외국인 투자자 기반 집중도가 주식 자본 이동 변동성에 미치는 영향
Foreign Investor Base Concentration and International Capital Flow Volatility
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초록
이 연구에서는 외국인 투자자 기반이 집중되어있는 정도가 국가 간 주식 자본 이동변동성에 미치는 영향을 분석한다. 이 연구는 기존 국가간 자본이동 연구에서는 사용하지 않았던 국제 기관투자자의 주식 보유 데이터를 이용해 외국인 투자자 기반의집중도를 추산하고, 외국인 투자자 기반 집중도와 주식 자본이동의 변동성과의 관계를실증분석했다. 분석결과, 외국인 투자자를 국적과 기관유형을 기준으로 분류했을 때외국인 투자자 기반이 집중되어있는 국가일수록 주식 자본이동 변동성은 높아지는것으로 나타났다. 외국인 투자자 기반 집중도가 자본이동 변동성에 미치는 영향은선진국보다는 신흥국에서 유의하게 나타났다.
Abstract
This study analyzes the effect of the foreign investor base concentration on the volatility of international equity capital flows. This study constructs the concentration measure of foreign investor base using the stock holding data of international institutional investors, which was not used in the previous study of international capital flow literature. The study also analyzed the relationship between the concentration of foreign investor base and the volatility of stock capital movement. Findings show that the foreign investor base concentration is positively associated with international capital flow volatility and that this effect is significant in emerging markets. Foreign investor base concentration measure constructed from foreign investors’ nationality and their institution types was the most significant.
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