Earticle

초록

영어

We provide the first comprehensive review of the market microstructure literature on the Korean financial markets, published in the five leading Korean journals from 1990 to mid-2010. We also offer some perspective on the literature for investors, exchange officials, policy makers, and regulators and provide a roadmap for future research endeavors. This paper includes the following five main categories: (1) micro aspects of the microstructure world: orders and trades, basic market quality, price discovery, and trading mechanisms; (2) trading protocols: rules and regulations related to trading; (3) market transparency; (4) market macrostructure; (5) expansion of market microstructure to the fields of investments and corporate finance. We find that the current status of the Korean market microstructure research is as follows. The research in the Korean market microstructure has been disproportionately concentrated into the two categories of micro aspects and trading protocol. However, most of them were conducted during the 1990s, which has limited the perspectives on the academic and policy implications by periods, subjects, and trading protocols. The research on the categories of transparency and market macrostructure is very limited, even though these areas contain features of Korean markets that are unique among world markets. The research of market microstructure combined with investments has been fairly active, whereas that combined with corporate finance is at its inception.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Micro Aspects of the Microstructure World: Orders and Trades, Basic Market Quality, Price Discovery, and Trading Mechanisms
  1. Orders and Trades
  2. Market Quality─Spread, Trading Volume, Volatility, Market Impact Cost, and Private-Information Risk
  3. Short-Term (Intraday) Return Predictability and Price Discovery
  4. Trading Mechanisms and Related Issues
 Ⅲ. Trading Protocols ─ Rules and Regulations Related to Trading
  1. Minimum Tick Size
  2. Liquidity Providers
  3. Price-Limit System
  4. Sidecar
  5. Short Sales Including Stock Lending and Credit Balance
 Ⅳ. Market Transparency
 Ⅴ. Market Macrostructure
  1. Comparisons among Markets in the Korean Stock Market Hierarchy
  2. Cross-Listing between Domestic and Foreign Stock Markets
 Ⅵ. Expansion of Market Microstructure to the Fields of Investments and Corporate Finance
  1. Expansion to Investments
  2 Expansion to Corporate Finance
 Ⅶ. Concluding Remarks
 References

키워드

저자

• Kyong Shik Eom [ Associate Professor, College of Business Administration, University of Seoul ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330