당일매매가 주가의 변동성에 미친 영향에 관한 연구

Abstract

Justifying intraday trading rate as the proportion of trades by whom a person buy and sell

the same stock in a day, the Korea Stock Exchange market recorded the highest level last two

years (2000 and 2001). So we can doubt about its harmful influence as an angle of volatility

and destabilization and market inefficiency.

I have used two ways of approaches to test it. One is intraday trading volume to total

trading volume ratio of every stocks of Korean stock market approach as a cross-sectional

analysis, the other is vector-auto regression approach as a time-series analysis.

As the cross-sectional analysis, I have tested six suspicious problems in relation to intraday

tradings.

First, I found that a portfolio with higher rate of intraday trading has recorded significantly

higher intraday volatilities. But this fact doesnt mean intraday tradings make the stock

market more riskier, because intraday trader gathered on the stock which has high intraday

volatility.

Second, I have tested if intraday traders have a habitude of flocking together on the high

idiosyncratic risk stocks or not. And intraday tradings distorted price formation patterns.

As for the time-series analysis, I have tested with VAR method whether intraday tradings

make Korean stock market more volatile. I couldnt find any reasonable evidence of it. I have tested it with daily trading volume data of KOSPI index. Because the index is aggregated data

and it couldnt figure out the nature of intraday tradings.

These results support the opinion of ristrictionist that intraday trading hasnt made market

more inefficiently in the cross-sectional approach and the time series approach.