외국인 투자가 환율과 주가에 미치는 영향

This study examine whether foreign investments affects exchange rate and stock price in Korean Stock Market. Also, this study try to separate daily exchange return and daily Index return to night and day return respectively, it investigated that net purchase of foreign ratio affects exchange rate and stock price. In my study, whole sample period is during Jan. 2006 to Dec. 2011, it could be separated three sub-periods, pre global economic crisis, during post global economic crisis to before Europe crisis and after Europe crisis. I use Granger causality test, VAR and structure-VAR model. Empirical results are follows :First, using Granger causality test, there exists a Granger causality from daily KOSPI index return to net purchase of foreign ratio and won-dollar exchange rate return, from net purchase of foreign ratio to won-dollar exchange rate return. Second, according to VAR model, net purchase of foreign ratio don’t affect daily KOSPI index return but won-dollar exchange rate return. Third, according to SVAR model, post Europe Crisis, net purchase of foreign ratio affect to won-dollar exchange rate return and KOSPI index return at night. These results could be translated for foreign investment affect to exchange rate and stock price, it caused by world economic situation has changed through global economic crisis and Europe crisis.