분위수회귀분석을 이용한 ESG ETF의 가격괴리에 투자자심리가 미치는 영향 분석

This purpose of this study is to examine the relationship between a disparate ratio of ESG ETF and investor’s sentiment in Korea. To do this, we adopt a panel regression model and a quantile regression model. In addition, we utilize a principal component analysis to derive the common factor of six different investor’s sentiment variables such as the buy-sell imbalance of individual investors, equity fund flow ratio, customers’ deposits, turnover ratio, volatility premium and volatility index, while the sample period ranges from August 31, 2017 to December 31, 2020. The empirical result of the panel regression model shows that the relation between the disparate ratio and investor’s sentiment is statistically significant, and that investor’s sentiment has a statistically positive impact on the disparate ratio of ESG ETF. Among the control variables, the market index return affects the disparate ratio significanlty. The results from the quantile regression shows that the relation between disparate ratio and investor’s sentiment is significant when the disparate ratio of ESG ETF is high (when the price of ETF is higher than NAV). This result means that there is an asymmetric effect of investor sentiment depending on the degree of the disparate ratio. Moreover, this phenomenon is observed on in the bull market. In summary, our result shows that the price efficiency of ESG ETFs depends on investor sentiment, especially in the bull market.