주식수익률의 가격대별 동조화 현상과 개인투자자의 거래행태: 한국 주식시장의 주식분할 사건을 중심으로

Stock returns exhibit increased comovement with low-priced stocks following stock splits. Direct decomposition reveals that individual investor trading accounts for most of the shift in comovement. The shift in comovement is more pronounced with a greater increase in the proportion of individual investor trading and high investor sentiment. This suggests that individual investors are subject to behavioral bias that categorizes stocks based on price. Price-based return comovement is evident in full-cross section of stocks. Furthermore, low-priced stocks tend to comove strongly with similarly priced stocks, whereas high-priced stocks do not. We attempt to explain this by demonstrating that individual investor trading is the source of price-based return comovement. Specifically, individual investor trading is more concentrated in low-priced stocks, thereby resulting in return comovement due to behavioral bias. In contrast, return comovement seems to weaken in high-priced stocks, not only because the proportion of individual investor trading is relatively low, but also because institutions, foreigners, and other investors trade in the direction of reducing return comovement.