This paper studied the pattern of international capital flows in Korean financial markets to analyze their risks. In particular, this paper focused on foreign investors’ behavior responding key investment factors in Korean stock and bond markets, in which capital flows have become more volatile recently. It was found that foreign investors tended to retrieve their investment when global risk aversion (VIX) was high or when global liquidity (the U.S. short- term interest rate for stock markets and global money supply for bond markets) was reduced. The response to VIX was statistically significant in stock markets, but the significance level in bond markets was relatively low. This result reflects that foreign investors consider Korean bonds to be safer than Korean stocks are. This paper, in addition, founded that the significance levels are different across global liquidity indices, which implies that each index reflects different aspects of investment factors and hence investors respond accordingly. For domestic economic fundamentals, rather, foreign investors tended to retrieve their investment when the coincident indicator of business cycle improved. It is interpreted as domestic economic fundamentals are more important investment factors to domestic investors than to foreign investors. That is, in adjusting portfolios foreign investors put more weights on global factors whereas domestic investors on domestic factors.

Next, this paper explored the association between capital market openness and the pattern of international capital flows. In Korean stock and bond markets, foreign investors’ response to global risk aversion (VIX) is not significantly associated with capital market openness; that to global liquidity (the U.S. short-term interest rate for stock markets and global money supply for bond markets), however, was greater as capital markets were more integrated. It suggests that as capital markets are integrated, foreign investors’ response to some global factors might increase.

This paper also showed that foreign investors’ behavior in Korean stock and bond markets might be different by their nationality. In particular, it was found that it is difficult to identify the risks by looking just at relative volumes or relative volatilities across investors’ nationality. This paper, therefore, suggested that it is insufficient to analyze only total international capital inflows and it is necessary to understand the specific properties of international capital flows with disaggregated data.

발간사
요 약

제1장 서 론
　제1절 연구 목적 및 필요성
　제2절 우리나라 자본시장의 개방 현황
　제3절 연구 방법 및 구성

제2장 선행연구

제3장 국제자본의 유출입 행태에 대한 실증분석
　제1절 실증분석모형 설정
　제2절 우리나라 주식시장에서의 외국인 투자자의 행태
　제3절 우리나라 채권시장에서의 외국인 투자자의 행태

제4장 투자자 국적별 투자 행태 분석
　제1절 자본 유출입 변동성에 대한 투자자별 기여도
　제2절 주식시장에서의 국적별 외국인 투자 행태 분석
　제3절 채권시장에서의 국적별 외국인 투자 행태 분석

제5장 요약 및 정책적 시사점

참고문헌
ABSTRACT