투자자별 순투자가 주식시장에 미치는 영향

초록

This study investigates the effects of investorsʼ net investment on the stock price returns and volatilities and then to see whether these influences, if there exist, vary depending on stock variables such as market capitalization, trade value, trade volume, and foreign ownership ratio. Random effect panal regression and IGARCH(1,2) were applied for the analyses of stock returns and stock volatility respectively. Individual investorsʼ net investment has a negative impact on stock price returns whereas those of institutional and foreign investors have positive impact on them. All stock variables influence the effect of investorsʼ net investment on the stock price, to a greater or lesser extent. For the stock price volatility analysis, we find that whereas individual investorsʼ net investment has no impact on the volatility, institutional investors increase volatility and foreign investors decrease it. In conclusion, this study finds that investorsʼ net investment affects the stock price returns and volatilities differently and these influences vary depending on stock variables. This study sheds lights on the necessity of considering various stock variables to understand better the effect of each investorʼs investment impact on the stock price returns and volatilities.

키워드