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거래량의 평균회귀성에 대한 실증연구

  • 강민 서울대학교 경영대학 경영학과 박사과정
  • 채준 서울대학교 경영대학 경영학과 교수
본 연구에서는 한국주식시장을 대상으로 거래량의 평균회귀성을 실증하고, 거래량의 평균회귀성에 영향을 미치는 변수들에 대해 분석하였다. 먼저, 거래량의 시계열에 평균회귀성의 전제조건인 자기상관관계가 존재함을 보이고, Phillips and Perron 검정과 KPSS 검정을 통해 거래량의 평균회귀성을 실증하였다. 이를 통해 한국주식시장에서 나타나는 거래량의 중요 특성을 밝히는 한편, 자기상관관계에 대한 연구에 머물러 있던 거래량의 시계열에 대한 연구영역을 확장했다는 의의가 있다. 또한, Ornstein-Uhlenbeck 모델을 사용하여 평균회귀성의 주요한 속성인 평균회귀속도를 도출하고, 회귀분석을 통해 규모가 적을수록, 주가변동성이 적을수록, 개인투자자의 거래비중이 적을수록, 애널리스트의 이익추정 수가 많을수록 평균회귀속도가 증가함을 보여, 이 변수들이 거래량의 평균회귀성에 중요한 영향을 미치고 있음을 실증하였다. 이러한 결과는 동적거래모델(dynamic trading model) 상의 정보거래자의 정보은닉성 거래(stealth trading)와 행동경제학적 설명인 개인투자자의 주목기반 매수경향(attention based buying tendency)이 거래량의 평균회귀성을 설명할 수 있는 근거가 될 수 있음을 보이고 있다.
거래량; 평균회귀성; 자기상관관계; 단위근 검정; 한국주식시장;Trading Volume; Mean Reversion; Autocorrelation; Unit Root Test ; Korean Stock Market

Mean Reversion of the Trading Volume

  • Mhin Kang
  • Joon Chae
This study analyzes the mean reversion of trading volume, which allows us to predict future trading volumes from time-series data. The results have important implications for various related concerns, including the predictability of returns in relation to trading volumes, liquidity, and the use of practical indicators such as the VWAP (volume-weighted average price) and the CGO (capital gains overhang). We test the trading volumes of the indices, size-portfolios, and individual stocks on the Korean stock market from 1999 to 2017. All of the sample data are obtained from FnDataGuide. First, we test the autocorrelation of the trading volume. The results show that the trading volume has a positive autocorrelation, and that changes in trading volume have negative autocorrelations. Therefore, we confirm that the trading volume process (unlike the return process) does not follow an independent distribution. As mean reversion implies a correlated time-series, the autocorrelation of trading volumes serves as the premise for the mean reversion of trading volumes. Next, we use the Phillips-Perron test (Phillips and Perron, 1988) and the KPSS test (Kwiatkowski, Phillips, Schmidt, and Shin, 1992) to verify the mean reversion property of the trading volume. The results show that the trading volume of the indices, size-portfolios, and 96% of the individual stocks, all have a mean reversion property on the Korean stock market. In addition, we calculate the mean-reverting speed for each stock by applying the Ornstein?Uhlenbeck model (Uhlenbeck and Ornstein, 1930) to identify the variables that affect the mean reversion property of the trading volume. We regard the mean-reverting speed as a proxy variable that indicates the relative strength of the mean reversion property across sample stocks. This analysis of the mean-reverting speed enables us to confirm which variables affect the mean reversion of the trading volume. Before the regression analysis, we compare the actual mean-reverting duration of the trading volume with the duration calculated by using the Ornstein-Uhlenbeck model, which is our model for estimating the mean-reverting duration of the trading volume. As the implied error of the model has an acceptable scale, we confirm that our Ornstein-Uhlenbeck model can serve as a reasonable model for trading volume. The regression results on the mean-reverting speed of each stock shows that the smaller the size, the smaller the stock price volatility. In addition, we find that the smaller the ratio of the individual investors’ trading activity and the higher the number of analysts’ reports, the higher the mean-reverting speed. This set of findings suggests that the mean reversion of the trading volume can be explained by the presence of stealth trading (Kyle, 1985; Admati and Pfleiderer, 1988; Foster and Viswanathan, 1990; Wang, 1994) and by individual investors' attention-based trading (Barber and Odean, 2008). Heterogeneity between investors generates trading volume. This heterogeneity is resolved by opinion-sharing with trades. However, stealth trading by informed investors delays the incorporation of information, and attention-based trading by individual investors gives the trading volume a positive feedback. Thus, the mean-reverting speed of a stock is slower in trading environments where it is easier to hide information, and where individual investors trade more actively. Additionally, we show that the future trading volume can be estimated from its mean-reversion property. If we know the mean-reverting speed, the mean value, and the standard deviation of the trading volume, we can obtain the expected trading volume by applying the Ornstein-Uhlenbeck model. This study contributes to the literature in the following four ways. First, and most importantly, it expands research on trading volumes by demonstrating that the volume has a mean reversion property on the Korean stock market. Understanding this property takes us one step beyond making predictions based on the autocorrelation of the trading volume. Second, we find that the future trading volume can be predicted by its mean reversion property. This novel finding helps to expand the knowledge of market dynamics among academics, and it can help practitioners who want to build their positions without causing a serious market impact. Third, we show that the trading volume has a positive autocorrelation in the Korean stock market. Although such autocorrelation of trading volume has been previously studied in the U.S. stock market, it has not been investigated in the Korean stock market. As the scope for applying autocorrelation is wide, we believe that the verification of autocorrelation is also important. Last, we shed light on why the trading volume shows mean-reversion properties. We assess trade sizes, price volatility, the trading activity of individual investors, and the number of analysts’ earnings estimates, all of which influence the mean reversion of the trading volume. All of these factors can be partly explained by stealth trading and the attention-based trading of individual investors.