한국 주식시장의 투자주체별 거래행태에 관한 연구

• 영문명: The Impact of Investor Trading Behavior on Stock Return and Volatility in Korean Stock Market
• 발행기관: 한국무역연구원
• 저자명: 류형선(Hyung Seon Ryu) 양성국(Sung Kuk Yang)
• 간행물 정보: 『무역연구』제10권 제5호, 679~694쪽, 전체 15쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.10.31

영문 초록

This study analyzes the impact of net stock purchase, trading value, and trading volume of each investor on stock return and volatility, based on Korean stock market and KOSDAQ market data from January 2008 to December 2012. Findings can be summarized as follows. First, the correlation between net stock purchase and stock return shows statistical significance, while trading value and trading volume do not show any significant correlation with stock return. Second, daily and weekly data of net stock purchase by each investor do not show significance in its correlation with stock index return, whereas it appears significant in the monthly data of net stock purchase. Third, daily and weekly data of trading value by individual investors as well as the weekly data of trading value by foreign investor appear significant. However, the monthly data does not show any significance in the case of both individual and foreign investors. Fourth, daily data of trading volume by each investor appears to be statistically significant. In contrast, weekly data of trading volume appears significant only in the behavior of individual and institutional investors.

목차

Abstract

Ⅰ. 서론

Ⅱ. 선행연구 및 연구방법

Ⅲ. 분석 결과

Ⅳ. 결론

참고문헌

키워드

Investors Trading Behavior Stock Return and Volatility Payoff Structure Unit root test