjYDACCTDJxmDA3sAGF2RsIEoLzwHStDAwGEgkEKnFXLr54IcPv/jkzCUfP3vw4c/hPAb2ww8YZ+7BrcVyzrFkyZl9bMaWs9PMDWe2HS5m4EkzYNzwDLcWgxs5Zsy8PWyJG27nsEnzNhxObGDIYWB8cACflvxvEC03z7BJ8/wBauF/Q0hLDhszzw+glhs8QC1sQC0SQFs24NFiOSPNWHJmA5uxwZk0M8mZbemJbRLPDA7OwKPFXCL54YcPf47JGRw//Eziwx/rxH7+5IcPe/A5DEQwth1DiIBiB48GqBaGPzX41IyCUTAKRsFIBwCssFTewziRbgAAAABJRU5ErkJggg==","orcid":"","institution":"chosun university","correspondingAuthor":true,"prefix":"","firstName":"Gabjin","middleName":"","lastName":"Oh","suffix":""}],"badges":[],"createdAt":"2025-08-29 06:43:25","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-7485618/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-7485618/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":91398854,"identity":"125b9e2d-def3-4694-bb35-db68f81a568c","added_by":"auto","created_at":"2025-09-16 06:38:15","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":32458557,"visible":true,"origin":"","legend":"","description":"","filename":"jkpsinvestor2025.pdf","url":"https://assets-eu.researchsquare.com/files/rs-7485618/v1_covered_ccb2d820-71ca-4e5e-8fea-d73614693122.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"Nonlinear Evidence of Investor Heterogeneity: Retail Cash Flows as Drivers of Market Dynamics","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":false,"highlight":"","institution":"","isAcceptedByJournal":true,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"journal-of-the-korean-physical-society","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":false,"externalIdentity":"","sideBox":"Learn more about [Journal of the Korean Physical Society](https://link.springer.com/journal/40042)","snPcode":"40042","submissionUrl":"https://submission.springernature.com/new-submission/40042/3","title":"Journal of the Korean Physical Society","twitterHandle":"","acdcEnabled":true,"dfaEnabled":true,"editorialSystem":"stoa","reportingPortfolio":"Springer Hybrid","inReviewEnabled":true,"inReviewRevisionsEnabled":false},"keywords":"Econophysics, Heterogeneity, Retail investor, Market efficiency","lastPublishedDoi":"10.21203/rs.3.rs-7485618/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-7485618/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eWe quantify long memory in investor-segregated cash flows in the Korean equity market from 2015 to 2024. 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