한국 유가증권시장 투자자 유형별 거래행태 분석

Using intraday stock price data of 6 years (2000-2005) from Korean Stock Exchange, this paper investigates trading behavior of six investor groups in Korean stock market. The investor groups are categorized such as individual investors, foreign investors, banks, insurance companies, securities companies, and investment trust companies(including mutual funds). Their trading behavior is analyzed from three points of view: market timing, tendency of momentum trade, ability of forecasting price. Market timing ability is measured by the ratio of each group's VWAP and market VWAP. The VWAP analysis shows that individual investors, banks and foreign investors are the better performers than securities and insurance companies. Tendency of momentum trade is analyzed by comparing each group's correlation between today's market return and tomorrow's net buying amount. It is found that foreign investors and insurance companies are employing momentum trading strategies while individual investors, securities companies and investment trust companies are doing counter-trend trade. Each investor's forecasting power is measured by correlation between today's net buying amount and the tommorow's market return. When foreign investors, banks or investment trust companies are net buyers today, the next day's market return will be positive with statistical significance. On the contrary, individual investors buying amount is negatively associated with tomorrow's market return.