미국 주가 급변에 대해 외국인투자자들은 과잉반응하는가?
Do foreign investors in korea tend to overreact to big changes in the S&P500 index?
- 원문 URL
I analyze the responses of the KOSPI, domestic, and foreign investors in Korea to big sudden movements in the S&P500 index. A big movement is defined as upper and lower 10% of S&P500 daily returns during the period from January, 1997 to September, 2004. 5-day cumulative return of the KOSPI after such a big movement is measured as a permanent effect, and then the contribution of foreign and domestic investors trading to the permanent effect is examined. The major findings are as follows : In the case of a sudden event with positive implications, the KOSPI under-reacts on the very same day by only reflecting part of the permanent effect, but gradually adjust to reflect the remaining part afterward. In the case of a sudden event with negative implications, the KOSPI over-reacts on the same day by more then fully reflecting the permanent effect, but dampens down to the permanent level afterwards. Most of permanent effect is induced by trading by foreign investors. However, the over-reactions in the case of events with negative implication seem largely due to trading by domestic institutional investors. The restoration movements afterwards turn out to be due to trading by foreign investors. According to the results of this paper, foreign investors can be thought of as a messenger, who transmits rather the information, then the irrational sentiment.