한국 주식시장의 외국인 및 기관 추종 전략의 성과

초록

We analyzed the trading behaviors and investment performances of foreign and Korean institutional investors, using their daily trading data from 2004 till 2010. First we analyzed their trading behaviors using Pearson correlation analyses and Granger causality tests. Second, we established four different strategies of following either group of investors. Third we computed investment performance of each of the four strategies. It turned out that the returns from foreigners-following strategies were lower than the returns on a market index (KOSPI) or the beta-adjusted required returns for the following strategies. In the mean time, the returns from Korean-institutions-following strategies were higher than the two returns aforementioned. It, however, should be noted that these results are valid only for the strategies adopted by this research. In addition, these results never mean that Korean institutions outperformed their foreign counterparts as the results were based not on their own trading but on the strategies of following their trading belatedly. The contributions of this research are as follows. First this paper examined whether individual investors could make extra returns by following either foreign or Korean institutional investors, which has never been done before. Secondly, we traced in detail trading behaviors of those two informed traders and then established appropriate following strategies. Thirdly, this paper used up-to-date data of seven years. One limitation of this paper is that we tried only four different following strategies, so the results of this paper might not be very robust.

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