주가동조화와 환율변동이 투자집단의 의사결정에 미치는 영향

This study examines the impact of decision to investor group on the stock price co-movement and exchange rates change in Korea and the United States stock market. This study uses the Granger causality test method, the time series regression model, the impulse-response function analysis. The sample period selects the three years from July 2008 to June 2011 after the global economic crisis. Major empirical findings are summarized as follows. First, this paper finds that the index returns of the United States stock market have a positive impact on the index returns of the Korea stock market, but a negative impact on the exchange rates. Second, the impact on the net purchase rates of the United States price market returns in the Korean stock market is quite different between the investor groups, specifically, the impact of foreign investor group appears to be stronger positive than the individual and institutional investors. Third, the impact from the net purchase rates to the index returns in the Korea stock market is quite different between the investor groups, and the net purchase rates of foreign investor group appears to be stronger positive than the individual and institutional investors. Conclusively, the stock price co-movement and exchange rates impact the net purchase decision of the foreign investor group on in the Korean stock market. The foreign investors in the Korean stock market seem to make trading decisions based on the already known the United States stock market returns data more frequently than the individual investors or institutional investors.