주식수익률의 동조화와 투자자별 거래행태: KOSPI 200 지수편입 사건을 중심으로

Stock retruns comove with index compositions after major market index inclusions. Barberis et al.(2005) suggest that comovement after inclusion in a major index is unrelated with fundamentals. They explain this phenomenon from friction or sentiment-based point of views. However, previous studies only focus on the friction-based view and comovement can be partially explained by the friction-based view based on the information diffusion hypothesis. This study examines whether the comovement after the KOSPI 200 index inclusions accounts for sentiment-based views. We also examine which type of investors’ trading behavior leads to the comovement. Our findings are as follows. First, compared with the lowest comovement group, the highest comovement group shows the largest changes of individual and institutional investors’ trading behaviors. Second, we identify that individual and institutional investors’ trading behaviors show a positive(+) relation with the comovement inclusion in the KOSPI 200 index. Overall, the comovement caused by changes in the KOSPI 200 index is related with individual and institutional investor’s trading behavior. Therefore, we find that comovement in the KOSPI 200 index changes supports the sentiment-based views such as category and habitat hypotheses.