당일매매와 주가행태에 관한 연구

Abstract

When we justify 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 highest rate last

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

destabilization.

I have tested three suspicious fact in relation to intraday tradings.

First, I am doubtful whether indraday tradings made a change of weekly return features. I

found that for the period of July 2000 to June 2000 there existed significantly low Friday

returns in high intraday trading rate portfolio.

Second, I have tested that intraday tradings struck true price of market. And I found that

the higher intraday trading rate, the larger average residuals of market model.

Third, I found that highest intraday trading rate portfolio have recorded significantly

higher intraday volatilities. But this fact doesnt mean intraday trading make more rikier the

stock market, because intraday trader gathered on the stock which has high intraday volatility.

These result back up the opinion of ristrictionist that intraday trading make market more

inefficiently and government should regulate intraday tradings.