한국주식시장에서 소유구조가 주가수익률 변동성에 미치는 영향

The purpose of this study is to investigates the effect of ownership on volatility of stock returns in Korean stock markets. We examine by panel regression analysis of 8,252 observations for 13 years from 2005 to 2017. This study use the idiosyncratic risk as a substitute variable of stock price volatility. This study also use investor base and portfolio concentration as a substitute variable for ownership. We employ investor base as the number of minority shareholders, institutional ownership, and foreign ownership, also employ portfolio concentration as the dummy of 1st blockholder(≥5%) is family with affiliate and affiliate company, the dummy for blockholder presence, and the number of blockholder. From the investor base, the higher the number of small shareholders, the higher the ownership of institutional investor, the higher the volatility of the stock returns. On the other hand, the higher the ownership of foreign investor, the lower the volatility of the stock return. In portfolio concentration, stock price volatility increases as there are blockholder presence and the larger the number of blockholders in the company. These results suggest that there is a relation between ownership structure and volatility of stock returns in the Korean stock market. In other factors, there was a positive relation between market value book value, stock turnover, leverage and stock return volatility, while there was a negative relation between return on asset, firm size and stock return volatility. This study contributes to the finding that there is a relation between ownership structure and stock price volatility such as investor base and portfolio concentration in the Korean stock market.