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영어

Motivated by Choe, Kho and Stulz (1999), this paper examines which type of investor among the Korean individuals, Korean institutions, and foreign investors is most responsible for the sudden drop of the Korean stock market during the global financial crisis period from September 2008 to February 2009. Herding by foreign investors is higher than these of Korean individuals and institutions before and during crisis, and foreigners’ herding behaviour increases during the crisis period, especially in the large stocks. In both event study with 5-minute intervals and price impact per trade, foreign investors’ sales have smaller impact on stock returns in absolute value than Korean individuals’ and institutions’ before crisis. However, price impact of foreign investors increases dramatically during crisis and its magnitude could not be negligible. The permanent component of price impact per trade of foreign investors is greater in absolute value than other investors’ in the large stocks.