| An Analysis on the Impact of Investor`s Information Superiority and Negative Feedback Trading on Stock Return |
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Jong Hee Kim |
| 투자주체별 정보력 우위 및 추세역추종 거래행위가 주식시장의 수익률에 미치는 영향 분석 |
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김종희 |
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| Abstract |
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This article focuses on the superiority of relative information, trading characteristics and performing return of each investor type: Individuals, Institutions, and Foreigners. That is, it analyzes whether his return rate tends to perform a higher return if the information of a certain investor is relatively high, and whether trading pattern such as negative feedback trading can be connected to perform a higher return. For this purpose, this article makes amount 1,803 daily panel data among KOSPI 200 from the 3rd of January, 2005 to May 29th of May, 2012, and analyzes the relative superiority of information, trading pattern, and performing return. Findings of this paper are summarized as follows: First, foreign investors and institutional investors performs a positive return rate while individual investors` return rate is negative. And a relative strong short-term predictability for stock market has a significant correlation to investors` return rate. Second, trading patterns of foreign investors shows a strong negative feedback trading while institutions` and individuals` are positive feedback trading. In addition, individual investors` portfolio shows a strong buy tendency. Third, a structural changes such as financial crisis aggravates the return rate of individuals greatly, and even institutions` is deteriorated right after the financial crisis. On the other hand, foreign investors are relatively less affected from the financial crisis, their return rate rather increased right after the financial crisis. Finally, the significant determinants to perform return among investors` trading patterns are short-term predictability and negative feedback trading while the more investing to the relatively large-gap stocks. And when the predictability and negative feedback trading come from buy position, it strongly affected on investors` return rate rather than from sell position. |
| Key Words:
과거 및 미래의 수익률,단기 주가예측성,초과수요대금비율,추세추종매매,포트폴리오 구성,Designing Portfolio,Excess Demanding Ratio,Forecast of Short-term Stock Value,Past and Future Stock Return,Positive-Feedback Trading |
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