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재무연구 [Asian Review of Financial Research]

간행물 정보
  • 자료유형
    학술지
  • 발행기관
    한국재무학회 [The Korean Finance Association]
  • ISSN
    1229-0351
  • 간기
    계간
  • 수록기간
    1988~2019
  • 등재여부
    KCI 등재
  • 주제분류
    사회과학 > 경영학
  • 십진분류
    KDC 325 DDC 658.46
제27권 제2호 (5건)
No
1

전략적 반복주문을 통한 고빈도 거래가 한국 주식시장에 미치는 영향

정재만, 전용호, 최혁

한국재무학회 재무연구 제27권 제2호 2014.05 pp.177-211

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한국거래소(KRX)가 2009년 3월 23일부터 차세대주문체결시스템인 ‘EXTURE’를 가동하기 시작하면서 KOSPI 시장에 1초 미만의 짧은 간격으로 주문 제출과 취소를 반복하며 거래를 체결시키는 패턴을 가진 고빈도거래가 나타나기 시작했다. 이는 Hasbrouck and Saar(2013)가 NASDAQ 시장에서 발견한 바 있는 ‘전략적 반복주문(strategic run)’과 일치하는 것이다. 본 연구에서는 전략적 반복주문이 유동성과 변동성에 미치는 영향을 분석하였다. 전략적 반복주문의 횟수가 가장 많은 10초 구간을 대상으로 사건연구를 실시한 결과, 사건구간에서 전략적 반복주문은 호가잔량을 소비하는 경향을 나타내었으며, 이에 따라 스프레드가 증가하고 시장심도가 감소하며 변동성이 증가함을 발견하였다. 또 일중 거래시간을 10초 간격으로 분할하여 VAR 분석을 실시한 결과, 전략적 반복주문은 시장심도(market depth)를 감소시키고 변동성을 증가시킴으로써 시장의 질(market quality)을 떨어뜨리는 것으로 나타났다. 이러한 결과는 전략적 반복주문 형태의 고빈도거래가 시장에 부정적 영향을 미치는 특성이 있음을 시사하며, 고빈도거래가 유동성을 공급하고 변동성을 완화하는 역할을 수행함으로써 시장의 질을 제고하는데 기여한다는 해외 연구와는 상반된다.
In recent years, global major exchanges such as the NYSE, LSE, and TSE have faced an unprecedented amount of a specific type of trading known as high frequency trading (HFT). Although researchers and practitioners have not agreed on the precise definition of HFT, the Securities and Exchange Commission (SEC) loosely defines it as “a trading that uses high-speed computer systems to monitor market data and submit a large number of orders to the market.” HFT began in the late 1990s, and its proportion of total trading volume has rapidly increased during the past decade. In 2009, a rough estimation (by TABB group) indicated that HFT accounted for 60% and 30% of the total trading volumes in the US and European equity markets, respectively. To accommodate and process surging HFT-related orders, exchange-level projects to expand order processing capacity and reduce trade execution time are under way among a number of global exchanges, including the Korea Stock Exchange. On March 23, 2009, the Korea Exchange migrated to the EXTURE (‘EXchange + fuTURE’), an upgraded trade settlement system. The launch of this technically advanced trading system might enable investors to implement HFT in the Korean stock market. However, as far as the authors know, little is known about HFT in the Korean stock market. In this study, we find a special type of HFT has emerged as a conspicuous market phenomenon characterized by the extremely fast repetition of order submissions and cancellations. It closely resembles the ‘strategic runs’ observed on the NASDAQ (Hasbrouck and Saar (2013)). The strategic runs discovered in the Korean stock market consist of a chain of normal orders and its cancellation within a certain period of no more than one second between each consecutive order. We further examine the effect that strategic runs have on market quality in terms of short-term liquidity and volatility, measured in intraday ten-second intervals. To measure liquidity, we use proportional spread and the number of shares at the best bid, or ask prices divided by total number of shares outstanding. The highest price minus the lowest price divided by the bid-ask midpoint is used to calculate volatility. During the 10-second intervals when strategic runs are most concentrated, they attract liquidity by submitting higher proportions of marketable limit orders. This leads to increased spreads, decreased depth, and higher volatility. Furthermore, 10-second interval intraday vector auto regression (VAR) results indicate that strategic runs deteriorate market quality by decreasing market depth and raising volatility. We do not, however, find a statistically significant relationship between strategic runs and spreads. Overall, strategic runs appear to have negative effects on market quality. Our results must be interpreted with caution. Because the sample period of VAR analysis is as short as three months, one cannot make sure whether our main results still hold for the post sample period. Another problem is that strategic run is only a special type of high frequency trading. It implies that we cannot generalize our results based on strategic runs for other types of high frequency trading that we do not know yet. We hope these issues will be examined in the future research. While major exchanges are making considerable capital investments into IT infrastructure and network system recently to accommodate and attract high frequency trading, it is unclear what the socioeconomic benefit of the investment is and who makes profits (or suffers losses) in high frequency trading. As high frequency trading is increasingly dominant in the stock market, individual investors who cannot access stock market as fast as high frequency traders will leave the market, and this may lead to reduction in liquidity and eventually market failure. This paper contributes to the finance literature and the government’s policymaking as follows. First, this study is the first to not only verify that strategic runs exist in the Korean stock market, but also to examine their characteristics and effect on market quality. Second, this study finds strategic runs without incurring errors thanks to the use of account-level trades and quotes data. In contrast, the data used by Hasbrouck and Saar (2013) are subject to inherent limitation, as they do not include account level information. For example, they cannot identify whether two consecutive orders are submitted by the same trader, which makes it difficult to extract strategic runs from quote data. Our study is free from such problems because the data used enable us to identify which traders submit which orders. Finally, given that HFT is in the early stages in the Korean stock market, our results might provide useful information for financial authorities regarding whether they will need to regulate HFT in the Korean stock market.

7,800원

2

한국의 거시경제 요인과 이자율 기간 구조 분석

김기식, 엄영호, 장운욱

한국재무학회 재무연구 제27권 제2호 2014.05 pp.213-255

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본 연구의 목적은 재정거래(arbitrage)를 허용하지 않는 비생성 거시-금융 기간구조 모형(unspanned macro-finance term structure models)에 기초하여 한국의 이자율 기간구조에 영향을 미치는 거시경제 요인을 탐색하고 양자의 역학관계를 분석하는 것이다. 이자율 기간구조 3요인(수준, 기울기, 곡도)와 총 82개의 주요 거시경제변수를 결합한 모형의 실증분석 결과, 인플레이션 관련 변수 가운데 ‘농산물 및 석유류 제외 물가지수’, 실물경제 관련 변수 가운데 ‘비농림어업취업자수’ 또는 ‘국내 총생산’의 조합이 이자율 기간구조에 대한 높은 설명력을 갖는다는 사실을 확인하였으며, 제 3의 변수를 추가한다면 신용스프레드가 적합하였다. 선정된 3가지 거시경제변수를 이용하여 모형을 추정한 결과 거시경제 요인들이 채권의 위험 프리미엄에 유의한 영향을 주고 있음을 밝힐 수 있었다. 또한 충격반응분석과 분산분석을 통해 이자율 기간구조의 수준 및 기울기 변수가 거시경제 요인의 충격에 유의미하게 반응하며, 거시경제 요인이 이자율 기간구조 변수의 변동성을 상당부분 설명하고 있음을 확인할 수 있었다.
The term structure of interest rates is closely related to the macro economy, in that it contains information about the current state of the economy and reflects the bond market participants’ expectations regarding the economy’s future path. It can be effectively used to predict major economic variables, including inflation, and therefore has potential as an indicator variable in the establishment of monetary policy. Due to its economic importance, many researchers in the field of finance and macroeconomics have studied the modeling of the term structure of interest rates. In finance, the focus of such research has been the prediction of interest rates and the pricing of interest rate-related derivatives. In macroeconomics, researchers have mainly attempted to understand the changes in the term structure of interest rates in the context of monetary policy implementation. Since the pioneering work of Ang and Piazzesi (2003), however, macro-finance term structure models combining the advantages of the two traditional approaches have provided a useful means of interpreting the movements of the term structure in the economic context while maintaining the consistency between short- and long-term interest rates with the no-arbitrage restrictions. In this study, we apply the unspanned macro-finance term structure model (unspanned MTSM) to analyze the empirical relationship between the term structure of interest rates and the macroeconomic variables using Korean data. An ‘unspanned’ model is free from the unrealistic assumption that the macroeconomic variables can be entirely generated by the first Nth-principal components of the term structure (macro-spanning restriction). It is also more flexible in the sense that the model permits feedback between the term structure and macroeconomic variables. The unspanned MTSM incorporated in this paper was suggested in Joslin, Priebsch, and Singleton (2012) and extended to the multi-lag form in Joslin, Le, and Singleton (2013). In the empirical section, we first conduct the macro-spanning test to determine the validity of the empirical analysis using the unspanned MTSM. The test results show that the term structure factors only explain some of the variations in the real economy (R2 = 13.43%) and the price variables (R2 = 15.40%), confirming the validity of modeling ‘unspanned’ macro variables. Empirically, we identify the macroeconomic variables with the highest explanatory power over the term structure of the interest rate in Korea. We estimate the model with the three term structure factors (level, slope, and curvature) and two combinations of the 82 key macroeconomic variables (i.e. 82C2 = 3,321 models are estimated). The performance of each combination of macroeconomic variables is measured by the various information criteria (AIC, SIC, and HQIC). In our analysis, the combination of the ‘nonfarm payrolls’ in the real economy variable group and ‘consumer price index excluding agricultural products and oils’ in the inflation variable group provides the best performance in explaining the Korean term structure of interest rates. The robustness of these variables is maintained even when we add more macroeconomic variables (i.e. combining the three macroeconomic variables) to the macro-finance term structure model. In the three macroeconomic variable cases, the third additional variable with a high explanatory power is ‘credit spreads’, the spread between AAA-rated and BBB+-rated corporate bond spread. We believe that the ‘nonfarm payrolls’ has the highest explanatory power, as noted by Wu and Zhang (2008) in the US case, because this variable carries information about not only the real economy growth, but also inflation. Then, using the identified three macroeconomic variables, we estimate the unspanned MTSM and analyze the effect that macroeconomic factors have on the market price of risk. Due to the ambiguity of the economic meaning of ‘nonfarm payrolls’, we use the ‘gross domestic product’—the second-best performing real economy variable—in the estimation. The results of this analysis show that the inflation variables have a pro-cyclical effect on the market price of the slope factor while the real economy variables have a pro-cyclical (counter-cyclical) effect on the market price of the level (curvature) factor. However, the third macroeconomic variable—credit spreads—has a negligible effect on the bond risk premium. Finally, we conduct the impulse-response and variance decomposition analysis to show the empirical relationship between the three term structure factors and the three identified macroeconomic variables. We observe that a positive shock on the real economy variables increases the level factor, and as the credit spread widens, the level factor falls. A positive shock on the inflation variable also increases the slope factor, which widens the spread between short- and long-term yields. Finally, through variance decomposition, we confirm that the three macroeconomic variables explain 91% of the variation in the level factor, and 91.42% and 95.39% of the slope and curvature factors in the 36-month forecasting period.

9,000원

3

주식형 펀드 성과와 순현금흐름의 지속성 : 탐색적 연구

하연정, 백미연, 왕야핑, 고광수

한국재무학회 재무연구 제27권 제2호 2014.05 pp.257-296

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본 연구는 과거 성과와 순현금흐름 간의 관계가 존재한다는 기존 연구를 토대로 과거 성과 측정 기간의 효과와 과거 성과에 따른 순현금흐름의 지속성을 검증하였다. 2004년 1월에서 2012년 6월까지의 분석 기간 동안 우리나라 펀드 시장은 단기간에 비약적인 성장을 이루었고, 주식 시장 또한 변동성이 매우 컸다. 이러한 펀드 시장 상황에서 펀드 과거 성과에 따른 순현금흐름을 분석하여 과거 성과 정보의 효과를 분석하였다는 데에 본 연구는 의미를 가진다. 공모 주식형 펀드 412개를 이용하여 성과별 포트폴리오 분석 및 회귀 모형을 추정한 결과는 다음과 같다. 첫째, 과거 12개월 성과가 미래 순현금 흐름에 가장 크게 영향을 주었다. 둘째, 과거 성과에 따른 순현금흐름의 지속성은 6~ 12개월로 펀드 투자자가 과거 성과를 미래 6~12개월 동안의 투자 의사결정에 반영함을 알 수 있었다. 셋째, 성과 측정 방법을 다양화하여도 과거 성과 측정 기간의 효과, 순현금 흐름의 지속성에 대한 결과는 변함이 없었다. 넷째, 2008년 금융위기는 과거 성과와 순현금흐름 간의 관계 및 과거 성과에 따른 순현금흐름 지속성을 약화시켰다.
Based on the relationship between fund performance and the subsequent net flows, this study examines the net flow persistence. Earlier works have focused largely on the positive relationship between fund performance and the subsequent net flows. The most valuable information for fund investment is the past performance of each fund, yet one fund investor may consider the previous 6-month performance most important while another focuses on the previous 36-month performance. Investors’ interpretations of the concept of ‘past performance’ vary, and fund performance affects fund investors’ investment horizons differently. The economic motivation for this study is how fund investors use past fund performance to inform decision making, and how long their responses persist. In this study, we answer the following questions. First, what is the period for measuring past fund performance that has the most significant effect on net flows? Although earlier studies have fixed the past performance period, we use several past periods for measuring fund performance such as 1, 3, 6, 12, and 36 months. Some investors may chase the prior 1-year fund performance while others note the prior 2-year performance. Although different fund investors may make different investment decisions according to the prior fund performance, there could be a period that has the most influential effect on fund investment decisions. Second, how long does the fund performance affect the net flows? To the best of our knowledge, most studies have examined the relationship between the prior fund performance and the subsequent 1- or 3-month net flows. We take a different approach. The past performance of equity funds may affect future flows, but as time passes, the effect disappears. The net flows may follow fund performance for 1 month, 3 months, or longer. We define this duration effect of past performance as ‘flow persistence’ and it reflects the response duration of fund investors. The existence of flow persistence can be explained as follows. The fund performance information may be realized by fund investors after a time delay, or the fund investors may react to the information slowly. In this study, we test the flow persistence by examining the subsequent 1, 3, 6, 12, 24, and 36 months’ net flows following past performance. This concept of flow persistence is significantly different from the performance persistence of equity funds. Our goal is to provide an overall perspective on how fund investors react to past performance information. We measure the equity funds’ performance in multiple ways while analyzing the effects of past period performance and flow persistence; that is, past performance is measured by cumulative return, 1-factor alpha, 3-factor alpha, and 4-factor alpha. Each alpha is a risk-adjusted return. During the sample period, which ran from January 2004 to June 2012, the Korean fund markets were severely hit by the global financial crisis that originated in the U.S. Before the crisis, the fund markets were growing rapidly, but during the crisis, the global and Korean stock markets were sluggish, which led to the poor performance of equity funds. Numerous fund investors were surprised by plummeting fund returns. As a consequence, equity fund redemptions increased in the post-crisis period. In this study, we divide the entire period into two sub-periods, pre- and post-crisis, to determine the effect that the global financial crisis had on the relationship between fund performance and net flows. The empirical findings are as follows. First, the 1-year performance has the most significant influence on the net flows of equity funds, which implies that fund investors make their own investment decisions largely based on the prior 1-year performance rather than other performance periods. Our results support earlier studies that use prior 1-year performance as information to predict subsequent net flows. Second, the flow persistence lasts for 6 to 12 months. This reveals that prior fund performance affects the subsequent future net flows for 6 to 12 months. Third, we also test the effects of the past performance period and the flow persistence by measuring fund performance in many different ways. Additional tests prove the robustness of our results. Finally, we find that both the flow-performance relationship and the effect of flow persistence weaken during the post-crisis period. This study tests the effects of past fund performance as information for predicting subsequent net flow. We believe that our findings could provide new perspectives on how fund investors respond to past performance as information.

8,500원

4

복권 성향의 주식에 대한 선호와 주식수익률의 횡단면

강장구, 심명화

한국재무학회 재무연구 제27권 제2호 2014.05 pp.297-332

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본 연구는 최고수익률(MAX)과 주식가격의 유의한 음의 관계가 국내 주식시장에도 존재함을 보인다. 구체적으로, 직전 1개월 동안의 일 최고수익률을 MAX로 정의하고 이 MAX로 매월 말 5개의 동일가중 포트폴리오를 구성하여 MAX가 가장 높은 포트 폴리오를 팔고 MAX가 가장 낮은 포트폴리오를 매수하는 전략을 구사하면 무위험 이자율 대비 월평균 1.27%의 유의한 초과수익률을 얻을 수 있음을 발견한다. 그리고 이러한 현상이 기업규모, 장부가치대시장가치비율, 모멘텀, 단기수익률반전, 유동성 등 수익률과 관련이 있다고 알려진 여러 기업특성들을 통제하고도 유의함을 확인한다. 이와 같은 결과는 전통적 자산가격결정 이론 하에서는 설명할 수 없는 것으로, 투자자 들이 복권과 같은 특성을 가지는(lottery-like) 주식을 선호하는 경향이 있다는 기존 연구의 주장과 일관된다. 또한 정확한 투자자 구분이 가능한 자료를 활용하여, 우리는 MAX가 높은 주식일수록 개인투자자의 거래비율이 높고 개인투자자 거래비율이 높은 주식 중에서 MAX의 효과가 더 유의함을 보고한다. 이는 개인투자자는 주로 복권 성향의 주식을 거래하고, 이러한 개인투자자의 선호가 이들 주식의 가격에 영향을 미친다는 주장을 지지하는 결과이다.
We provide evidence supporting the presence of investors who prefer lottery-like stocks in the Korean stock market. Our empirical findings are as follows. First, we document that higher MAX stocks earn lower average returns, with MAX defined as the maximum daily return over the past month, as in Bali, Cakici, and Whitelaw (2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99, 427-446). Specifically, we find that average risk-adjusted return differences between stocks in the lowest and highest MAX quintiles is 1.39 percent per month over our sample period. This finding suggests that investors have a preference for lottery-like assets, i.e., assets that have a relatively small chance of a large payoff. Given this preference, investors may be willing to pay more for stocks with lottery-like payoffs, prompting such stocks to have lower returns in the future. In this study, we measure the propensity for a stock to deliver lottery-like payoffs on the basis of MAX, defined as extreme positive returns over the past month, and find a negative relationship between MAX and expected returns in the cross-section. In other words, we demonstrate that lottery-like stocks, which presumably exhibit high MAX, have low expected returns in the Korean stock market, confirming previous findings for the U.S. market. Our finding of a negative relationship between MAX and expected returns appears to be robust to various cross-sectional effects such as size; book-to-market; and momentum, liquidity, and short-term return reversals. Both portfolio sorts and cross-sectional regressions reveal that the MAX-return relationship continues to be significant after controlling for other effects. Further, we find little evidence that the idiosyncratic volatility puzzle, i.e., the negative relationship between the idiosyncratic volatility and average returns in the cross-section documented by Ang, Hodrick, Xing, and Zhang (2006. The cross-section of volatility and expected returns. Journal of Finance 61, 259-299), account for the relationship between MAX and returns. Considering that MAX is, on average, positively related to idiosyncratic volatility, one can argue that the negative MAX-return relationship is a different appearance of the idiosyncratic volatility puzzle. However, our empirical results reveal that the MAX effect is robust to controls for the effect of idiosyncratic volatilities. Second, we find that stocks with high MAX tend to be small and low-priced, and have higher idiosyncratic volatility. Moreover, we observe that high MAX stocks are, on average, heavily traded by retail investors. MAX exhibits a monotonically increasing pattern in retail trading proportions (RTP) in the cross-section, where we define a stock’s RTP as the monthly buyer- and seller-initiated retail trading volume divided by the total trading volume of the stock in that month. This finding is consistent with the literature, which regards small, low-priced stocks exhibiting high idiosyncratic volatilities and skewness to have lottery-like features. Last, and most importantly, we find that the negative relationship between MAX and average returns is more prominent among stocks with higher retail trading proportions, using a unique dataset that enables us to identify retail investors’ trades. In particular, we find that the MAX-return relationship is more significant and negative among stocks with higher RTP. The strategy of selling high MAX stocks and buying low MAX stocks earns, on average, 1.87 (0.17) percent per month among stocks in the highest (lowest) RTP quintiles. This evidence is consistent with previous studies arguing that retail investors are more likely to have a greater gambling propensity. Collectively, we contribute to the literature on investors’ preferences by presenting evidence of investors’ preference for lottery-like stocks in the Korean stock market. We also contribute to the literature on retail investors’ trading behavior. We use a unique dataset from the Korean stock market that enables the identification of retail investors’ trades while providing empirical evidence that retail investors are more associated with the preference for lottery-like assets.

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5

A Survey of Studies on Financial Intermediation in Korea

Suk Heun Yoon, Rae Soo Park

한국재무학회 재무연구 제27권 제2호 2014.05 pp.333-382

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In this paper, we aim to survey studies on financial intermediation in Korean financial markets with a view to understanding and evaluating the current status of financial intermediation services in Korea. Specific issues discussed include the relationship between economic growth and financial development, financial intermediation services such as liquidity provision, economizing transaction costs, production and transmission of information, monitoring, and the effects of relationship banking in Korea. We also discuss corporate restructuring driven by Korean banks as a special form of financial intermediation at the final stage of client firms’ lives, policy finance, and shadow banking which is regarded as an important factor influencing the future of financial intermediation in Korea. This survey reveals that while banks’ intermediation services are known to be special and value-additive in the US, for example, Korean studies have not shown the same. That is, research results show that banks’ intermediation services in Korea have been either insignificant or sometimes less than value-additive as benefits from intermediation services have been outweighed by associated costs. This result is partly because banks have had superior negotiation power to borrower firms in Korea, and partly because of the government’s dominating influence on bank behavior. It may also be because of sampling bias in terms of data period, as most studies use data near the 1997 financial crisis.

10,000원

 
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