Melis GultekinMehmet UmutluGultekin, MelisUmutlu, Mehmet2025-10-0620161303-099X10.21121/eab.2016319966http://dx.doi.org/10.21121/eab.2016319966https://gcris.yasar.edu.tr/handle/123456789/6241https://doi.org/10.21121/eab.2016319966In finance literature interaction or relationship between portfolio investments and index return were examined in many studies. However most of these studies were conducted at monthly or annual frequency with a restricted investor classification. In this study we analyze the interaction between the net purchases of three different investor groups and market return by using daily data from the Korean Stock Exchange. Vector Auto Regression (VAR) model results show that individual and foreign investors follow a momentum strategy whereas institutional investors follow a contrarian strategy. During the crisis period institutional and individual investors did not change their trading strategies. On the other hand there is a positive correlation between foreign investors' net purchase and lagged market returns during the crisis period as in the case of the full period but different from full sample period this correlation is not statistically significant.Turkishinfo:eu-repo/semantics/closedAccessInvestor Groups, Index Return, Trading, VAR Analysis, KOSPI200FOREIGN INVESTORSTradingVAR AnalysisIndex ReturnKOSPI200Investor GroupsArticle