코로나19(COVID-19) 전후의 주식시장 효율성 비교: 군집행동을 중심으로

Herding behavior in the stock market can be the basis for the behavioral finance argument that investors are affected by investor sentiment. It may be suspected that COVID-19 has amplified volatility in the stock market and weakened market efficiency. This study used daily data of industry indices from January 2002 to December 2021 for KOSPI and KOSDAQ to analyze the herding behavior and inefficiency of the stock market by dividing it into the period before and after the U.S. financial crisis (2002～2006, 2007～2008) and the period before and after COVID-19 (2009～2019, 2020～2021). The result of the analysis as follows: First, herding behavior was strong during the period when the volatility of stock price was high. In the period of the U.S. financial crisis (2007～2008) and the period of COVID-19 (2020～2021), when volatility increased, herding behavior was strong, or at least the normal market was weakened. Second, when institutional and foreign investors, who are informed investors, lead the market transactions, there was a high possibility that herding behavior would appear. Herding behavior was strong during the U.S. financial crisis (2007～2008), when the proportion of transactions by institutional and foreign investors increased. Third, in the KOSPI market, where institutional and foreign investors have a relatively high proportion of transactions, herding behavior was stronger than in the KOSDAQ market.