개별 주식에 관한 투자주체별 수익률 분석 : 외국인 투자자를 중심으로
The Effect of Net Positions by Type of Trader on Return:Focusing on Foreign Investors
- 주제(키워드) 순매수 , 외국인
- 발행기관 서강대학교 일반대학원
- 지도교수 정재식
- 발행년도 2011
- 학위수여년월 2011. 2
- 학위명 석사
- 학과 및 전공 일반대학원 경제학과
- 실제URI http://www.dcollection.net/handler/sogang/000000046566
- 저작권 서강대학교의 논문은 저작권 보호를 받습니다.
초록/요약
In this study I examine the relationship between trader-type-specific trading volumes and the return of the KOSPI stock over the period of January 2005 through December 2009. The results are summarized as follows. First, the principal findings of this study are that the effect of foreigners' stock investment is positively associated with the return. However, the effect of individuals' stock investment is negatively associated with the return. Second, when net positions are decomposed into expected and unexpected components, unexpected shocks have more persistent effect on the return of the market than expected component. Meanwhile, individuals and domestic commercial investors seem to follow the lead made by foreign investors.
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