주식시장 개방과 외국인 투자 행태 및 성과에 관한 연구

The Investment Behavior and Performance of Foreigners in the Korean Stock Market

This paper examines the effects of the stock market opening on the domestic capital and financial markets, and analyzes the relationships between the amount of stock purchase by foreign investors and the movement of KOSPI(Korea Comosite Stock Price Index), and investment behavior and performance of the foreign investors. Since the stock market opening in January 1992, the flow of foreign capital for stock investment has not caused problems in monetary control, and its influence on domestic foreign exchange market has been trivial. After the opening of the stock market, rational investment patterns based on the intrinsic value of the company is expanding, and the inflow of foreign capital has had positive effects on the domestic stock market. The results of the causality test between the KOPSI and the amount of stock purchase by foreign investors indicate that the movement of KOSPI influenced the stock purchase of the foreign indicate that the movement of KOSPI influenced the stock purchase of the foreign investors, and not vice versa. Foreign investors show investment pattens emphasizing profitability and stability of the companies, and especially the profitability seems to be the major factor for foreign investors in selecting stock. Although the weighted average daily return of the foreign investors, during the period between January 3 and September 30, 1992, turned out to be negative, it was slightly higher than the daily average return of KOSPI. The weighed average daily excess return and the cumlative weighed average excess return for the roreign investors indicate that the performance of the foreign investors was better than that of As the Korean stock market. recovers, the investment of foreigners in Korean stock market will be augmented further and the influences of foreign investment on domestic stock market are expected to be increased. the market index. However, this analysis on investment performance uses the foreign investment data of only one securities company. In addition, 9 month-period is not long enough to give meaningful results.