earticle

영어

This study investigates the information efficiency of each investor category (i.e., foreigners versus domestics) and further explores the performance of foreign investors according to their types and nationalities in the KOSPI 200 futures market. We study the nine most recent years of all transaction data including all phases of Korean stock markets. To evaluate information efficiency, we use position and trading gains as well as total gains, and develop adjusted VWAP measures consistent with trading gains. Our empirical findings support the information efficiency of foreign investors over domestics. A joint analysis of investor types and nationalities reveals that securities and investment companies in the U.K., Hong Kong, and Singapore have information efficiency over other groups of foreign investors. Such a phenomenon could be explained, with caution, by the inter-relation of foreign investors among the U.K., Hong Kong, and Singapore and their spot trading in Korea.