VKOSPI 지수를 이용한 단기 주가수익률 예측에 관한 연구
A Study on the Prediction Characteristics of Short-Term Stock Return Using VKOSPI Index
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초록
본 논문은 우리나라 주식시장에서 대규모 주가충격 이후에 나타나는 단기적인 주가수익률에 VKOSPI 지수가 미치는 영향을 검토한다. 이 작업은 우리나라의 주식 투자자 무드(mood) 관련 지표로서 VKOSPI 지수가 갖는 역할을 구체화하는 의미를 갖는다. 기존의 연구들은 VIX의 변화 즉, 투자자 무드의 변화와 같은 방향으로 주가충격이 발생할 때, 불확실성이 증대된 상황에서 투자자들이 주가충격에 과잉반응하게 되고 그로 인해 사건일 이후 주가에 반전효과가 나타난다고 보고 있다. 실증분석 결과 우리나라 주식시장에서는 VKOSPI가 상승하면서 대규모 주가하락이 발생한 경우에는 반전효과가 나타나고, VKOSPI가 하락하면서 대규모 주가 상승이 발생한 경우에는 주가 잔류효과가 나타났다. 그리고 주가 하락시에는 기업특수적 요인들과 사건특수적 요인들을 고려하고 난 이후에도 VKOSPI지수는 주가 반전효과에 대한 유의한 설명력을 갖는 것으로 나타났다. 또한 대규모 주가상승이 나타난 경우에 VKOSPI 지수는 주가 잔류효과에 유의한 설명력을 갖는 것으로 나타났다. 결과적으로 우리나라 시장에서 투자자들은 공포에 대해서는 과잉반응을 나타내고 탐욕에 대해서는 과소반응을 나타내는 비대칭적인 행태적 특징을 보이고 있다.
Abstract
This paper examines the effect of the VKOSPI index on the short-term stock return that appears after a large-scale stock price shock in the Korean stock market. This work has the meaning of specifying the role of the VKOSPI index as an indicator related to investors’mood. Existing literature believes that when a stock price shock occurs in the same direction as VIX movement, that is, a change in investor mood, investors overreact to the stock price shock in a situation where uncertainty increases, resulting in a reversal effect on the stock price after the event day. As a result of the empirical analysis, in the Korean stock market, if VKOSPI rises and a large-scale stock price falls, there remain reversals, and if VKOSPI falls and a large-scale stock price rises, there remain drifts. When stock price fall, the VKOSPI index was found to have a significant explanatory power for the stock price reversals even after considering corporate and event-specific factors. In addition, when a large-scale stock price rise appeared, the VKOSPI index was found to have a significant explanatory power on the remaining drifts. As a result, in the Korean market, investors show asymmetircal behavioral characteristics that show an over-reaction to fear and an under-reaction to greed.
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