연기금의 거래행위와 주식시장의 안정성 및 수익률 실현 대한 비대칭성 연구

This article focuses on the response of pension-fund to trading behavior of foreigners, which has a strong influence on volatility and return in Korea’s stock market. Especially it empirically estimates whether the trading behavior of pension-fund is closing to the characteristics of injection or investment in stock market. Findings of this paper are summarized as follows: First, considering its intrinsical character, it is very difficult pension-fund to achieve magnificent effects to alleviate the increasing volatility, which arises from trading behavior of foreigners, due to the difference from positive-feedback, so called, preference of these two investor types. Second, even if pension-fund has partially similar character with that of institution’s, its trading behavior is not match with that of institution’s. Its trading behavior makes market’s volatility more increasing, and it can not offset the increasing volatility by selling behavior from foreigners. Third, the trading behavior of pension-fund is focusing on its performing return rather than market’s stability. Especially it is performing market’s return through the progressive buying position with targeting large-cap stock, and this result is not by the reflective benefit from trading behavior of foreigners but by the buying position of pension-fund with the low price-purchase of large-cap stock. Finally, in the trading behavior of these two investor types, selling position of foreigners is not connected with the buying position of pension-fund. It means, even if foreigners unexpectedly change their position to selling, pension-fund does not react to it as buying position. Thus, the trading behavior of pension-fund has a strong tendency of an investment for performing market’s return rather than and injecting for market’s stability.