학술논문
주식워런트증권 호가 규제와 시장효율성
Effects of Quotation Restriction on Market Efficiency: Evidence from the Korean ELW Market
Effects of Quotation Restriction on Market Efficiency: Evidence from the Korean ELW Market
Document Type
Article
Author
Source
금융공학연구 / The Korean Journal of Financial Engineering. Sep 30, 2023 22(3):49
Subject
Language
Korean
English
English
ISSN
1738-124X
Abstract
본 연구는 주식워런트증권(ELW; equity-linked warrant) 시장의 유동성공급자(LP; liquidity providers)에 대해 호가 제출을 일부 제한하는 시장 건전화 조치가KOSPI200 ELW종목의거래활동성, 시장 유동성, 거래주체별 매매패턴 변화 등 시장 미시구조와 효율성에 미치는 영향을 분석하였다. 주요 분석 결과는 다음과 같다. 거래활동성 측면에서는 시장조치로 인해 시장전체 거래규모가 급감한 반면, 시장조치가 적용되지 않고 투기적 성향을 가지는 저가 거래 비중이 증가했다. 스프레드 기준의 시장유동성 지표는 저가 거래를 제외한 나머지 거래에서 시장조치 이후 개선되었다. 그리고 LP 호가제출 제한조치 이후에 주문 체결비율이 급감하였다. LP 호가제한 조치로 인해 LP의 역할은 크게 축소되고 고빈도 거래자(HFT; high frequency traders)의 역할이 크게 증가하였다. 특히 외국인 HFT는 수동적 거래와 주도적 거래를 함께 증가시키면서 시장거래에서 LP의 역할을 상당부분 대체 한 것으로 나타났다.
This study analyzes the effects of the ELW market stabilization measures―quotation restriction imposed on liquidity providers (LPs) in the ELW market―on market efficiency, including trading activity, market liquidity, and changes in trading patterns by trader groups in KOSPI200 ELW stocks. The main findings are as follows: After the measures, the overall trading volume significantly decreased, however, low-priced speculative trades relatively increased; the spread-based market liquidity indexes improved for all trades except for the low-priced speculative trades; the ratio of unexecuted orders greatly increased; the role of providing liquidity in the market was transferred from LPs to high-frequency traders, specifically foreign high-frequency traders who significantly increased both passive and aggressive trades.
This study analyzes the effects of the ELW market stabilization measures―quotation restriction imposed on liquidity providers (LPs) in the ELW market―on market efficiency, including trading activity, market liquidity, and changes in trading patterns by trader groups in KOSPI200 ELW stocks. The main findings are as follows: After the measures, the overall trading volume significantly decreased, however, low-priced speculative trades relatively increased; the spread-based market liquidity indexes improved for all trades except for the low-priced speculative trades; the ratio of unexecuted orders greatly increased; the role of providing liquidity in the market was transferred from LPs to high-frequency traders, specifically foreign high-frequency traders who significantly increased both passive and aggressive trades.