외국인 투자자의 투자행태가 우리나라 주식시장에 미치는 영향에 대한 연구

[Purpose] The purpose of this study is to analyze the effect of Foreign investors' investment behavior on the Korea Stock Market and the investment behavior of Institutional and Individual investors. [Methodology] This analysis method employs the 4×1VAR(vector-autoregression) model and Impulse Response, which are designed to measure the effect of Foreign investor behaviors on the Korea Stock Market. The target period for empirical analysis is 2020.01.01. - The period until 2024.09.30 was selected as the analysis target and the analysis was conducted. The data needed for the empirical analysis were the daily KOSPI index and transaction amount data from the Korea Exchange. [Findings] The summary of the analysis results is as follows. The investment behavior of Foreign investors did not appear to have a significant effect on the KOSPI market returns, and conversely, the KOSPI market returns did not appear to have any effect on the investment behavior of Foreign investors. Second, the investment behavior of Foreign investors was found to have a significant negative effect on the investment behavior of Institutional investors at the -1st and -3rd period. And in the case of Individual investors, it was found that they were significantly positively influenced by the investment behavior of Foreign investors at the -3rd period. Third, the investment behavior of Institutional investors and Individual investors was also found to have a significant effect on the investment behavior of Foreign investors. [Implications] Through this study, it was confirmed that there is interaction among the investment behavior of Foreign investors, Institutional investors, and Individual investors.