The degree of linkage with overseas markets may vary depending on individual firm characteristics, and in particular, the degree of linkage with overseas markets may differ between firms with substantial foreign investor participation and those without. This study conducted empirical analysis to verify this proposition, using the S&P 500 index returns of the U.S. market as the overseas market returns, with the following analyses performed. First, cross-sectional regression analysis was conducted between the sensitivity coefficient to the U.S. market and the trading volume proportion of foreign investors to analyze whether differences exist across individual firms. The results showed that the sensitivity coefficient of individual firms to the U.S. market had a positive relationship, increasing as the trading volume proportion of foreign investors grew larger. This analysis estimated the sensitivity to the U.S. market at the individual firm level and conducted cross-sectional regression between these values and the trading volume proportion of foreign investors as a firm-specific characteristic variable, focusing on individual firm characteristics. Second, considering the reflection of characteristics through portfolio construction—an important aspect in finance—it was also necessary to analyze whether the influence on overseas market linkage is maintained when portfolios are constructed based on individual firm characteristics. For this purpose, portfolios were constructed according to the trading volume proportion of foreign investors, and then further subdivided by market capitalization within each portfolio group, forming a total of 20 portfolios to examine whether the degree of linkage with the U.S. market differed across portfolios. The results showed that portfolios with higher foreign investor trading volume proportions and higher market capitalizations exhibited greater sensitivity in their linkage with the U.S. market.