ScholarWorks@중앙대학교

초록

This study examined the effect of the investor trading weight(TW) on total volatility for stocks listed on the Korean stock market by market, investor type, trading type, and period. The total TW is decomposed according to the trading type and divided into inter-investor TW and intra-investor TW. As a result of the analysis, the inter-investor TWs of individuals, institutions, and foreigners, which cause changes in the holding weights, have statistically significant adverse effects on the total volatility, respectively. On the other hand, in the KOSPI, the intra-investor TW of individuals has a statistically significant positive effect on the total volatility, but the intra-investor TWs of institutions and foreigners have significant adverse effects on the total volatility. In the KOSDAQ, individuals and institutions showed similar results to KOSPI, but foreigners showed different results by period. This study is the first paper to present the investor effect of TW on total volatility by decomposing the investor transactions into inter-investor transactions and intra-investor transactions by trading types.

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