KOSPI 200 지수편입과 투자자별 거래행태

This study examines the KOSPI 200 index inclusion event with a matching firm approach using average treatment effect. We test five hypotheses by investigating stock price effect and investor's trading behavior. The results are as follows. First, We find significant positive abnormal returns from the announcement date(AD), but the effect reversed after the inclusion date(CD). Second, abnormal trading volume temporarily increased until including date, it declined since then. Bid-ask Spread adversely increased in the including date and it decreased afterwards. Tobin's Q, ROA, number of shareholders and shadow cost increased after including date, but these are not significant difference with matching firm. Third, individual investors are net sellers before and after AD. Institutional investors are net sellers before AD, but are switched to net buyers thereafter for a long period of time. On the other hand, foreign investors are net buyers before CD, but are switched to net seller thereafter for a short period of time. Therefore, the positive abnormal returns at AD are attributable to net buying position of institutional and foreign investors. In addition, the price reversal after CD is found to be due to foreign investors' net selling and decrease in net buying of institutional investors. Our results indicate that KOSPI 200 index inclusion effect is derived from temporary increase in demand by institution investors and foreign investors. Finally, our findings clearly support to the price pressure hypothesis.