전문경영인 등 투자가들의 주식거래와 경기변동의 상관성 분석
The Study on Correlation Trading of Investors including CEO and Business Cycle
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
경영인을 포함한 투자자들은 자신들이 잘 안다고 느끼는 확실한 투자자산에 투자를 하는 경향이 강하다. 이러한 경향은 해외분산투자(internationally diversified portfolio)와 거래빈도에서도 여실히 나타나고 있으며, 이러한 성향으로는 주로 남성과 소득수준이 높거나 교육수준이 높은 투자자들 사이에서 발생되고 있다. 이 논문에서는 한국의 경우 정책의 효율성과 주가수익률 및 경기동행지수증가율 사이에는 집권정부별로 상이한 결과가 도출될 수 있음을 시사하고 있다. 그리고 기존연구 결과와도 다른 면도 발견되고 있는데, 이는 정부정책 효과가 4～5년에 걸쳐서 시차를 두고 발생할 수도 있고 이명박대통령정부의 경우 미국과 유럽의 금융위기 등이 있는 시기도 겹쳐 있는 등 대외 변수들의 왜곡에 따른 영향을 받았을 수 있어 정책효과가 반감될 수 있는 이유 등으로 뚜렷한 결론을 내리기는 어려운 실정이다. 결론적으로 경기와 투자자들의 소득변화에 따라 주식 거래량이 관련성이 있는지 등에 초점을 둘 경우 투자자들의 소득변화와 주식 거래량 사이에 양(+)의 상관관계를 보임을 알 수 있었다.
Abstract
People are apt to investing their own judgments when they feel skillful or knowledgeable. We study on whether this "competence effect" influences trading frequency. We investigate that investors included CEO who feel competent trade more often and have a more internationally diversified portfolio. We investigate that male investors, and investors with higher income or more education, are more likely to perceive themselves as knowledgeable investors than female investors, and investors with lower income or less education. We find that it is unlikely to be explained by other hypotheses, such as overconfidence or informational merit. Traditional portfolio choice theories assume that investors maximize expected utility based on their beliefs of future asset returns. However, thought about the future distribution of asset return is difficult. Every day, an enormous amount of new information and knowledge accepts. The implications of the new information and knowledge about future asset returns are highly uncertain and difficult to know. Therefore, an investor's subjective probability distribution of asset returns is ambiguous. This uncertainty is different from the traditional thought of risk, in which the probability distribution of asset returns is known to the investors. A many literatures in psychology have studied behavior when the probability distribution of outcome of a lottery is ambiguous. In this paper, We find that trading volume and income distribution by the ruling government in Korean stock market are correlated.
참고문헌 (46)
- 김권식, "금융위기와 신흥국 채권스프레드의 과잉반응", 기업경영연구, 17(2), pp.241~254 (2010), 한국기업경영학회
- 김세완, "주식수익률이 소득계층별 소비에 미치는 영향：비선형관계에 의한 연구", 금융연구, 12(2), pp.145~174 (2007), 한국금융학회
- 김종권, "주식수익률에 대한 거시경제변수의 영향분석", 재무관리연구, 16(1), pp.155~170 (1999)
- 김종권, "경기변동과 주택형태별 수익률에 관한 실증적 연구", 기업경영연구, 17(1), pp.125~141 (2010), 한국기업경영학회
- 김종권, "외국인투자가들의 한국주식투자 상관성에 관한 연구", 전문경영인연구, 13(3), pp.199~223 (2010), 한국전문경영인학회
- 김철중, "거시경제 지표와 소비자기대심리와의 관계 분석", 기업경영연구, 17(2), pp.215~226 (2010), 한국기업경영학회
- 이해영, "산업의 주식시장 선행성에 관한 실증분석 : 정보의 점진적 확산과 자산간 수익률 예측 가능성", 재무관리연구, 25(1), pp.23~49 (2008), 한국재무관리학회
- 이해영, "한국의 집권정당별 거시변수 비교", 대한경영학회지, 20(6), pp.3097~3114 (2007), 대한경영학회
- 이해영, "부동산시장의 자금흐름에 관한 실증적 연구", 기업경영연구, 15(3), pp.75~88 (2008), 한국기업경영학회
- Barber, Brad M, "Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment", Quarterly Journal of Economics, 116, pp.261~292 (2001)
- Benartzi,Shlomo, "Excessive Extrapolation and the Allocation of (401)k Accounts to Comany Stock", Journal of Finance, 56, pp.1747~1764 (2001)
- Feng, Li, "Correlated Trading and Location", Journal of Finance, 59, pp.2117~2144 (2004)
- French, Kenneth R, "Investor Diversification and International Equity Markets", American Economic Review, 81, pp.222~226 (1991)
- Overconfidence and Trading Volume, "Glaser, Markus", Universität Mannheim, ~ (2003)
- Grinblatt, Mark, "How Distance, Language, and Culture Influence Stock Holdings and Trades", Journal of Finance, 56, pp.1053~1073 (2001)
- Heath, C, "Preferences and Beliefs: Ambiguity and the Competence in Choice under Uncertainty", Journal of Risk and Uncertainty, 4, pp.5~28 (1991)
- Company Stock in 401(k) Plans, "Huberman, Gur", Columbia University, ~ (2002)
- Johansen,S, "Statistical Analysis of Cointegration Vectors", Journal of Econometric Dynamics and Control, 12, pp.231~254 (1988)
- Johansen,S, "Estimation and Hypothesis Testing of Cointegration Vectors in Aussian Vector Autoregressive Models", Econometrica, 59, pp.1551~1580 (1991)
- Johansen,S, "Determination of Cointegration Rank in the Presence of a Linear Trend", Oxford Bulletin of Economics and Statistics, 54, pp.383~397 (1992)
- Johansen,S, "Cointegration in Partial System and the Efficiency of Single Equation Analysis", Journal of Econometrics, 52, pp.389~402 (1992)
- Johansen,S, "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand", Journal of Policy Modeling, 14, pp.313~334 (1992)
- Johansen, "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money", Oxford Bulletin of Economics and Statistics, 52, pp.169~209 (1990)
- Johansen, S, "Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and UIP for UK", Journal of Econometrics, 53, pp.211~244 (1992)
- Johansen, S, "Identification of the Long-run and the Short Run Structure: An Application to the IS-LM Model", Journal of Econometrics, 63, pp.7~36 (1994)
- Bias in International Stock Return Expectations, "Kilka, Michael", Universität Mannheim, ~ (1999)
- Lewis,Karen, "Trying to Explain Home Bias in Equities and Consumption", Journal of Economic Literature, 37, pp.571~608 (1999)
- Behavioral Biases and Portfolio Choice, "Massa, Massimo", INSEAD, ~ (2003)
- Hedging,Stock Market Participation and Portfolio Choice, "Massa,Massimo", INSEAD, ~ (2003)
- Strong N, "Understanding the Equity Home Bias: Evidence from Survey Data", Review of Economics and Statistics, 85, pp.307~312 (2003)
- Vissing-Jorgensen,Annette, "Perspectives on Behavioral Finance: Does Competence in Choice under Uncertainty", Journal of Risk and Uncertainty, 4, pp.5~28 (2003)
- Company Stock in 401(k) Plans, "Huberman, Gur", Columbia University, ~ (2002)
- Johansen,S, "Statistical Analysis of Cointegration Vectors", Journal of Econometric Dynamics and Control, 12, pp.231~254 (1988)
- Johansen,S, "Estimation and Hypothesis Testing of Cointegration Vectors in Aussian Vector Autoregressive Models", Econometrica, 59, pp.1551~1580 (1991)
- Johansen,S, "Determination of Cointegration Rank in the Presence of a Linear Trend", Oxford Bulletin of Economics and Statistics, 54, pp.383~397 (1992)
- Johansen,S, "Cointegration in Partial System and the Efficiency of Single Equation Analysis", Journal of Econometrics, 52, pp.389~402 (1992)
- Johansen,S, "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand", Journal of Policy Modeling, 14, pp.313~334 (1992)
- Johansen, "Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money", Oxford Bulletin of Economics and Statistics, 52, pp.169~209 (1990)
- Johansen, S, "Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and UIP for UK", Journal of Econometrics, 53, pp.211~244 (1992)
- Johansen, S, "Identification of the Long-run and the Short Run Structure: An Application to the IS-LM Model", Journal of Econometrics, 63, pp.7~36 (1994)
- Home Bias in International Stock Return Expectations, "Kilka, Michael", Universität Mannheim, ~ (1999)
- Lewis,Karen, "Trying to Explain Home Bias in Equities and Consumption", Journal of Economic Literature, 37, pp.571~608 (1999)
- Behavioral Biases and Portfolio Choice, "Massa,Massimo", INSEAD, ~ (2003)
- Hedging, Stock Market Participation and Portfolio Choice, "Massa,Massimo", INSEAD, ~ (2003)
- Strong N, "Understanding the Equity Home Bias: Evidence from Survey Data", Review of Economics and Statistics, 85, pp.307~312 (2003)
- Perspectives on Behavioral Finance: Does Irrationality Disappear with Wealth? Evidence from Expectations and Actions, "Vissing-Jorgensen,Annette", Northwestern University, ~ (2003)