주가 점프 정보의 규모 별 투자자 별 비대칭적 영향 분석

The occurrence of a stock price jump is itself recognized by stock investors as the explanatory variable of the movement of the stock price and as the dependent variable for the information to be predicted. Using daily data from 2007. 01.～2018. 12, this study analyzes a total of eight indices, including the indices of the KOSPI and KOSDAQ markets, and the three indices by size, classified by market capitalization of each market. First, using stock price jump information of KOSPI and KOSDAQ markets, this study examines the presence of overreaction phenomena and the magnitude of impact of the negativity effect. The results of the analysis of stock price overreaction show that the market is relatively more inefficient in KOSDAQ and in small-cap stocks, where informed traders tend to treat less important. The analysis of the negativity effects shows that the negativity effects exist in both KOSPI and KOSDAQ, and the difference between the two markets is not significant. On the other hand, small-cap stocks have some more negativity effects than large-cap stocks. Second, the stock price jump information is used for the KOSPI and KOSDAQ markets to analyze whether the effect of stock price jump information by investors (individuals, institutions, and foreigners) is asymmetric. The results of the analysis show that foreign and institutional investors, who are informed traders, have an edge over individual investors in predicting prior to the stock price jump occurred, and that the inefficiency in the market by investor is greater in KOSDAQ than in the KOSPI.