earticle

영어

This study examines the impact of the National Pension Fund's participation in the Korean stock market on stock liquidity by analyzing stock holdings and transaction data spanning from 2010 to 2019. During the sample period, the National Pension Fund's (NPF) holdings of Korean stocks consistently rose, indicating a sustained and robust investment presence in the nation's financial market. In the regression analysis, the National Pension Fund's purchase of domestic stocks demonstrates a significant relationship with an increase in stock liquidity. Moreover, we underscored the robustness of our investigative outcomes by utilizing event study methodology, focusing on disclosures related to the National Pension Fund pursuant to the 5% rule, and alterations in the domestic equity benchmark designated by the National Pension Fund. The results show that the purchase of the National Pension Fund increase stock liquidity. These findings suggest a potential avenue through which the NPF’s active participation in the stock market may amplify both market quality and efficiency.