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2016년 1월 1일 정부는 파생상품시장에 대한 조세정의 실현, 정부의 세수 확보, 그리고 개인투자자의 투기적 수요억제를 위해, KOSPI200 선물과 옵션에 대해 양도소득세 부과를 개시하였다. 본고는 양도소득세 부과 전후의 거래량 변화, 투자자비중 변화, 그리고 시장효율성 지표(호가스프레드, 유효스프레드, 호가잔량, 시장품질)의 변화를 통해 양도세가 도입목적에 맞는 역할을 수행하고 있는지 분석하였다. 이중차분법을 이용한 연구결과에 의하면, 양도세의 도입이 선물, 콜옵션, 풋옵션의 거래량 및 거래대금 등 양적지표에 부정적 영향을 미치는 것으로 나타났다. 그러나 양도세 도입이 시장 효율성에 미친 영향은 선물․옵션시장에서 다소 상이하게 관찰되었다. 선물시장에 대한 양도세의 도입은 호가스프레드를 증가시키고 호가잔량과 시장품질을 하락시키는 등 선물시장의 질적 측면(qualitative effect)에서 다소 부정적 영향을 미친 것으로 나타났으나, 미니선물시장을 기준으로 한 순효과(net effect)는 부정적 영향이 유효하지 않은 것으로 나타났다. 또한 KOSPI200 옵션시장에 미치는 순효과(net effect)도 미니옵션시장을 기준으로 할 때, 호가스프레드를 증가시키고 시장품질을 하락시키는 등 부정적 영향이 존재하는 것으로 보였으나, 이러한 효과는 양도세가 부과되지 않은 미니옵션시장의 효율성이 증가되면서 나타난 결과임을 확인하였다.
On January 1, 2016, the Korean government began to charge capital gain taxes on KOSPI 200 derivatives securities. The background reasons for this decision are threefold. The first was to realize tax justice. The government had been taxing stock transactions, but did not tax derivatives trading until 2015. Second, the government judged that speculative trading by individual investors was excessive in Korean derivatives markets. The trading proportion of individual investors is over 30 percent, which is considerably higher than in other developed markets. Charging capital gains taxes on derivatives trading could reduce speculative trading. Lastly, a capital gains tax will increase government tax revenue. According to Hong (2012), the 10 percent tax rate will increase revenue by about 40 billion Won per year. Despite the above motives, there are some doubts that capital gains taxes increase market efficiency. Moreover, imposing capital gains taxes only on KOSPI 200 futures and options and not on underlying stock markets means that the tax justice gained is limited, and critics have noted that derivatives are mainly used as a hedging vehicle. The literature on financial taxes can be divided into two categories of focus: transaction taxes and capital gains taxes. According to the literature, the effects of taxes are different across countries and sampling periods. The overall consensus on the effect of transaction taxes is positive, but negative for capital gains taxes. In many countries, transaction taxes reduce speculative trading and ultimately increase market quality once liquidity is sufficient, whereas capital gains taxes decrease demand for securities and even distort the behavior of investors, thereby worsening market quality. However, most results are based on stock markets, not derivatives markets. Hence, those results are not applicable to Korean derivatives markets, so the effect of capital gains taxes is still unclear. This paper examines whether capital gains taxes on derivatives trading are consistent with initial intentions by investigating changes in trading volumes, traders’ proportion, and market efficiency in areas such as bid-ask spread, effective spread, and market quality. We use a difference-in-difference method to determine the net effect of capital gains taxes. The Korean derivatives market has twin KOSPI 200 index futures and options, KOPSI200 and Mini-KOSPI 200. Their economic characteristics are the same, but their multipliers are different: one is 0.5 million Won and the other is 0.1 million Won. In this study, the capital gains taxes are levied only on KOSPI 200 futures and options. In the DID analysis, we set Mini-futures and options markets as control groups. We first explore the change in trading volumes of KOSPI 200 and Mini futures and options before and after the introduction of capital gains taxes for three months. Second, we identify changes in trading proportions patterns of individual, institutional, and foreign investors. Third, we investigate bid-ask spreads, effective spreads, residual quantity, and market quality to confirm the change in market efficiency. Fourth, we study the changes in volatility spreads, i.e., the difference between VKOSPI and a 5-minute realized volatility. In addition, to ensure robustness, we conduct the above analyses again at one month before and after. Our results are summarized as follows. First, capital gains taxes affect the trading volume of KOSPI 200 futures and options negatively, which is consistent with studies such as Noronha and Ferris (1992). Second, the effect is prominent for individual investors. The proportion of individual investors in KOSPI 200 options and futures trading decreases significantly, while the proportion in Mini options and futures trading more than doubles. As a result, the proportion of domestic institutional investors also decreases. Third, the effect of capital gains taxes is different across futures and options markets. In the futures market, the capital gains tax increases the bid-ask spread and decreases the residual order quantity and market quality, but the net negative effect based on the DID analysis is insignificant. In the KOSPI 200 options market, in contrast, the net effects are significantly negative in most efficiency measures. However, the negative effects occur because the efficiency of the Mini-options market is improved by the inflows of individual investors from KOSPI 200 options to Mini options.
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정책당국은 개인투자자의 과도한 투기행위를 억제하기 위해 2012년 3월부터 6월에 걸쳐 코스피200 옵션의 거래승수를 10만 원에서 50만 원으로 상향 조정하였다. 본 연구에서는 해당 거래승수 변경 사건이 투자자별로 거래에 어떠한 변화를 가져왔는지 살펴보고, 코스피200 옵션이 거래되는 KRX 시장과 Eurex 시장 사이의 정보이전 기능에 어떠한 영향을 미쳤는가를 실증 고찰한다. 논문의 주요 분석 결과를 간추리면 다음과 같다. 먼저 투자자별 거래변화를 보면, 예상과는 달리 개인투자자뿐만 아니라 모든 투자자군의 거래가 급감한 가운데 감소율면에서는 기관투자자가, 감소폭에서는 외국인이 가장 큰 변화를 보였다. 특히, 투기거래의 지표로 활용되는 Deep OTM 옵션의 경우, 승수인상 이후 개인뿐만 아니라 외국인투자자의 거래비중 역시 크게 준 것으로 나타났다. Eurex 시장에서 KRX 시장으로의 정보이전 분석결과를 보면, 거래승수 인상 이전에는 Eurex 시장의 수익률 정보가 익일 KRX 시장의 시가 가격발견에 대부분 즉각 반영되었으나, 승수인상 이후에는 Eurex 시장의 정보가 지연되어 반영되는 결과를 확인할 수 있었다. 이는 거래승수 인상 이후 시장의 가격발견 효율성이 저하되었음을 암시한다. 반면, KRX 시장에서 Eurex 시장으로의 정보이전 효과에는 승수 인상을 전후하여 뚜렷한 변화가 없는 것으로 나타났다.
The Korea Exchange (KRX) increased its multiplier for KOSPI200 options from KRW100,000 to KRW500,000 over a three-month period from March to June 2012. The rule change was intended to limit small individual traders from trading the option product. We examine how this event affected the trading patterns of various types of traders and whether it altered efficiency in information transfers between the KRX and the Eurex Exchange, the two markets in which the KOSPI200 options are cross-listed. The change in the option multiplier was motivated by the need to curb excessive speculative trading by individual traders and to secure stability in the market. The move to a five-times-larger minimum trading unit was expected to effectively drive a significant number of small investors out of the market, many of whom were believed to trade for speculation. The event is distinctive in that while most of the rule changes around the world regarding trading units involved reductions, the KRX case was in the opposite direction: an increase. Empirical studies that examine the effects of trading unit reductions demonstrate that they improve liquidity and induce positive market reactions (Amihud, Mendelson, and Uno, 1999; Ahn, Cai, Hamao, and Melvin, 2014, among others). How trading unit increases affect liquidity and pricing efficiency is an open empirical question that is both interesting and important. We attempt to answer this question. There are two conflicting views on how trading by individuals affects market efficiency. De Long, Shleifer, Summers, and Waldmann (1990) propose a model in which the unpredictability of noise traders’ beliefs adds a risk to prices, hampering the price discovery process by deterring arbitrage. If noise traders do exist in the market, no other types of investors make better candidates than individuals who trade with small amounts of capital—exactly the kind of traders who would be affected most by the KRX’s multiplier increase. If trading by individuals adds noise to prices, reduced participation by small individuals in option trading would mean improved price discovery. Other studies demonstrate that individuals’ participation in trading increases liquidity and improves price efficiency (for instance, Brennan and Copeland, 1988; Anshuman and Kalay, 2002). Because individuals are normally regarded as uninformed liquidity traders, active trading by individuals encourages informed investors to trade more. With more informed trading, price discovery improves. In a similar vein, an exogenous shock that deters individuals from entering the market reduces liquidity and the amount of informed trading, in turn reducing price discovery. Hence, the increase in the KOSPI200 options multiplier is predicted to worsen market efficiency. Our empirical results are summarized as follows. First, we find significant reductions in trading volume after the change in the multiplier for all three types of traders: individuals, domestic institutions, and foreigners. However, in contrast to our prediction that trading volume by individuals would decrease most because the rule change was intended to limit individuals’ participation in option trading, trading volume initiated by domestic institutions and foreign investors decreased by far greater magnitudes than the volume initiated by individual investors. Second, while trading volume declined for all moneyness after the change in the multiplier, it was deep out-of-the-money (OTM) options, an indicator of speculative trading, that saw the largest reduction in volume, suggesting that speculative trading diminished significantly after the multiplier had changed. The reduction in OTM options volume is particularly notable for individuals and foreigners. Finally, while efficient information transmission from Eurex trading to next-day KRX trading was evident before the increase in the multiplier, delayed transmissions were observed afterwards, suggesting that the change in the multiplier reduced efficiency in information transmission from the Eurex to KRX. We did not find any evidence that the event triggered a significant structural change in information transmission from the KRX to Eurex. Our overall results suggest that the increase in the multiplier and the resulting reduction in liquidity weakened the information linkage between the Eurex and the KRX. Our study contributes to the literature in three ways. First, despite a plethora of research on the issue, scholars still strongly debate whether individuals’ participation in trading assists or hinders price efficiency. We provide useful empirical evidence on the matter. The KRX is well known for its unusually high individual trader participation rate. Excessive individual trading have frequently been cited as the reason why KOSPI200 options maintained its position as the most actively traded derivative product in the world for more than 10 years. Because individuals dominate KOSPI200 options trading and the larger option multiplier targets individuals, we believe that the KRX event provides a rare and clear laboratory experiment that provides important evidence about the role that individuals play in price discovery. Second, our study provides useful policy implications. The multiplier change was motivated by the need for investor protection and market stabilization. However, it also brought about an unwanted side effect: deterioration of price efficiency. Our results suggest that although walking a fine line between investor protection and efficiency is always a challenging task, the authorities need to consider more refined measures that improve market efficiency without hurting the balance between the two. Lastly, our study also sheds light on the market microstructure of the Eurex global market for KOSPI200 options, which has rarely been examined.
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본 연구는 과거 성과의 수익률 횡단면 예측력, 즉 주가 모멘텀 이상현상이 과거의 어느 시점에 측정된 성과의 예측력으로부터 발생하는지 살펴본다. 외환위기 이후 1999년부터 2015년까지 한국 주식시장 자료를 이용한 포트폴리오 분석과 개별 주식의 횡단면 회귀분석 결과, 과거 12개월의 성과가 좋은 주식이 나쁜 주식보다 평균적으로 높은 수익률을 실현하는 모멘텀 현상의 존재를 확인한다. 과거 12개월의 기간을 최근 과거 6개월과 과거 12개월에서 7개월 전의 중기 과거 6개월로 나누어 볼 때, 최근 6개월의 성과는 수익률에 대한 예측력을 가지지 않으나 중기 과거 6개월의 승자를 매수하고 패자를 매도하는 모멘텀 전략은 월평균 1.51%의 비정상 수익률을 나타낸다. 중기 과거 성과의 수익률 예측력은 위험요인뿐 아니라 다양한 특성변수들을 통제한 후에도 여전히 유의하며, 과거 12개월 성과에 의한 모멘텀 현상은 중기 과거 성과를 통제하면 완전히 사라진다. 또한 중기 과거 성과의 수익률 예측력은 기업규모가 작고 유동성이 높으며 개인투자자 거래비중이 높고 투자분석가 수가 많은 주식에서 더욱 강하게 나타나고, 주식시장 유동성이 높거나 상승장인 시기에 주로 관찰된다. 본 연구의 결과는 모멘텀 이상현상이 수익률의 단기 자기상관 관계에 의해 나타나는 것이 아님을 시사한다.
This study examines whether price momentum is driven by firms’ recent past performance or intermediate horizon past performance in the Korean stock market. Price momentum, a tendency of rising and falling stocks to keep rising and falling, is one of the most well-known stock market anomalies, and an extensive body of literature has shown that momentum is widely observed across a variety of countries and asset classes. However, previous studies provide the particularly interesting result that momentum is not strongly observed in the Korean stock market, and this is seen as exceptional. Several recent studies suggest that momentum strategies based on ranking or holding periods longer than six months were profitable in Korea in the period after the 1997 Asian financial crisis. Given these results and motivated by the recent empirical finding of Novy-Marx (2012, Is momentum really momentum? Journal of Financial Economics 103, 429-453) that momentum is primarily driven by intermediate past performance rather than by recent past performance, in this study, I examine whether the period over which past performance is measured plays an important role in determining the profitability of momentum strategies in the Korean stock market. I use monthly data for ordinary common stocks listed on the Korean Stock Exchange over the period February 1999 to December 2015. The main empirical findings are summarized as follows. First, momentum strategies based on performance during the period from 12 to seven months prior to portfolio formation earn positive and significant abnormal returns, while momentum strategies based on performance during the recent six months do not yield significant profits. The zero-cost portfolio buying the top 10% and selling the bottom 10% stocks based on intermediate past performance yields a Fama-French (1993) three-factor alpha of 1.51% per month, with a t-statistic of 2.06. The intermediate past performance can predict stock returns in the cross-section even after controlling for various firm characteristics, including firm size, the book-to-market ratio, idiosyncratic volatility, illiquidity, and turnover. Second, the abnormal profits of momentum strategies based on performance during the past 12 months are entirely driven by intermediate past performance, not by recent past performance. The past 12-month return loses its predictive power for the cross-section of stock returns after controlling for past returns during the period from prior 12 to seven months. At the same time, the predictive power of intermediate past returns is not affected by recent past returns. Stocks that are recent six-month winners but past 12-to-seven-month losers earn abnormally low returns on average. Third, the momentum anomaly based on intermediate past performance is more pronounced for stocks with a smaller size, higher liquidity, higher proportion of individual trading, and higher analyst coverage. The roles of liquidity and analyst coverage are not easily explained if momentum based on intermediate past performance was due to mispricing, because arbitrage is more likely to be limited for stocks with lower liquidity and lower analyst coverage. Finally, the abnormal profits of momentum strategies based on intermediate past performance are positive and significant only following periods of high aggregate liquidity and high stock market returns, but they are insignificant after periods of low aggregate liquidity and low stock market returns. This result suggests that momentum based on intermediate past performance could be at least partially due to a change in economic states. This study contributes to the literature on the cross-section of returns in the Korean stock market in the following ways. First, it is the first to investigate whether intermediate horizon past performance can predict the cross-section of returns in Korea. Previous studies on price momentum in the Korean stock market have focused on the predictive power of recent past performance and found only weak evidence that momentum profits are partially significant for stocks with particular characteristics or during particular periods. This study provides strong evidence that momentum strategies based on intermediate past performance yield significant and positive abnormal profits during the post-crisis period. Second, the empirical findings of this study help to reconcile conflicting results in the literature. It has been widely believed that momentum is relatively weak in Korea because momentum strategies based on past performance measured over no longer than six months are not profitable, which stands in contrast to the strong profitability of momentum strategies in the U.S. market. This study finds evidence that based on intermediate past performance, momentum strategies also become as profitable in the Korean stock market as in the U.S market. Although the profitability of momentum strategies based on recent past performance differs, intermediate past performance can significantly predict the cross-section of stock returns in both markets. These results suggest that price momentum cannot be simply interpreted as a short-run autocorrelation in returns and emphasize the importance of information in intermediate-horizon past performance.
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본 논문에서는 국내 주식시장에서 단순히 가치주 포트폴리오만 투자하는 전략보다 국면전환모형에 따라 가치주와 성장주의 비중을 조정하는 투자전략이 더 좋은 성과를 나타낼 수 있는가를 알아보았다. 이를 위해 2001년부터 2014년까지 3개 지수개발업체가 개발한 가치주지수와 성장주지수의 일별수익률을 사용하여 분석하였다. 그 결과 국면전환모형에 따른 동태적 스타일 배분 투자전략이 가치주에만 투자하는 전략보다 우월한 성과를 낼 수 있다는 것을 확인하였다. 일반적으로 가치주가 성장주에 비해 우월한 성과를 보이는 것으로 알려져 있지만 국면전환모형에 따른 호황기(또는 저변동성국면)에는 성장주의 수익이 가치주를 능가하는 것으로 나타나 이런 국면에서 성장주 비중을 높이면 성과를 개선할 수 있음을 보였다. 가장 성과가 좋았던 MSCI가 개발한 지수를 사용할 경우, 가치주에만 투자하면 분석기간 연평균 수익률이 12.86%인데 반해, 동태적 스타일 배분전략을 사용할 경우에는 표본내 분석에서 수익률이 13.86%로 증가하는 것으로 나타났다. 표본외 예측분석에서도 비슷한 결과를 보이며, MSCI 지수 이용 시 동태적 스타일 배분전략의 수익률은 14.09%이다.
Following Fama and French’s (1992, 1993) findings that firm characteristics or factors such as size and value have forecasting power for excess returns, academics and the financial industry are investigating and investing in styles of value and growth. The literature examining the value premium (the excess performance of value portfolio over growth portfolio) typically focuses on long-term performances in international stock markets, including the Korean stock market. In addition, according to the literature, participants such as institutional investors avoid investing in growth stocks. However, many empirical studies indicate that the value premium is related to the current state of the economy. They argue that value premiums are time-variant. Therefore, we analyze the existence of value premiums and the performance of style allocation strategies across different regimes in Korean stock market. We use style indices data for the Korean stock market developed by three indices companies, FnGuide, WISEfn, and MSCI, comprising three value indices and three growth indices from 2001 to 2014. Although value indices outperform growth indices for three indices companies during the total sample period, the outperforming of styles is not stable over time. That is, the sign and degree of the value premium varies each year. This time-varying value premium suggests that style allocation strategies to spread investment across value and growth stocks outperform strategies to invest only in value stocks. Thus, to construct a dynamic style allocation strategy based on stock market regimes, we identify two regimes using the regime-switching model introduced by Hamilton (1989, 1990) using the KOSPI index. The first regime based on the KOSPI index has high average returns and low volatility—this is the expansion regime or low-volatility regime. The second regime has low average returns and far high volatility—this is the recession regime or high- volatility regime. According to the result from the regression analysis regarding value and growth indices, growth stocks strongly outperform value stocks in low-volatility regimes. Our strategy is to adjust the weight between the value portfolio and the growth portfolio constructed on different regimes to show better performance over value-only investment strategy. In particular, the performance of dynamic style allocation strategy is best when we use the value index and growth index of MSCI. This result comes from the better performance of growth indices over value indices during the expansion regime (or low-volatility regime). The style allocation strategy that adjust the weights of growth stocks and value stocks of MSCI in different regimes or according to the probabilities of regimes shows an annual average return of 13.86% (in-sample) and 14.09% (out-of-sample), while the strategy to invest only in value stocks of MSCI earns an annual average return of 12.86%. That is, the dynamic style allocation strategy using MSCI indices produces 1.0% (in sample) and 1.23% (out-of- sample) more per annum than the value-only investment using the MSCI value index. Furthermore, for all three companies, the style allocation strategy outperforms the value-only investment over a considerable period. In particular, it is important to properly adjust the portfolio weights of styles in the large-value premium period. The style allocation that profits promoted in 2004 and 2012 as styles are rotated appropriately according to the regimes. In 2008 and 2014, when the returns on growth stocks were relatively high, the style allocation profits developed due to the increasing investment weight of the growth index. Note that the style allocation performance using MSCI indices is best and has the strongest correlation across the three indices companies. We expect that the style allocation can produce higher returns when we use data that have clearer characteristics or style, such as pure-value- and pure-growth- oriented funds. In conclusion, we identify the time-varying value premium in the Korean stock market. A proper style allocation strategy based on the economic situation or market conditions can generate better performance than investments that exclude growth stocks.
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