earticle

영어

For the purpose of examining the effects of foreigners` investment on the domestic stock market, the composite stock exchange index as well as the change of mean and variance of stock return rates were analyzed. The following sums up the results in this paper. To begin with, in the chronological analysis of the return rates, gradual recovery was seen from 1992 on when the foreigners`investment was first introduced. Owing to the expectation of the foreigners, the mean of the retunn rates in January 1992 was much higher than that in the later half of 1991. The Variance was also high in January, August and November of 1992. Next, to reveal the influence on individual items, portfolios were made in the divisions of those items of foreigners` investment(1% or more) and those items of no foreigners` investment(less than 1%). In 1992, the former had a higher return rate, while the latter was higher in 1993 and 1994. Again in 1995, however, when the foreigners` investment limit was upgraded, the former enjoyed a higher rate. In addition, in the annual analysis of the return rates after the portfolios were composed out of the foreigners` investment shares by the units of 1% or 3%, the mean return rates in the 1% division had a proportional rise in the years 1992 and 1993 but no noteworthy difference in 1994 and 1995. In particular, in 1995, neagtive return rates were abundant. In the 3% division, the 4-7% group in 1992 and 1993 and the 7∼10% group in 1994 were higher than other groups. As for the variance, non-investment items(less than 1%) had a higher variance than the items of investment shares. This result corresponds well with the analysis between the foreigners` investment items and non-investment items. The more investment shares, the lesser variance of the return rates. In sum, the growth of the foreigners` investment was significantly related with the decrease of stock market fluctuations.