Earticle

초록

영어

The inquired disclosure is a system operated by the Korea Exchange (KRX) to validate the existence of material information when the price of a listed stock fluctuates substantially. It is different from other timely disclosure since KRX inquires information, and the firm confirms the information inquired by the Exchange whereas in case of other timely disclosure the firm itself mandatorily or voluntarily release information to the investors. According to the efficient market hypothesis, the stock prices react only to new fundamental information. Sometimes, the stock prices exhibit noticeable jump or plunge without any specific public information. In that case, the Exchange inquires of the firm about the reason for the noticeable price changes. In response to the inquiry from the Exchange, the firm usually provides two types of answers such as “nothing unusual” or “something undetermined.” This paper investigates how the demand for inquired disclosure from the Korea Exchange affects the movements of stock price and trading volume for the period of ±20 days surrounding the event. The event date is defined as the day when the Exchange demands the inquired disclosure related to the stock price jump or plunge occurring without any specific public information. Also, this paper investigates the trading patterns of different investors (classified as individual, institutional, and foreign investors) surrounding the day of inquiry. For this purpose this paper examines the cases of the KOSPI-listed firms which are inquired to be disclosed for the explanation of the jump or plunge of stock price for the period from 2005 to 2009. We collected a total of 497 samples which are composed of 436 cases of jump and 61 cases of plunge. Then these samples are divided into four groups depending on price changes and types of firms’ answers, such as jump/something undetermined, jump/nothing unusual, plunge/something undetermined, and plunge/nothing unusual. This paper employs typical event study methodology, and computes the abnormal return (AR) and the cumulative abnormal return (CAR) surrounding the event day using the market adjusted return model. The main results and implications drawn from the empirical analysis are as follows. First of all, we find insignificant abnormal return on the day of inquiry followed by stable price movements, suggesting that the demand for inquired disclosure from the Korea Exchange can play an effective role in calming down price jump or plunge. However, we do not find price reversals on the day of inquiry that are expected to exhibit if the past substantial price changes occurring without any specific public information were bubble. In addition, in case of something undetermined we observe 10-day CAR of -6% following the inquiry after plunge and +6% following the inquiry after jump whereas in case of nothing unusual insignificant price changes are observed following the day of inquiry. This result implies that in case of something undetermined stock price continues to reflect new information revealed in the market. Next, in the investigation of long-term stock price movements following the demand for inquired disclosure from the Exchange we find that in the case of plunge the stock prices tend to steadily increase following the day of inquiry. In particular, in case of plunge/nothing unusual the stock prices revert to the past level of stock prices. However, in the case of jump, we do not find any significant patterns of long-term price changes following the inquired disclosure. In this paper we also observe that the trading volume significantly increases during ±5 days surrounding the day of inquired disclosure. This finding suggests that investors are getting more sensitively responsive to the information of the demand for inquired disclosure from the Exchange. Finally, this paper investigates the trading patterns of three different types of investors classified as individuals, institutions, foreigners by observing the ratio of each investors' net buying (selling) position. We find that individual investors are the main driving force behind the stock price jump or plunge as net buyers while the institutions as net sellers. In particular, individual investors take net buying position on the day of inquiry and continue afterwards whereas institutional investors take net selling positions during that period only. On the other hand, foreign investors do not exhibit any notable trading patterns, suggesting that foreign investors do not respond to uncertain information in the Korean stock market. On the whole, this study is to contribute to the academic research in the area of market efficiency and informational effect. In particular, this paper can accelerate the studies on the informational effect of inquired disclosure in the Korean stock market. Also, the evidence of this research is expected to provide useful information to the investors in the stock market who frequently observe substantial price changes occurring without any specific public information. In addition, the empirical results of this study reveal important implication to the policy makers who are interested in the effectiveness of inquired disclosure system.

한국어

본 연구에서는 특별한 공개정보 없이 주가가 현저하게 급등 또는 급락하는 것에 대한 거래소의 조회공시 요구를 사건일로 하여 네 가지 조회공시 유형별(급락-미확정, 급 락-특이사항 없음, 급등-미확정, 급등-특이사항 없음)로 장단기 주가 움직임과 ±20일 동안의 거래량, 그리고 투자자별 매매패턴에 대해 실증적으로 분석하고 있다. 이를 위해 2005년 1월 1일부터 2009년 12월 31일까지 5년간 한국거래소의 유가증권 시장에 상장된 기업을 대상으로 현저한 시황변동에 대한 조회공시 요구를 받은 경우 가 실증분석 자료로 사용되고 있다. 분석결과, 현저한 시황변동에 대한 조회공시요구 가 특별한 공개정보 없이 급등 또는 급락한 주식에 대한 정보를 시장에 공급하는 역 할을 하고 있음을 알 수 있다. 하지만 거래소의 조회공시 요구에도 불구하고 이유없 이 급등 또는 급락한 주가가 단기간에 반전되는 현상은 나타나고 있지 않다. 조회공 시 전후의 거래량 추이를 살펴본 결과에서는 사건일(t = 0)을 정점으로 전후 ±5일 동 안 거래량이 증가하고 있어 특별한 공개정보 없이 주가가 급등 또는 급락하는 과정과 거래소의 조회공시 요구가 나온 이후에 투자자들의 정보반응이 민감하다는 것을 보 여주고 있다. 한편, 특별한 공개정보 없이 주가가 급등 또는 급락하는 과정에서 개인 투자자는 뚜렷한 순매수자로서 그리고 기관 투자자가 반대의 입장에서 순매도자로서 주가 급등 또는 급락을 주도하고 있음을 알 수 있다. 또한 거래소의 조회공시 이후에 도 여전히 개인은 순매수하고 기관은 순매도하는 매매패턴이 한동안 지속되고 있다.

목차

요약
 Abstract
 Ⅰ. 서론
 Ⅱ. 우리나라 조회공시제도
  1. 공시제도에 관한 일반적 사항
  2. 조회공시에 관한 사항
 Ⅲ. 자료 및 연구방법
  1. 자료의 구성
  2. 연구 방법
 Ⅳ. 실증분석결과
  1. 표본의 기초 통계량 분석
  2. 조회공시 전후의 단기 수익률 분석
  3. 조회공시 전후의 중장기 수익률 분석
  4. 조회공시 이후 주요 경영사항에 대한 공시
  5. 조회공시 전후의 거래량 추이 및 투자자별 매매패턴
 Ⅴ. 결론
 참고문헌

키워드

저자

• 박진우 [ Jinwoo Park | 한국외국어대학교 경영학부 교수 ] 교신저자
• 박명일 [ Myung-Il Park | 한국외국어대학교 경영학부 박사과정 ]

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