주요 국가별 주식시장의 외국인 주식거래 결정요인에 관한 연구

The primary purpose of this study is to empirically investigate the determinants of foreigner’s equity transactions in developed countries and emerging markets. We focused on USA and Japan as major developed countries, and Brazil, China, Korea as emerging markets. Based on only the normal situation of the market, our sample period constitutions exclude the effects of the Asian crisis from January 2001 to December 2009. Dependent variables are changes in foreigner’s stock holdings, buying and net buying respectively. And stock returns, changes in share turnover velocity, changes in exchange rate, inflation, changes in foreign exchange reserves, changes in call rates, and country CDS spread are considered as independent variables. Summarizing overall results is as follows. First, the consideration of foreigner’s investment decision is difference between developed market and emerging market. Second, the foreign exchange rate is an important consideration in Japan, Brazil and Korea. In case of Japan, there appeared an increased in foreigner’s investment when the yen was depreciated. Third, Korea and the United States showed that the more increase in stock market’s liquidity, the more decrease in the proportion of foreigners investing. Fourth, in the test of some variables such as inflation and call rates, the signs of significant coefficients may appear differently depending on the country and the dependent variables. We find that the foreigner’s equity investments are determined by the various factors of developed or emerging market.