한국 주식시장의 투자주체별 거래행태에 관한 분석

Abstract

본 연구는 한국 주식시장에서 개인, 기관, 외국인 투자자의 거래행태와 이에 따른 주가 수익률 및 변동성과의 관계 및 투자주체들간 매매전략의 상호관계를 심층적으로 분석하였다. 우선 각 주체별 선호종목 특성을 분석한 결과 대체적으로 개인은 소규모 기업을 기관과 외국인은 대규모기업을 선호하는 것으로 나타났다. 각 주체의 거래행태로 기관과 외국인은 대규모기업군으로 갈수록 강한 추세추종행태를, 개인은 전반적인 역추세추종행태를 보여 기존의 연구를 지지하는 결과를 제시하고 있다. 그러나 소규모 기업군에서 나타나는 개인의 추세추종행태와 기관과 외국인의 역추세추종행태는 각 투자주체의 선호종목 특성이 반영되지 않은 기존 연구들의 한계점을 암시하고 있다. 또한 본 연구결과에 따르면 개인은 시장 변동성을 증가시켜 시장을 교란하고 외국인과 기관은 변동성을 감소시켜 시장을 안정화하는 역할을 담당하고 있다는 기존의 연구 결과는 대체로 대형주에 국한되어 있다는 점을 알 수 있다. 오히려 소규모 기업군에서 개인은 시장 변동성을 감소시켜 안정화하는 반면 외국인이 시장 변동성을 증가시켜 시장을 교란시키고 있는 것으로 나타나, 투자주체별 선호종목특성을 반영한 심층적 분석의 필요성을 시사하고 있다. 마지막으로 투자주체간 상호관계에서도 각 투자주체의 선호종목특성에 따라 기관과 외국인은 대규모 기업군에서 다른 투자자의 거래행태에 긍정적인 영향을 미치고, 개인은 소규모 기업군에서 부분적이지만 외국인의 거래행태에 긍정적 영향을 미치고 있음을 보여주고 있다. ;This paper explores the relation between the stock prices and the investors' trading behavior in the Korean stock market in recent years. The investors are classified into the following three major types: individual, institutional, and foreign investors. Since the foreign investors are allowed to invest freely in the Korean stock market from 1998, the foreign investors' trading behavior has had allegedly positive or sometimes negative effect on domestic investors' trading behavior, especially on that of the individual investors. It is also well known that, in general, the institutional investors including the foreigners show some characteristics of positive feedback through their trading behavior. This kind of characteristics of foreign investors might be interpreted as one of the major effective trading signals among the individual investors who have had disadvantage compared to the other types of investors in terms of the magnitude and the quality of information they have access to. However, in some cases of small stocks, the domestic individual investors' trading behavior might conversely cause some effect on the foreign investors' trading strategies as argued in Kim (2001), Choe, Kho, and Stulz (2001). The purpose of the paper is to clarify this issue, i.e., the true interactive relationship in the Korean stock market among different types of investors. In order to accomplish this purpose, first, we have identified the characteristics of each type of investors' preferred holding stocks using the annual financial data and the related stock market data during the term of eights years between 1996 and 2003. The result shows that, as expected in the previous literatures, the individuals usually prefer to hold small stocks while the institutional and foreign investors tend to hold large stocks. This implies that each type of investors' trading behavior has different market impact on the return and the volatility depending on the size of the firm. The result also illustrates that the foreign and institutional investors' positive trading behavior can be largely observed in large and medium size stocks. And the individual investors show the characteristics of negative feedback trading behavior mainly in the large size stocks. However, for the small stocks, it is interesting to observe that the individual investors show positive feedback trading behavior while foreing investors give negative feedback. In other words, each type of investors has its own relative advantage by the size of the firm. And this can also mean that each type of investors has its own access to information through different routes depending on the size of the firm. Moreover, the study results confirm that the market volatility could be decreased by the foreign investors' trading behavior as argued in the previous literatures. However, the decreasing effect remains among mainly large stocks, and for the small stocks, it turns out to be the reverse case. As for the foreign investors, their trading behavior has the effect of increasing the market volatility while the individuals tend to decrease it. The impact of one investor group's buy/sell order on the other groups turns out to be also different by the size of a firm; in the case of large and medium stocks, the individual investors follow the foreign investors. However, in small stocks, the foreign investors follow the individual investors. These results imply that each type of investors has different market impact based on the firm size. In general, foreign and institutional investors are the market leaders and individual investors follow their trading behavior. However, it is found that such is the case only for the large or medium stocks in the Korean stock market. For the small stocks, the individuals sometimes lead the market.