외국계 증권사 정보의 실시간 공개효과

초록

This paper investigates the effect of disclosure of the information on foreign investors` trading on stock prices, trading volume, volatilities, and order submitting and execution patterns of domestic individual and institutional investors in Korean stock market. We select the firms representing 15 industries, and matching firmly randomly chosen from each industry, and collect the data on trading orders of these firms submitted by brokerage companies collected every one minute and corresponding order execution data for one year period from January 2 2003 to December 30 2003. If foreign brokerage company is included in the 5 brokerage companies that submit the largest buy/sell orders, we classify it as the disclosure of the information on foreign investors`s trading, and proceed to analyze how this information affect the overall aspects of the market and particularly the order submitting and execution patterns of domestic individual and institutional investors. Contrary to the general conjecture, we find no distinctive pattern that domestic individual traders follow the trading of foreign investors, but statistically significant herding behavior among foreign investor is detected. When the information on foreign investors` trading is disclosed as the market opens, it affects the trading volume and risk adjusted returns of the firms representing each industry by statistically significant margin.

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