This paper focuses on the financial market variables and determinants which mainly affect foreign investors’ performances in the Korean equity and bond markets. Also, we examine foreigners’ past and present participation in Korean equity and bond market for the past 12 years since 2008 while breaking down the whole research period into several sub-set periods using Lehman crisis and recent COVID-19 outburst as major fiducial marks. We present daily regression models based on new calculation formulae to calculate foreigners’ daily estimated return that includes not only realized but also unrealized profit. For the actual analysis, daily investment results are measured by the amount of daily foreign investment amount change and by change of return in equity, bonds and for both, presenting a 6 model regression. The paper also conducts more in-depth analysis by using dummy variables comparing the impact from Lehman financial crisis and recent COVID-19​ to find out if there was any significant change in behavior from the incidents. Results show daily change in KOSPI200 Futures index shows most relevance in daily movement of foreign investment amount and also their daily return when equity data is included. Foreign exchange and domestic Swap basis are the two common factors showed to have relevance with foreign investors’ daily movement on both equity and bonds. Regression results from bonds show fewer causality but giving much significant implication suggesting there is a change in behavior since COVID-19 mainly on bond investment (also major change after Lehman crisis on equity investment). Considering the historical low level of Korean bond yields, it matters to see such an incremental change in foreigners’ Korean bond investment. We’d like to further keep an eye on the situation but cautiously predict the change is coming from a major conceptual transition in foreign investors’ perception of Korean asset categorization moving into more of a safe-asset or a risk-free asset compared to the historical concept long labeled as risky assets.​ 

Keywords: Foreign Investment, Korea, KOSPI, KTB, Lehman Crisis, COVID-19