사이버 증권거래가 국내 증권시장의 변동성과 효율성에 미친 영향에 관한 연구 = An analysis on Chabges of Volatility and Efficiency of Stock Market Caused by Cyber Trading

다국어 초록 (Multilingual Abstract)

The introduction of cyber trading increase the quantity of information and consolidate the rational probability of prediction of stock price on stock market. But, effect of increasing the information efficiency make trading so frequently and increase the volatility of market. The aim of this paper is present empirical evidence of these effect.
To analyzing these effect, GARCH model is employed to estimate volatility and market efficiency during the period 1980. 1. 4 to 2001.4.30. Additionally, EGARCH and TGARCH model is adopted to show the asymmetric effect on stock market.
According to this analysis, the introduction of cyber trading has a significant effect on stock market, that is, volatility increased and market efficiency decreased. But, increasing market share of cyber trading, volatility is decreased and efficiency is increased. Asymmetric effect, using TGARCH and EGARCH model, has also significant. but, that effect may not caused by cyber trading.