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외환위기 전후의 KOSPI200 지수선물시장 투자자별 영향분석 : Do Foreign Investors Destabilize Stock Markets Through Futures Trading During the Korean Crisis in 1997?
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- Authors
- Issue Date
- 2003-12
- Publisher
- 서울대학교 경영대학 경영연구소
- Citation
- 경영논집, Vol.37 No.4, pp. 1-29
- Keywords
- Foreign investors ; Korean crisis ; Index futures ; Destabilize ; Price contribution
- Abstract
- This paper examines the impact of foreign investors futures trading on stock prices during
the Korean crisis in 1997. We first construct five-minute interval data on returns and trade
flows of the KOSPI200 index futures contracts traded at the KSE, and estimate a VAR model
to see whether foreign investors trade flows in futures markets caused the stock price to fall
sharply during the crisis. The result shows that foreign investors net sales in futures markets
had an insignificant impact on stock prices, and the impact was no larger than those of
domestic individuals and institutions.
As an alternative test, we compute five-minute price contributions of each type of investors
in futures markets, and estimate a VAR model where the futures price contribution by each
investor is allowed to interact with the KOSPI200 index stock and futures returns. The result
shows that the largest impact on both futures and stock markets during the crisis came from
domestic individual investors, and foreign investors selling pressure was well absorbed by
domestic investors.
- ISSN
- 1229-0491
- Language
- Korean
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