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미국금융위기와 한국 주식시장에서의 투자자간 정보의 비대칭 연구
Reports NRF is supported by Research Projects( 미국금융위기와 한국 주식시장에서의 투자자간 정보의 비대칭 연구 | 2016 Year 신청요강 다운로드 PDF다운로드 | 민홍기(한국과학기술원) ) data is submitted to the NRF Project Results
Researcher who has been awarded a research grant by Humanities and Social Studies Support Program of NRF has to submit an end product within 6 months(* depend on the form of business)
사업별 신청요강보기
  • Researchers have entered the information directly to the NRF of Korea research support system
Project Number 2016S1A5A2A01021907
Year(selected) 2016 Year
the present condition of Project 종료
State of proposition 재단승인
Completion Date 2017년 10월 30일
Year type 결과보고
Year(final report) 2017년
Research Summary
  • Korean
  • 본 연구는 2006년부터 2013년까지 한국 주식시장에 있는 국내 기관 투자자, 국내 개인 투자자, 외국인 투자자 간의 정보의 질을 비교하였다. 우리는 Easley et al. (2002)의 연구에 나와 있는 PIN(Probability of Informed Trading)과 우리가 제안한 AGR(Agreement Ratio)를 활용하여 주식시장의 정보를 측정하였다.
    첫째, 우리는 월별과 연별의 PIN (그리고 AGR)의 비교를 통해 외국인 투자자가 가장 높았으며 반면에 국내 개인 투자자가 가장 낮은 것을 발견했다. 둘째, 우리는 국내 기관 투자자와 외국인 투자자의 정보의 질이 좋았음을 발견했고 (즉, 그들의 정보가 양의 유의한 이익을 실현시켜주었고) 개인 투자자의 정보의 질이 안 좋았음을 발견했다. 또한, 외국인 투자자의 경우 정보의 질이 금융위기일 때 더욱 좋아졌으며, 그들의 이익을 US 달러로 환산했을 때 정보의 질이 향상됨을 볼 수 있었다. 셋째, 우리는 투자자들의 거래를 통해 다이나믹 영향을 CAR을 통해 조사했다. 그 결과, 매수 이전에, 기관 투자자의 CAR 이 증가한 반면, 개인 투자자의 CAR 이 감소하는 것을 볼 수 있었다. 그러나 매도 이전에는 기관 투자자의 CAR이 감소했고, 개인 타자자의 CAR 이 증가했다. 마지막으로 우리는 PIN 과 AGR 에 미치는 거시경제학 요소들을 살펴보았는데, TED 스프레드와 환율변동성은 PIN 과 AGR 모두에 영향을 미쳤지만 KOSPI 변동성은 PIN 에만 영향을 미치는 것을 볼 수 있었다.
    결론적으로 개인 투자자의 정보의 질이 다른 투자자들에 비해 낮았으며 이것은 한국 주식시장에 정보의 비대칭이 존재하는 것을 의미한다. 또한 개인 투자자의 정보의 질이 낮은 것은 개인투자자의 Heterogeneity 때문일 수 있다. 또한 우리는 외국인 투자자의 정보의 질이 금융위기에 증가한 것이 외국인 투자자가 글로벌 정보에 접근하기 쉽기 때문으로 생각된다.
  • English
  • We have investigated information asymmetry among different investor groups in the Korean stock market. First, we measure the information quality of different investors using the concept of PIN and AGR and we find that domestic individual investors have very low quality information, whereas domestic institutional and foreign investors have high quality information since their PINs and AGRs have positive and significant coefficients for profit and returns. When we divide the sample into before and after the U.S. financial crisis, we find that foreign investors’ information advantage is greater after the crisis and when their profits are in U.S. dollars.Overall, we find clear and convincing evidence that there exists information asymmetry among different types of investors in the Korean stock market over the period 2006 to 2013. This information asymmetry increases the overall risks in the Korean stock and, by increasing entrance barriers for domestic individual investors with less information, it also negatively impacts the breadth and depth of the market.
Research result report
  • Abstract
  • This study examines information asymmetry in the Korean stock market over the period 2006 to 2013 by comparing the quality of information used by Korean institutions, Korean individuals, and foreign investors. To measure information quality, the “probability of informed trading” (PIN) proposed by Easley et al. (2002) and an “agreement ratio” (AGR) are used. Foreign investors have the highest, and individual Korean investors the lowest, information quality. The information quality of Korean institutional investors and foreign investors delivers significant positive profits, whereas that of Korean individual investors delivers losses. We also demonstrate that the information quality of foreign investors has improved since the U.S. financial crisis, perhaps because these investors have easier access to global information. Before a purchase, the “cumulative abnormal returns” (CARs) of institutional investors increase, while those for individual investors decrease. However, before a sell order, the CARs of both institutional and individual investors decrease. Finally, the “TED spread” and “volatility of the foreign-exchange market” variables are significant for both PINs and AGRs, but the “volatility of the Korea Composite Stock Price Index” is significant only for PINs. Overall, there is clear and convincing evidence of information asymmetry in the Korean stock market, with Korean individual investors possessing the worst information quality, perhaps due to heterogeneity amongst them.
  • Research result and Utilization method
  • We make three contributions that differentiate our research from previous studies. The most significant difference is that we compare the information quality opposed to simple profits between investors. The volatility of investor profits is very large, i.e., investor groups may have made significant positive profits in particular years but may have made significant negative profits in other years, which increases the difficulty in explaining profits with such large volatility. Indeed, information might also have limitations in that investors have trustworthy information at some times and not at others. However, each investor has their own routes and sources from which they obtain information, and these routes and sources do not change significantly over time. As a result, comparing the information quality rather than profits could provide consistent evidences. The second difference is that this research considers the foreign exchange rate. Most previous studies on information asymmetry did not consider the foreign exchange rate. However, this can cause ‘biased returns’ for foreign investors because foreign investors maybe be interested in home currency returns as opposed to local currency returns. The third difference is that we consider the role of ‘global information’ for the information quality after the US financial crisis. Bae et al. (2012) proposed that foreign investors convey global information to emerging markets. Therefore, we may expect that the information quality of foreign investors may have the ‘global information’ since the US financial crisis.
  • Index terms
  • 정보 비대칭, 한국 주식시장, 외국인 투자자, 기관 투자자, 정보 투자확률
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