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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
제30권 제2호 (4건)
No
1

KRX 정적 VI(종목별 변동성완화장치) 도입의 가격안정화 및 가격발견 효과 : 동적 VI와 비교 분석

안일찬, 라성채, 박종호, 엄경식

한국재무학회 재무연구 제30권 제2호 2017.05 pp.103-142

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2015년 6월 15일 한국거래소(KRX)는 정적 VI를 추가 도입하면서 가격제한폭도 ±30%로 확대하였다. 본 논문은 KRX 정적 VI의 가격안정화와 가격발견 효과를 동적 VI와 비교 분석한다. KRX 상장 1,937종목을, 정적 VI 도입일 전후 각 48일간의 TAQ 자료로 분석한 결과는 다음과 같다. 첫째, 정적 VI는 동적 VI보다 더 많은 종목에서 더 자주 발동한다. 둘째, 동적 VI 발동은 상․하한가 발생과 관련이 거의 없다. 반면, 정적 VI 발동은 방향성이나 크기 면에서 상․하한가 발생에 적잖은 영향을 미쳐, 정적 VI가 기존의 가격제한폭제도 내에서 폭이 좁은 또 하나의 상․하한가 역할을 하고 있음을 시사한다. 한편, 가격제한폭 ±30% 확대는 일정 전제 하에 KRX의 실현 변동성을 약 14~15% 증가시킨다. 셋째, 동적 VI의 가격안정화나 가격발견 효과는 상당히 양호하며 효과도 일관성 있게 나타난다. 이에 비해 정적 VI는 가격발견에 일정 부분 공헌은 하지만 가격안정성은 크게 해치는 것으로 나타난다. 정적 VI와 가격제한폭 확대가 맞물려 (중복) 시행되는 것이 그 원인이라 판단된다.
“A volatility interruption (VI) is a sophisticated microstructure mechanism providing cooling-off periods and effective price discovery functionalities in brief periods of abnormal volatility for an individual stock” (Eom, Ra, Park, and Ahn, 2015). VIs consist of two types: dynamic and static. The dynamic VI is invoked when a price fluctuation due to a single order exceeds a predetermined range, e.g., ±2% in the Korea Exchange (KRX). The static VI is activated when a cumulative price fluctuation due to multiple orders and transactions exceeds a predetermined range, e.g., ±10%. On September 1, 2014, KRX preemptively adopted the dynamic VI. Then, on June 15, 2015, the exchange additionally introduced the static VI while simultaneously expanding the price limit to ±30% to alleviate a wider range of price changes. In this paper, focusing on the adoption that occurred on June 15, 2015, we examine whether the newly introduced static VI, in addition to the existing dynamic VI, produces economic benefits consistent with the purpose of introducing VIs, such as price stabilization and discovery. In this process, we also identify the characteristics involved in dynamic and static VI invocations and discuss what type of VIs or price stabilization mechanisms are best suited to the Korean stock market. The related domestic and foreign papers are limited in number. The unique feature of this paper is the direct comparative analysis of the economic effectiveness of both dynamic and static VIs. We were able to perform this analysis because KRX adopted the dynamic and static VIs consecutively. In addition, the price-limit system, which is unique to the Korean stock market, allows us to discuss the economic relationship between the static VI and price limit. We analyze 1,937 stocks listed on the KOSPI and KOSDAQ markets in KRX over 2 periods of 48 trading days each before and after June 15, 2015, when the static VI was introduced. The previous period denotes the period when only the dynamic VI was implemented, and the latter period refers to the period when both the dynamic and static VIs were implemented in tandem with an increase of the price limit to ±30%. The results of our analyses using trade and quote data are as follows. First, the stocks for which the static VI is invoked are mainly small and medium-sized, low-priced, and highly volatile, as are those for which the dynamic VI is invoked. Unlike the dynamic VI, however, the static VI tends to be invoked more frequently as trading volume increases, suggesting that the static VI invocation is a phenomenon that occurs when investors’ opinions vary. The static VI is invoked more often than the dynamic VI in terms of the number of stocks or frequencies. Second, there is little relation between dynamic VI invocation and the hit occurrence of upper and lower limits. Meanwhile, the static VI has a significant influence on the hit occurrence of upper and lower limits in direction and magnitude. This suggests that the static VI plays a role in enforcing narrow upper and lower limits. However, assuming that the intrinsic volatility of the KOSPI and KOSDAQ markets remained constant, the expansion of the price limit to ±30% appears to have increased the realized volatility of these markets by about 14~15%. Third, the price stabilization and price discovery effects of the dynamic VI are fairly solid, and the effects themselves are consistent regardless of the introduction of the static VI or the expansion of the price limit. These effects are also almost the same quantitatively and qualitatively as those of the dynamic VI that was adopted in September 2014. The static VI, in contrast, appears to contribute to some degree to price discovery, but greatly impairs price stability. This is attributable to the static VI and price limit, which function fairly similarly, being implemented at the same time. The VI system in Korea was adopted to eventually replace the existing price-limit system, which has been evaluated as ineffective in preventing temporarily abnormal fluctuations in prices that may occur in high-frequency trading, manipulative trading, etc. Our results show that the dynamic VI is serving its intended purposes relatively well, while the static VI has a significant negative impact on price stability. This seems to be due to a conflict between the designed functionality of the static VI and its practical role as a narrow upper and lower price limit within the existing price-limit system. In addition, the dynamic VI has a limited effect on the establishment of an equilibrium price immediately after the VI invocation period in cases where the stock price overshoots to a remarkable level just before the dynamic VI invocation. Therefore, in-depth verification of the various parameters (e.g., ±10% variation in the static VI) that constitute the specific activating requirements of the dynamic and static VIs adopted by KRX is advised.

8,500원

2

애널리스트 투자의견 변경 이전의 공매도거래에 대한 양방향 분석

박태준, 장병훈

한국재무학회 재무연구 제30권 제2호 2017.05 pp.143-180

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본 연구는 국내 상장기업에 대한 국내외 애널리스트 투자의견 변경 이전의 공매도거래를 투자의견 상향조정과 하향조정 양방향(bi-direction)으로 분석하여 공매도거래량이 투자의견 하향조정 이전에 비정상적으로 증가하고, 투자의견 상향조정 이전에 비정상적으로 감소한다는 정보선행매매가설(informed front-running hypothesis)을 검증하였다. Blau and Wade(2012)의 양방향 분석논리에 따라 애널리스트 투자의견 변경 기업을 투자의견 상향조정 기업과 하향조정 기업으로 구분하여 Christophe, Ferri, and Hsieh(2010), Blau and Wade(2012)의 네 가지 연구방법론으로 측정된 비정상공매도거래량을 분석한 결과, 비정상공매도거래량이 투자의견 상향조정 및 하향조정 이전에 모두 양(+)의 값을 보이면서 정보선행매매가설과는 다른 방향성을 보이는 것으로 나타났다. 또한, 투자의견 변경 기업을 유가증권시장과 코스닥시장, 국내 증권회사 투자의견 변경과 외국계 증권회사 투자의견 변경, 투자주체별로 구분하여 분석하여도 여전히 정보선행매매가설이 기각되는 결과를 도출하였다. 그리고 투자의견 변경 이전의 공매도활동은 관련 정보 발표 이후의 비정상수익률 방향성을 정확히 예측하지 못하고 있는 것으로 나타났다. 이는 공매도자가 투자의견 변경 정보의 사전 취득을 통해 공매도거래를 수행한다는 정보선행매매가설을 기각하는 결과로서, 정보와 관련 없이 공매도자의 단순한 투기적 동기에 의해 공매도거래가 발생하였다는 Blau and Wade(2012)의 주장을 지지하는 결과이다.
By empirically testing short selling activities that occur before changes in analysts’ recommendations, this paper examines the “informed front-running hypothesis” that predicts an abnormal decrease (increase) of short selling before analyst upgrades (downgrades). According to Blau and Wade’s (2012) conceptual framework, this study divides analyst recommendation changes into analyst upgrades and downgrades and uses four measures of abnormal short turnover used in Christophe et al. (2010) and Blau and Wade (2012). This study shows that abnormal shorting increases significantly before both downgrades and upgrades. After dividing the sample into KOSPI and KOSDAQ categories based on market type, domestic and foreign analysts’ recommendation changes, and investor type (institutions, foreigners, and individuals), the study finds no evidence that short sellers have the ability to acquire information about upcoming recommendation changes before the information becomes publicly available. The study also finds that pre-recommendation short selling does not predict upcoming events. These findings disprove the informed front-running hypothesis and are generally consistent with Blau and Wade’s (2012) argument that short selling before recommendation changes is more likely to be speculative than informed.

8,200원

3

외부충격과 실현변동성의 이질적 자기회귀모형

엄철준, 장욱, 박종원

한국재무학회 재무연구 제30권 제2호 2017.05 pp.181-216

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본 연구는 외부충격변수(ES)가 실현변동성-이질적 자기회귀(HAR-RV)모형에서 미래기간 실현변동성의 변화에 대한 내표본 설명력 개선과 외표본 예측력 개선에 유용한 정보효과를 갖는지를 중점적으로 분석하였다. 실현변동성은 2004년 1월부터 2016년 6월까지 KOSPI 시장지수의 일중 5분 단위 고빈도 수익률 자료를 이용하여 산출한다. 외부충격변수는 통계적 방법(주성분분석)을 이용하여 외부충격의 속성을 갖는 10가지 자료들을 종합적으로 결합하여 생성한 공통요인 시계열자료이다. 주요 검증결과는 다음과 같다. 첫째, 제안된 방법으로 생성된 외부충격변수는 국제적으로 알려진 시장충격의 중요한 흐름을 잘 반영한다. 둘째, 내표본에서 외부충격변수를 새로운 설명병수로 포함한 HAR-RV 모형은 미래기간 실현변동성의 변화를 유의하게 설명한다. 셋째, 외표본에서 외부충격변수는 미래기간 실현변동성의 일별 예측력을 유의하게 개선한다. 넷째, 확인된 외부충격변수의 설명력 및 예측력 개선은 잘 알려진 변동성 레버리지효과, 실현왜도와 실현첨도 등의 포함여부에 관계없이 강건하다. 이러한 결과는 HAR-RV 모형을 이용한 변동성 추정에서 외부충격변수가 고유한 정보효과를 가짐을 의미하며, 본 연구에서 고안한 외부충격의 속성을 갖는 다양한 자료들을 종합적으로 고려한 단일 외부충격변수의 생성과 이용이 향후 연구에서 유용하게 이용될 수 있음을 보여주는 것이다.
This study investigates the effect of external shocks on stock market volatility, focusing on improving the explanatory power and prediction ability of the heterogeneous autoregressive model of realized volatility (HAR-RV) using intraday high-frequency 5-minute return data from the KOSPI market index over the period from January 2004 to June 2016. Based on previous studies, we use improved methods in our empirical design to enhance the reliability of the empirical results: a method extracting jump components from measurements of realized volatility based on statistical significance evaluation; a method incorporating nighttime market information (without trading) into the measurements of realized volatility; a method assessing whether to improve the prediction ability of a proposed model through statistical significance evaluation; and a robustness test comparing the proposed model with models containing well-known explanatory variables of the volatility leverage effect and realized skewness and kurtosis. This study creates time series data on the external shock variable (ES) using principal components analysis by combining the selected 10-type variables that have the property of external shocks in the international financial markets, raw material markets, and commodity markets. It then uses the ES variable in empirical tests. The main results are as follows. First, the ES variable created from the principal components analysis does well at reflecting large changes in international markets. Second, the ES variable has a significant Granger causality relationship to the realized volatility over the whole period, while each of the selected 10-type variables has a significant causality relationship only for the specific periods of interest. Third, from the perspective of in-sample analysis, the HAR-RV model with the ES variable significantly improves the explanatory power of changes in the future realized volatility. In the out-of-sample analysis, the ES variable has the significant information value of enhancing the predictive power of the model in future periods. Finally, these are robust results regardless of whether the volatility leverage effect and realized skewness/kurtosis variables are included in the HAR-RV model. Our results show robust evidence that the external shocks have meaningful information value for explaining and predicting changes in future volatility in the HAR-RV model, and imply that the methodology of constructing the ES variable may provide new directions for future research using the HAR-RV model.

7,900원

4

Discretionary Consumption and the Equity Premium : Evidence from Korea

Jaehoon Hahn, Yong Joo Kang, Yuna Sohn

한국재무학회 재무연구 제30권 제2호 2017.05 pp.217-236

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Aït-Sahalia, Parker, and Yogo (2004) suggest using luxury goods retail sales data as an alternative measure of consumption to obtain more reasonable estimates for the coefficient of relative risk aversion that better match the observed equity premium. We apply their novel idea of using data that reflect discretionary consumption by the wealthy to the Korean context by using sales revenue of three largest sellers of high-end whisky and two major airlines as proxies for discretionary consumption that are more likely to respond to movements in the stock market. When theses proxies for discretionary consumption are used in place of standard consumption, the estimates for relative risk aversion are an order of magnitude smaller and economically plausible, similar to the findings reported by Aït-Sahalia et al. (2004) for the United States.

5,500원

 
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