필라델피아 반도체지수의 국내 반도체시장에 대한 수익률 및 변동성 전이효과

Abstract

The purpose of this study is to examine the effect of symmetrical and asymmetric information transfer on the Korean semiconductor index of the Philadelphia Semiconductor Index in the US, and also to examine the relationship between the changes in the domestic semiconductor index and the trading patterns of foreign and institutional investors. The main results are as follows. First, we find that the Philadelphia Semiconductor Index in the US affects the yield and volatility of the domestic semiconductor market. In other words, the rise(fall) of the Philadelphia Semiconductor Index affects the rise(fall) of the domestic KRX and KOSDAQ semiconductor indexes, also the increase(reduction) of the volatility of the Philadelphia Semiconductor Index affects the volatility increase(reduction) of the Korea Semiconductor Indexes. It is interesting to note that if the Philadelphia Semiconductor Index rises(falls), the domestic semiconductor market undergoes an adjustment after overreacting with a rise(fall) at its initial price. Second, the domestic semiconductor indexes have asymmetrical information effects on the Philadelphia semiconductor index. Third, the trading behavior of foreigners and institutional investors was found to have a positive relationship with both the night and daytime returns of the KRX Semiconductor Index. On the other hand, in the KOSDAQ semiconductor index market, both foreign and institutional investors showed a statistically significant positive value only for daytime returns.