원자재 ETF를 활용한 주식시장에서의 투자자심리와 비합리적 투자자의 행태에 관한 연구

초록

Based on the commodity ETF data by Bloomberg from 2008 to May 2016 provided by Bloomberg, this study analyzes whether the investor sentiment in Korean stock market affects the prices of commodity ETF. To discriminate the pricing errors due to investors' behavior from imperfect replication, we divided the tracking errors into 'the mispricing part' and 'the imperfect replication part'. The summary of analyses are as follows. First, the investor sentiment has negative influence on the tracking errors from mispricing and has no significant effect on the ones due to imperfect replication. Second, trading by irrational investors is positively related with the tracking errors from mispricing. Third, the tracking errors caused by imperfect replication are positively related to the ETF turnover rate. This study empirically confirms that the sentimental change of irrational investors amplifies mispricing of commodity ETFs, distorting their prices from the fundamental values. The results may provide useful implications on application of the investor sentiment in reality.

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