외국인투자자의 투자기간에 따른 시장반응

We investigates the impact of investment horizons of foreign investors on the Korean Capital Market. To do this, we measured investment horizons of foreign investors as the investment－turnover of foreign investors and analyzed the Capital Market Reaction of investment horizons by using Firm’s stock price. Previous domestic literatures have mostly used foreign investors’ ownership as proxy for foreign investment. But recently, some papers(Chen et al., 2007 and so on) suggested that investment horizons of foreign investors are more proper as the proxy of foreign investors than foreign investors’ ownership. So we examed the impact of investment horizons of foreign investors on the Korean Capital Market by utilizing the investment horizons of foreign investors The result of this study’s is as followed. The investment horizons of foreign investors have a positive relevance with stock price. Therefore we can support that the participant of Capital Market recognize the difference of investment horizons of foreign investors and reflect these facts on their economic decision making. And These Results supported by additional analysis that controled Firm’s size effect and utilized Tobin’Q as the proxy of Firm’s Value. Our Study has a contribution that this study extended prior research on Market Responses of foreign investors by utilizing investment horizons of foreign investors.