예상치 못한 외국인 순매도로 인한 비대칭적 변동성

Abstract

This paper investigates whether the unexpected net selling by foreign investors is regarded as a bad news for domestic investors and causes asymmetric volatility beyond the bad news of the market. Stocks are sorted into five groups by the ratios of foreign investors' holding stock, and analyze if the lower ratios would lead to any difference in the asymmetry. We estimate bivariate GARCH model, diagonal BEKK, and find that stocks with lower proportion of foreign investors tend to show higher asymmetric volatility. Since stocks with lesser foreign investors tend to higher proportions of local investors, we can conclude that stocks with higher proportions of local investors tend to show higher asymmetric volatility. The effect of firm size was further analyzed to determine whether this was the cause of the asymmetric volatility. The stocks of five groups were again sub-divided by firm size into three groups, large, mid-cap, and small stocks. Within each group, additional asymmetry due to the unexpected net selling by foreign investors was evident in small and mid-cap stocks. Thus we claim that domestic individual investors' risk aversion would be a possible cause for the asymmetric volatility along with a bandwagon effect. Bandwagon effect arise since individual traders are aware that foreign investors are well-informed traders and choose to follow their action.