주식시장 수익률과 개인 투자자의 매매 성향

Abstract

This study examines the relationship between individual investors and the KOSPI stock market using long-term data spanning 25 years from 1999 to 2023. However, this study analyzes the relationship between individual investors' net buys and KOSPI returns by dividing the entire period into five sun-periods of five years and applying two-sided regression and structural vector autoregressive (SVAR) models. The main findings are as follows: First, compared to foreign investors, both institutional and individual investors exhibit relatively higher turnover ratios. Second, cross-sectional analysis shows that KOSPI returns decrease monotonically with the individuals' net buys. Third, the results of the two-sided regressions indicate a Granger causality, where past returns negatively influence individual investors' net buys. In addition, today's individual net buys negatively Granger cause future returns. Fourth, the SVAR analysis also shows that KOSPI returns have a strong negative effect on individual net buys. Finally, according to the results of SVAR impulse response function, net buys response negatively to KOSPI shocks, and this response dissipates almost entirely by the third day. In summary, individual investors tend to engage in net selling in response to positive news in the KOSPI market, and this tendency may be a key reason for their lower performance.