주가 동조화 현상과 외국인 투자

Anton and Polk (2014) show price comovement of paired stocks that are held by equity funds, which supports the price pressure effect generated by cash flows of equity funds. This study investigates the comovement of paired stocks in the Korean context, and identifies the important cause for this phenomenon. The empirical findings are summarized as follows: First, equity funds, in general, hold large KOSPI stocks. Second, significantly positive correlation between the capitalization ratio of paired stocks and residuals obtained from 1 (3 or 5) factor model indicates the comovement of such paired stocks. This phenomenon can be generated by price pressure due to the cash flows of equity funds. Third, when equity funds do fire sales or purchases, they follow foreign investors’ trade. It is well known that foreign investors lead institutional investors, such as mutual funds, in the Korean stock market. As a consequence, we find that the comovement of paird stocks is generated by the foreign investors’ trade as well as price pressure effect. This study contributes to the extant literature in that we find the important role of foreign investors in the comovement of paired stocks held by equity funds.