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당일매매와 주가행태에 관한 연구
How Intraday Tradings Influenced Market Efficiency of Korea Stock Exchange Market?

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Authors
박정식
Issue Date
2001-12
Publisher
서울대학교 경영연구소
Citation
경영논집, Vol.35 No.4, pp. 99-115
Keywords
99-115
Description
2001-12
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.
ISSN
1229-0491
Language
Korean
URI
https://hdl.handle.net/10371/44348
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College of Business Administration/Business School (경영대학/대학원)Institute of Management Research (경영연구소)경영논집경영논집 vol.35 (2001)
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