외국인 투자자의 소유지분 수준에 따른 주가 선도효과 연구 = Stock Price Lead Effect by the Level of Foreign Investor Ownership

다국어 초록 (Multilingual Abstract)

This paper investigates the stock price lead effect relative to their level of foreign investor ownership in the Korean stock market. It is generally perceived that foreign investors dominate Korean stock market movement with their stronger research capability and faster access to gloval economic news. Therefore, it is the objective of this research to test whether the stock price of firms with higher level of foreign equity ownership, In fact, lead the stock price of firms with lower level of foreign equity ownership. The cross-autocorrelation analysis found that the stock returns on the higher level of foreign ownership lead the stock returns of lower level of foreign ownership even after controlling for the firm size effect. In addition, Granger causality regression, controlling for both portfolio autocorrelations and contemporaneous cross correlations, support the findings as well. It is also found that this lead-lag effect relative to the level of foreign ownership was more significant after the IMF foreign currency crisis due to the lift of the foreign equity ownership limits in the Korean stock market.