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선정훈 ( Jung Hoon Seon ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.4
This paper investigates whether there exist the friction effects of foreign ownership in the stocks listed on the Korea exchange. The friction effects of foreign ownership is defined as a negative effect of foreign stock ownership on the market liquidity. In a perfect capital market in which any market friction does not exist, foreign stock ownership should not affect market liquidity. However, market frictions such as order processing costs, inventory holding costs, and information asymmetric costs exits in real stock markets and thus the friction effects of foreign ownership may exist. According to Stoll (2000), any friction effects that might occur in imperfect markets can be decomposed into two components.real friction and information friction. The real friction is related to order processing costs and inventory holding costs and the component that consumes real resources of liquidity providers. Meanwhile, the informational friction is related with information asymmetry costs and the component that redistribute investors’ wealth without consuming real resources of liquidity providers. Following Stoll (2000)’s view, we decompose the friction effects of foreign ownership into two components: the real and informational frictions. The real friction is defined as the negative impact of an increase in foreign ownership on the trading activity of stocks. The informational friction is defined as the adverse impact of an increase in foreign ownership on theasymmetric information costs of a stock. The empirical studies on whether the friction effects of foreign stock ownership come from real friction, informational friction, or both might suggest through which channel foreign stock ownership affect on market liquidity in a stock market. The existence of real friction indicates that foreign stock ownership impact the market liquidity through trading activity. The existence of informational friction suggests that foreign stock ownership impact the market liquidity through the changes in information environment. This paper uses monthly panel data for 791 firms (355 KOSPI firms and 436 KOSPI firms) from January 2009 to December 2013. Using the monthly panel data and two-way fixed effect panel model, this paper examine the relationship among this month’s trading activity and Amihud(2002) price impact, and previous month’s foreign stock ownership using each stock’s share price, volatility of share price, and market capitalization as control variables. The foreign stock ownership of a stock is measured as the shares of foreign stock ownership divided by the number of shares outstanding at the end of each month. The trading activity of a stock is measures as the monthly average of turnover ratio and trading volume ratio. Amihud(2002) price impact of a stock is computed as the monthly average of the ratio of daily mean absolute return to daily volume for each month. This paper finds the results as follows. First, the inverse relationship between lagged foreign ownership and trading activity of stocks - the real friction of foreign ownership is observed for both the KOSPI and KOSDAQ firms. Second, the adverse impact of lagged foreign ownership on the Amihud (2002)’s price impacts of stocks - the total friction effect of foreign ownership is found for the KOSPI firms. The adverse impact, however, is disappeared, when real friction is controlled in the friction effect. Lastly, the total friction effect of foreign ownership is not observed for KOSDAQ firms. Overall, the results suggest that friction effect of foreign ownership is driven by the real friction and the informational friction plays no role in the friction effect.
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연구논문 : 투자자 익명성과 주식시장의 질적 수준: 외국계 증권사 대량매매 정보의 실시간 공개를 중심으로
선정훈 ( Jung Hoon Seon ),엄경식 ( Kyong Shik Eom ),한상범 ( Sang Buhm Hahn ) 한국금융학회 2006 金融學會誌 Vol.11 No.2
본 논문은 증권선물거래소(KRX)의 외국계 증권사 대량매매 정보의 실시간 공개 자료를 이용하여 투자자 익명성(anonymity) 여부가 시장의 질적 수준(market quality)에 미치는 영향을 분석한다. KRX에 상장되어 있는 28개 주식을 대상으로 실증분석한 결과는 다음과 같다. 첫째, "외국계 증권사 매도" 정보가 공개되기 이전에는 평균수익률이 음(-)의 값을 가지며, 동 정보가 공개된 이후에는 평균수익률이 더 하락하는 것으로 나타난다. 그리고 "외국계 증권사 매수" 정보가 공개되기 이전에는 평균수익률이 양(+)의 값을 가지며, 동 정보가 공개된 이후에는 평균수익률이 더 상승하는 것으로 나타난다. 둘째, 정보공개 이후 거래량이 증가하고 거래듀레이션은 감소하는 등, 정보공개로 인하여 거래하고자 하는 시장참여자들의 적극성이 전반적으로 제고되는 가운데 공개된 정보를 활용한 거래가 증가하는 것으로 나타난다. 셋째, 정보공개 이후 호가스프레드와 호가스프레드율로 측정한 시장의 유동성은 개선되고, 일시적 변동성과 완전정보거래비용(FITC)으로 측정한 가격결정오차의 표준편차도 줄어들어 가격의 정보효율성도 높아지는 것으로 나타난다. 이러한 결과는 외국계 증권사를 통한 거래가 주로 사적 정보를 내포하는 거래라는 추론을 가능케 하며, 동시에 외국계 증권사 대량매매 정보공개가 맹목적 추종매매를 조장한다는 가설을 기각할 수 있는 근거로 활용될 수 있다. 넷째, 데이트레이딩 분석에서는 외국계 증권사 대량매매가 데이트레이딩 거래량을 증가시키는 것으로 나타나, 국내 데이트레이더가 외국인투자자를 정보보유자로 믿고 있음을 알 수 있다. 다섯째, 정보공개 이후에 외국계 증권사 대량매매를 모방하는 가상의 거래행위에 대한 모의실험 분석 결과, 동 거래행위로부터 평균적으로 양(+)의 수익이 발생하는 것으로 나타난다. 이는 정보보유자인 외국인투자자들로부터 이들을 모방하는 단기투자자들로부터 부의 이전이 발생하는 것을 의미한다. We analyze the effect of traders` anonymity on market quality on the Korea Exchange (KRX). On the exchange, at each time during the day, there is public disclosure of the sellers of the five largest seller-initiated trades and the buyers of the five largest buyer-initiated trades that have occurred so far that day. Each time a foreign securities firm is added to the list constitutes an event in our study. We examined about 4,000 events, roughly equally divided between seller- and buyer-initiated trades, in the trade of the stocks of 28 firms listed on the KRX during 2003. We found the following results. First, the average returns were negative (positive) before the seller-initiated (buyer-initiated) event occurred and they became more negative (positive) after the seller-initiated (buyer-initiated) event occurred. Second, after the event, the volume increased and the duration between trades decreased. This indicates that the traders` aggressiveness increases once they become aware of a foreign trader`s block trade. Third, both the absolute spread and relative spread decreased after the event, which implies that market liquidity increased. Moreover, the transient volatility and standard deviation of the Bandi-Russell pricing error were reduced after the event, indicating that the informational efficiency of the prices improved. This indicates that foreign traders` block trading is based on private information, rather than, for example, momentum trading. It also indicates that the informational gain provided by the foreign traders` actions outweighs any noise resulting from uninformed traders blindly following the foreign traders` actions. Fourth, we found evidence that domestic day traders believed that the foreign securities brokerage firms were informed. Fifth, we conducted a simulation of a day-trading strategy which buys (sells short) a stock immediately following a foreign buyer-initiated (seller-initiated) block trade, then closes the position after one hour; we found that this strategy earns positive returns on average.
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선정훈 ( Jung Hoon Seon ),이지수 ( Ji Soo Lee ) 한국파생상품학회(구 한국선물학회) 2015 선물연구 Vol.23 No.3
본 논문은 한국 주식시장에서 주시장인 한국거래소 유가증권본부(이하 KOSPI시장)와 신시장인 코스닥본부(이하 KOSDAQ시장)의 가격효율성을 비교 고찰하였다. 보다 구체적으로 본 논문은 두 시장의 일중 가격발견의 속도, 정도 및 정확성 비교를 통해 두 시장의 가격효율성을 평가하였다. 일중 가격발견의 속도, 정도 및 정확성 비교를 위해 Barclay and Warner(1993)의 WPC(weighted price contribution), Barclay and Hendershott (2003)의 WPCT(WPC per trade), Biais et al.(1999)의 불편회귀분석(unbiased regression)이 각각 사용되었다. 블룸버그(Bloomberg)를 통해 입수한 535개의 KOSPI 종목과 803개의 KOSDAQ 종목의 1분 단위 체결가격 및 수량 자료를 이용하여 분석한 결과는 다음과 같다. KOSDAQ시장의 일중 가격발견의 속도는 KOSPI시장에 비해 느리게 나타난다. 또한 KOSDAQ시장의 오전 중에 이루어진 가격발견의 정도는 KOSPI시장에 비해 작게 나타난다. 하지만, KOSDAQ시장의 일중 가격발견의 정확성은 KOSPI시장에 보다 앞서는 것으로 나타난다. 이러한 결과는 우리나라 주식시장에서 상대적으로 기업규모가 작고, 연령이 짧으며, 현금흐름의 불확실성이 큰 편인 기업들이 주로 상장된 KOSDAQ 시장이지만, 가격효율성 측면에서는 KOSPI시장에 비해 낮지 않음을 시사한다. In this paper, we make a comparison of price efficiency between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock market. More specifically, we evaluate the relative price efficiency of both markets by comparing the speed, degree and accuracy in process of intraday price discovery. Each market’s speed and degree of price discovery are measured by WPC (weighted price contribution) devised by Barclay and Warner (1993) and WPCT (weighted price contribution per trade) proposed by Barclay and Hendershott (2003), respectively. Each market’s accuracy of price discovery is measured by unbiased regression coefficient used by Biais et al. (1999). We analyze 535 KOSPI stocks and 803 KOSDAQ stocks using 1-minute-interval transaction data collected from Bloomberg. The major findings of this paper are summarized as follows:Fist, the price discovery in KOSDAQ, the new market is slower than in KOSPI, the main board. Second, the morning session’s degree of price discovery per trade in KOSDAQ is smaller than KOSPI. Finally, the price discovery in KOSDAQ is more accurate than in KOSPI. Overall, our results indicate that the prices of KOSDAQ stocks are as efficient as the prices of KOSPI stocks, thought they have smaller firm size, younger ages, and greater uncertainty in cash flow and asset value than the main board stocks do.
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