한국 주식시장에서의 외국인투자자 집단화 현상과 주식수익률의 관계 (Crowded Trading of Foreign Investors in the Korean Stock Market)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 36권 / 4호 / 1 ~ 35페이지
· 저자명 : 하유성, 강장구, 배재완

초록

본 연구는 국내 주식시장에서 외국인투자자들에 의한 집단화 현상과 주식수익률의관계를 조사한다. 첫째로, 외국인투자자에 의한 집단화 성향이 높은 주식이 그렇지않은 주식보다 유의한 양의 수익률을 보인다. 외국인투자자 집단화 성향이 높은 주식을매수하고 낮은 주식을 매도하는 전략의 수익은 전통적인 위험 요인뿐만 아니라 기존의유동성, 외국인투자자의 보유량으로 설명되지 않으며, 이러한 예측력은 다양한 특성변수들을 통제한 후에도 여전히 유의하다. 다음으로, 외국인투자자의 집단화 현상이정보 우위에 의해 유발될 수 있다는 행동재무학적 증거를 보인다. 외국인투자자의집단화 성향이 높은 주식일수록 다가오는 기업 실적 발표일에 높은 어닝서프라이즈를보이며, 이러한 예측력이 향후 세 번의 실적 발표까지 유지되는 것을 확인한다. 또한, 외국인투자자 집단화 성향을 이용한 포트폴리오의 수익률이 수출, 미국시장지수 및환율에 민감한 주식에서 더욱 커지는 것을 확인한다. 반면에 이러한 포트폴리오의수익률은 외생 충격 기간에도 여전히 양의 수익률을 보이며, 외국인투자자에 의한집단화가 외생 충격 기간 동안 염가매각의 원인이 된다는 직접적인 증거는 찾지 못하였다.

영어초록

In this paper, we examine the crowded equity positions fomented by foreign investors in the Korean stock market. As the participation of foreign investors accelerates globally, understanding the impact of foreign investors on the stock market has become central. Specifically, as groups with shared common interests or information often engage in similar actions, it is widely recognized that foreign investors "flock together" or "herd" in the stock markets. This influence of foreign investors can have dual effects. On the one hand, their participation can facilitate price discovery by quickly reflecting information in the stock market. On the other hand, it can lead to liquidity shortages, potentially causing a trigger for fire sales.
Consequently, there has been a long-standing discussion about the participation of foreign investors and its potential to cause destabilization in the stock markets.
However, studies on the impact of foreign investors in the Korean stock market are still limited, with a focus on their trading volume or ownership. This paper aims to bridge the gap by examining the crowded equity positions by foreign investors.
Crowdedness is a situation where the ownership proportion of a specific group of stocks is excessively high compared to their liquidity. We focus on the crowdedness of foreign investors by calculating the shareholdings of the foreign investor group as a percentage of average daily trading volume, which is called Days-ADV.
Days-ADV shows the time it takes for the foreign investor group toliquidate their holdings of the respective stock. Therefore, even if the ownership is low, Days-ADV can be high if the turnover rate of the stock is low, while even if the ownership is high, Days-ADV can be low if the turnover rate of the stock is also high. As evident from the definition, this proxy enables a more direct examination of the impact of foreign investors’herding behavior on stock prices by incorporating their ownership and stock liquidity. Our research investigates the impact of foreign investors on the Korean stock market, with Days-ADV as our key variable of interest.
The results of our study are as follows. First, portfolio-level analyses and firm-level cross-sectional regressions indicate a significant positive relation between the Days-ADV and stock returns in the subsequent month. For example, the high-minus-low (H-L) Days-ADV portfolio, which buys the top 20% of stocks and sells the bottom 20% of stocks based on the rank of the Days-ADV at the end of the month, yields a return of 1.32% (t-statistic = 2.97) in the following month.
Furthermore, this positive premium of the Days-ADV is not driven by foreign ownership or illiquidity. It implies that the Days-ADV, a composite measure of foreign ownership and illiquidity, provides additional information on future stock returns. Second, we find no evidence that the crowdedness of foreign investors leads to relatively larger drawdowns during distress periods. During the crisis period, the high Days-ADV portfolio exhibits a significantly negative return of -1.82% (t-statistic = -2.20). However, in comparison, the H-L portfolio still shows positive return of 1.29% (t-statistic = 1.19). Lastly, we find that the Days-ADV predicts future earnings surprises significantly in a positive direction. The predictive power is most pronounced for the upcoming earnings announcement and gradually diminishes over time; the predictive power remains significant for up to the following three quarters’ earnings announcements. We also find that the abnormal return of the H-L portfolio based on the crowdedness of foreign investors is intensified in stocks with higher sensitivity to export growth, the S&P 500 index, and won-dollar exchange rates. These findings support the argument that the return predictability of the crowdedness of foreign investors could occur as they flock to specific stocks through information superiority.
This study contributes to the understanding of the impact of foreign investors’ behaviors in several ways. First, this is the first study to examine the impact of the crowdedness of foreign investors on stock returns in the Korean stock market. In contrast to previous studies that primarily focus on the effects of foreign investor ownership or herding behaviors, this study introduces a new anomaly based on the crowdedness of foreign investors. Second, our study aids in understanding whether the crowdedness of foreign investors triggers fire sales during the exogenous shock period. Lastly, our paper helps to understand the factors underlying the abnormal returns generated by the crowdedness of foreign investors. We expect that these results shed light on the role of foreign investors in the Korean stock market and the impact of crowdedness by investor groups on stock prices.

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