외환위기 전후의 KOSPI200 지수선물시장 투자자별 영향분석

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.