Table 5 NPS's investment strategy I...

Table 5

NPS's investment strategy I

	Total market		KOSPI		KOSDAQ
	Internal	External	Internal	External	Internal	External
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−2.2325	−0.7647	−2.2561	−0.7680	5.8428	1.4289
Return(t-1)	−5.18***	−3.26***	−5.23***	−3.26***	1.49	0.24
Return(t-2)	0.5369	−0.4864	0.5462	−0.4859	−6.2457	0.3061
Return(t-2)	1.24	−2.06**	1.26	−2.06**	−1.82*	0.18
Return(t-3)	−0.2520	−0.6375	−0.2423	−0.6433	−4.2178	0.4280
Return(t-3)	−0.58	−2.71***	−0.56	−2.73***	−1.84*	0.22
Return(t-4)	−0.2891	0.1587	−0.2380	0.1563	−5.8384	−0.9614
Return(t-4)	−0.67	0.68	−0.55	0.67	−2.09**	−0.23
Return(t-5)	0.0752	0.0060	0.1157	0.0057	3.0805	0.6755
Return(t-5)	0.18	0.03	0.27	0.02	0.16	0.12
Return(t-6)	−0.4549	0.2804	−0.4619	0.2759	−4.7173	0.8657
Return(t-6)	−1.07	1.22	−1.09	1.19	−0.90	0.30
Return(t-7)	−0.0660	−0.5316	−0.0549	−0.5299	−4.2853	−0.5084
Return(t-7)	−0.15	−2.27**	−0.13	−2.25**	−2.07**	−0.13
Return(t-8)	−0.5869	−0.1907	−0.5818	−0.1956	5.7540	0.8695
Return(t-8)	−1.37	−0.82	−1.36	−0.84	1.60	0.14
Return(t-9)	−2.0185	−0.4317	−1.9886	−0.4412	2.4979	−0.1225
Return(t-9)	−4.74***	−1.86*	−4.66***	−1.89*	1.40	−0.03
Return(t-10)	−0.3149	−0.5660	−0.3207	−0.5703	4.8995	0.3000
Return(t-10)	−0.75	−2.48**	−0.76	−2.49**	1.85*	0.11
Adj R-Sq	0.1786	0.8340	0.1788	0.8338	0.8290	0.9760

	Total market		KOSPI		KOSDAQ
	Internal	External	Internal	External	Internal	External
Variable	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
Variable	t-val	t-val	t-val	t-val	t-val	t-val
Return(t-1)	−2.2325	−0.7647	−2.2561	−0.7680	5.8428	1.4289
Return(t-1)	−5.18***	−3.26***	−5.23***	−3.26***	1.49	0.24
Return(t-2)	0.5369	−0.4864	0.5462	−0.4859	−6.2457	0.3061
Return(t-2)	1.24	−2.06**	1.26	−2.06**	−1.82*	0.18
Return(t-3)	−0.2520	−0.6375	−0.2423	−0.6433	−4.2178	0.4280
Return(t-3)	−0.58	−2.71***	−0.56	−2.73***	−1.84*	0.22
Return(t-4)	−0.2891	0.1587	−0.2380	0.1563	−5.8384	−0.9614
Return(t-4)	−0.67	0.68	−0.55	0.67	−2.09**	−0.23
Return(t-5)	0.0752	0.0060	0.1157	0.0057	3.0805	0.6755
Return(t-5)	0.18	0.03	0.27	0.02	0.16	0.12
Return(t-6)	−0.4549	0.2804	−0.4619	0.2759	−4.7173	0.8657
Return(t-6)	−1.07	1.22	−1.09	1.19	−0.90	0.30
Return(t-7)	−0.0660	−0.5316	−0.0549	−0.5299	−4.2853	−0.5084
Return(t-7)	−0.15	−2.27**	−0.13	−2.25**	−2.07**	−0.13
Return(t-8)	−0.5869	−0.1907	−0.5818	−0.1956	5.7540	0.8695
Return(t-8)	−1.37	−0.82	−1.36	−0.84	1.60	0.14
Return(t-9)	−2.0185	−0.4317	−1.9886	−0.4412	2.4979	−0.1225
Return(t-9)	−4.74***	−1.86*	−4.66***	−1.89*	1.40	−0.03
Return(t-10)	−0.3149	−0.5660	−0.3207	−0.5703	4.8995	0.3000
Return(t-10)	−0.75	−2.48**	−0.76	−2.49**	1.85*	0.11
Adj R-Sq	0.1786	0.8340	0.1788	0.8338	0.8290	0.9760

Note(s):

${N I F}_{i, t} = a_{0} + \sum_{m = 1}^{10} β_{1, t - m} ⨯ {R e t u r n}_{i, t - m} + \sum_{m = 1}^{10} β_{2, t - m} ⨯ {N I F}_{i, t - m} + ε_{i, t}$

${N I F}_{i, t}$ is the daily net investment indicator of the NPS, and ${R e t u r n}_{i, t}$ is the daily rate of return of a specific stock on a specific day. *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors

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