국내 주식시장에서 가격변동 정보에 대한 과잉반응과 투자자별 거래행태

Using daily returns in the Korean stock market for the period from 2005 to 2009, this paper investigates short-run overreaction to large stock price changes and investors’ trading behavior. The empirical results are summarized as follows. First, we find that return reversals exist after large price changes by showing negative returns following large stock price increases while positive returns following large declines. This result presents the evidence of overreaction in the Korean stock market. Second, the larger return reversals are observed in the portfolio of larger individual holdings, suggesting that the individual investors are more overreacting to large stock price changes. Third, the return reversals disappear for the sample of price limits, indicating that the evidence of return reversals is diluted by including price limits in the sample of large stock price changes. Fourth, we observe 2.5～3 times larger trading volumes on the day of large stock price increases or declines, suggesting that investors exhibit heterogeneous response to large price change events. Finally, we find that individual investors exhibit different trading patterns from those of institutional and foreign investors, showing that institutional and foreign investors earn relatively higher returns surrounding large stock price changes.