Despite the fact that the implementation of 5% rule is widely recognized to enhance the transparency of capital market and fairness of corporate governance market, a few evidences present information effect of 5% rule. Using 7,088 non-financial firm-year observations listed on the Korea Stock Exchange from 2006 to 2012, we analyze the relation between trading volume and 5% rule disclosure. The results show that the daily and abnormal trading volume is increased when 5% rule disclosure is released. Moreover, the trading volume is significantly increased during cooling period. Specifically, trading volume is significantly greater when one day before cooling period or the expiration day of cooling period. We also find the information effect of firms with stable ownership structure before 5% rule disclosure is relatively smaller than the firms with unstable ownership structure with unstable ownership structure. These results imply that capital market participants use the information from 5% rule disclosure and reflect in their real economic decision.

Abstract
1. Introduction
2. Literature Review and Hypotheses
    2.1. The Information Effect of 5% Rule Disclosure
3. Research Methodology
    3.1. Measure of Trading Volume
    3.2. Measure of Ownership Structure Volatility
    3.3. Measure of Ownership Structure Volatility
    3.4. Sample Selection
4. Results
    4.1. Descriptive Statistics
    4.2. T-test of Hypothesis 1 and 2
    4.3. Regressions Analysis of Hypothesis 1
    4.4. Regressions Analysis of Hypothesis
    4.5. Additional Analysis
5. Discussion and Conclusions
References

• Eung-Gil KIM(Dept. of Accounting, Soongsil University)
• Sook-Min KIM(Solbridge International School of Business, Woosong University) Corresponding Author