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개인, 국내 기관, 외국인투자자의 거래유형과 최초공모주의 주가 변동성과의 관계 분석

Analysis of the Relationship between Transaction Types of Individual, Domestic Institutional, and Foreign Investors and Price Volatility of IPO Stocks

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한국전문경영인학회|2023.12|전문경영인연구 (Journal of CEO and Management Studies)|제26권 제4호|pp. 33-53

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참고문헌

키워드

최초공모IPOInstitutional Investor외국인 투자자Foreign Investor개인 투자자Individual Investor기관 투자자주가 변동성거래 유형Volatiltiy

초록

본 연구는 최근의 한국거래소 신규상장종목을 대상으로 개인투자자, 국내 기관투자자그리고 외국인 투자자의 매매가 공모주의 변동성에 미치는 영향에 대해서 조사해보았다. 신규상장종목의 경우 일반적으로 상장 직후 대량의 거래가 수반되면서 공모가 대비 큰폭의 주가상승과 함께 변동성도 커지는 게 일반적인 현상이다. 본 연구는 3개의 투자자집단 중 어느 집단의 거래가 상장 초기의 공모주 시장의 변동성을 증가시키고 어느 집단이시장을 안정시키는 역할을 수행하는지 조사해 보기로 하였다. 본 연구의 결과에 따르면공모주의 거래는 주로 개인투자자에 의해서 주도되었고 국내 기관과 외국인의 거래 비중은 상대적으로 미약한 것으로 드러났다. 또한 기간별로 다소의 차이는 있지만 대체로상장 후 3개월 내에는 개인투자자와 외국인 투자자의 매수와 매도 거래는 모두 공모주의변동성을 증가시켰으나 기관투자자의 거래는 시장을 진정시키는 역할을 수행한다는 사실이 밝혀졌다. 비록 공모주의 거래에 있어서 개인투자자의 비중이 압도적이었지만 각 투자자 집단의 단위당 거래가 변동성에 미치는 영향력에 있어서는 외국인투자자나 기관투자자가 개인투자자에 비해 큰 것으로 나타났다.

Abstract

This study examines the impact of trading by individual investors, domestic institutional investors, and foreign investors on the volatility of newly listed stocks using the recent IPOs on the Korean Exchange. It is a common phenomenon for newly listed stocks to be accompanied by a large amount of trading immediately after listing, resulting in large stock price increase and increased volatility. This study aims to investigate which of the three investor groups' trading increases the volatility of the IPO market and which plays a stabilizing role in the market. The results of this study show that trading in IPO stocks is mainly driven by retail investors, with a relatively small share of trading by domestic institutions and foreigners. In addition, although there are some differences across time periods, we find that within the first three months of listing, both retail and foreign investors' buying and selling transactions increase the volatility of IPO stocks, while institutional investors' transactions play a stabilizing role in the market. Although retail investors dominated the trading of publicly traded stocks, the impact of each investor group's trading on volatility per transaction was much greater for foreign and institutional investors than for retail investors.

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