엔화 선물 포지션과 국내 주식시장의 투자주체별 거래행태 연구 : 엔-캐리 트레이드의 변화를 중심으로

This paper analyses what the different transaction behavior among investors type in KSE is by using the investment reaction model based on future forecast, which consists of yen future net position and KOSPI return to global market index return. The empirical results show that the foreign investor's transaction behavior differs from that of the institutional investor and the individual investor. The foreigner considers non-commercial yen future net position in the CME meaningful decision factor in the time to sell. Otherwise, the decision factors in the time of the foreigner's sale and the institution and the individual investor's sale and purchase are the preceding performance of stock selling & buying, and expectation of KOSPI return. However, this paper examines why the foreigner considers significantly non-commercial yen future position decision-making factor in only time to sell. The binary logit model is used to verify whether money from stock selling is move on to local bond market or to purchase US dollar. The research shows that the foreigner having in prospect of yen's bearish trends tends to sell the stock to cover short position in the yen future market increasing at the time to stay the yen at lower. In other words, the exchange rate of KRW to USD goes up because the money from selling stock is to transferred to abroad. Thus, the foreigner tends to withdraw the money to re-adjust global asset portfolio rather than to invest the riskless asset in local market. In conclusion, it is confirmed that the foreigner's behavior differs that of the local investors, and the reason is ascribed to re-adjustment of global asset portfolio.