한국 주식시장의 투자주체별 거래행태와 손익구조에 관한 연구

Abstract

This study is to analyze the impact of investment behaviors of investment entities, such as Individual Investors, Institutional Investors, Foreign Investors and so forth, stock return and volatility. To achieve this goal, I analyzed data of security market exchange and KOSDAQ from January 2008 to December 2012. Specifically investors net purchase, trading value, and trading volume data by daily, by weekly and by monthly for each investment entity, to identify the influence of behavioral characteristics of each investment entity on returns and volatility. Additionally, analyzed the relationship between investment entity's return and financial information by investigating financial special variable, such as ROA, ROE, EPS, BPS, SIZE which most of investment entities prefer. The findings of this research can be summarized as follows. First, the result of analysis on correlations between investment entities'net purchase, trading value, and trading volume and stock returns is as following. There is -5.5665 corelation between stock returns and individual investors.0.3954 corelation between stock returns and foreign investor's net purchase, and 0.2086 corelation between stock returns and institutional investor's net purchase. Every investment entity's corelation between stock returns and it's net purchase was less than 1% which is statistically similar result. This suggest that the direction of individual investors' net buying moves different direction than the direction of stock returns. Also, this research could not find any corelation between investment entities'by daily trading value, trading volume, and the movement of stock returns. However; according to our corelation analysis between the earning of each item which the investment entities net buying item and firm finance information suggest no meaningful corelation. Secondly, the result of the analysis about the impact on volatility by of each investment entity's net purchase, by investigating daily, weekly and monthly data is as below. After investigating daily net buying data and weekly net buying data, found that there are no meaningful correlation, however; could find meaningful corelation on monthly data. Third, the result of the analysis about the impact on volatility by of each investment entity's trading value, by investigating daily, weekly and monthly data is as following. I could find the meaningful corelation only between individual investor and volatility not on institutional investor and foreign investor. I also found after analyzing weekly trading value data, there is meaningful corelation between individual investor and foreign investor and returns volatility, but not between institutional investor and stock index returns of volatility. Lastly in case of the analysis of monthly trading value data there were no meaningful corelation in any of investment entities. Fourthly, the result of the analysis on the effect on volatility per investment entity's trading volume by daily, by weekly and by monthly is as following. First of all, according to daily data analysis, trading volume of all types of investment entity in the research has meaningfully correlated with volatility. However; in weekly data analysis only trading volume of individual investor and institutional investor showed significant corelation but not in trading volume of foreign investor. Furthermore, I also examined whether the volatility is sustainable or not. In the result only in daily data analysis the volatility was sustainable meaningfully, but in other analysis the significance was not significant. At last, in analysis of corelation between preferred item and financial info, institutional investor's and foreign investor's consider the Return on assets and Earning per share as important investment measure. Therefore they has tendency to prefer to invest on companies that have large scale of financial structure. On the other hand, individual investor's shows quite different behavioral characteristic and these character of investment behavior is causing law investment returns as a result. Also institutional investor and foreign investor prefer to invest on large-capital stock oriented portfolio and heavily depending on company value analytic characteristic. On the other hand, individual investors prefer to have med-small oriented portfolio. Because this thesis limits its data to 5 years period, it was challenging to provide accurate and detailed analysis. Therefore in the follow up research I will broaden the data set for the research. Also, another limitation is in this research the preferred item has been limited to net buying more than 2 years for each investment entities, therefore it will be to unreasonableness if I generalized this result to entire stock market.