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한국의 장외주식시장 “프리보드”의 미시구조 및 거시구조 분석

  • 엄경식 서울시립대학교 경영학부 교수, UC Berkeley, Department of Economics, Research Fellow
  • 박종호 순천대학교 경영학과 교수
  • 윤지아 연세대학교 경영학과 박사과정; 자본시장연구원 선임연구원
본 논문은 프리보드(전신인 “제3시장” 포함)가 한국의 조직화된 장외주식시장으로서 그 기능을 효과적으로 수행해왔는지를 거래편의기능, 자금조달기능, 정규시장과의 가교기능 에 초점을 맞춰 고찰하였다. 2000년 3월 설립부터 2007년 12월까지 일중거래자료를 사 용하여 분석한 결과는 다음과 같다. 첫째, 지정기업과 관련된 모든 시장통계량이 절대적 으로 작으며 시장의 질적 수준도 코스닥과는 비교할 수 없을 정도로 낮아, 투자자에게 새 로운 투자기회나 장외주식 거래의 편의를 제공하지 못하고 있다. 둘째, 자금조달 실적 및 건수 자체가 절대적으로 미미해 비상장·비등록기업에게 직접금융을 제공하는 기능도 수 행하지 못하고 있다. 셋째, 정규시장 퇴출 후 프리보드로 이전한 경우 유동성은 현저히 악 화되고 변동성도 대폭 상승하는 반면, 프리보드에서 정규시장으로 이전한 경우에는 유동 성과 변동성 모두 크게 개선되는 것으로 나타난다. 이상의 결과는 코스닥과 프리보드 사이 에 시장기능의 공백이 너무 커 현재 한국주식시장의 거시구조가 효율적이지 않음을 시사 한다. 또한 프리보드가 장외주식시장으로서 본연의 경제적 기능을 완수하려면 상대매매방 식의 거래메커니즘은 반드시 개선되어야 할 본질적 장애요인임을 시사한다.
프리보드; 장외주식시장; 시장미시?거시구조; 시장의 질적 수준; 상대매매방식; FreeBoard; OTC Stock Market; Market Microstructure; Market Macrostructure; Market Quality

The Korean OTC Stock Market : Micro and Macrostructure Analysis

  • Kyong Shik Eom
  • Jong-Ho Park
  • Ji-A Yoon
The Korean stock markets include the KOSPI market (main board), the KOSDAQ market (new market), and the FreeBoard (organized OTC stock market). Originally, the first organized OTC stock market in Korea was the Third Market, which was founded in March 2000, specifically for the purpose of providing liquidity for stocks which could not meet the listing requirements for the regulated markets (the KOSPI and the KOSDAQ markets), particularly venture-related growth stocks; or which had been delisted from the regulated markets. Except for the first couple of years, however, the Third Market suffered from illiquidity arising mainly from regulatory inadequacy and the IT bubble. Hence, the Third Market did not fulfill the goals for which it was created. The Korean government decided to revamp the Third Market under its “Plan to Support Finance and Tax for Developing the Venture Industry;” in July 2005, the Third Market was replaced by FreeBoard, market rules were strengthened, and some tax benefits were added. However, the tax benefits fell short of the tax benefits provided to the regulated markets, and FreeBoard retained an archaic trading mechanism, in which orders are usually matched only if they are identical in both price and quantity. In this paper, we examine how effectively FreeBoard (including the Third Market, the predecessor of FreeBoard) has served three particular roles as the organized OTC stock market in Korea. The roles examined are: providing liquidity and market quality, providing financing, and bridging the OTC and regulated markets. First of all, FreeBoard’s creation of liquidity and market quality are examined through microstructure analysis. The latest microstructure theory uses trade-execution costs (or pricing errors) to measure a stock market’s quality in general. Hasbrouck (1993) and Bandi and Russell (2006) are representative of the research. In this paper, we utilized the Full-Information Transaction Cost (FITC) in Bandi and Russell as the main analytical frame. In addition, as a robustness check, we used Hasbrouck’s measure for pricing errors. We analyzed these estimates and other market statistics to measure the market quality of the FreeBoard in comparison to the KOSDAQ market. Next, we evaluated FreeBoard’s role of providing finance to unlisted firms by analyzing the total amounts of equity and bond financing raised by companies. Finally, we undertook a market macrostructure analysis to examine FreeBoard’s role of bridging the OTC and regulated markets. The analysis of the connection between the OTC and regulated markets compares the changes in market liquidity and volatility resulting from a listing transfer from the regulated markets to the FreeBoard or vice versa. Until recently, there has been very limited academic research concentrating on the OTC stock markets. However, the development of IT relating to stock trading and the increasing liquidity of the OTC markets has recently enabled the collection of OTC trading data, and several research projects are being carried out internationally, especially in the U.S. Compared to other papers focusing on Korea, this is the first paper to use FreeBoard’s intraday data to test its functional efficiency and economic significance. Other international papers have conducted analysis for the “one-way” bridging function from the NYSE and Nasdaq down to the OTCBB and Pink Sheets (Easley, O’Hara and Pompilio (2005) and Harris, Panchapagesan and Werner (2008)). This is the first paper to conduct a complete analysis of the OTC market’s “two-way” bridging function, both from the regulated markets down to the OTC, and from the OTC up to the regulated markets, in order to investigate the significance of the OTC market’s macrostructure. The sample period is from March 2000 to December 2007. We used intraday trade execution data for all stocks listed (registered) on both the Third Market and FreeBoard. We found the following results. ?Market statistics of the firms listed on the FreeBoard are qualitatively very low and its market quality measured by FITC (or Hasbrouck’s pricing errors) is much lower than those of the KOSDAQ market. Hence, the FreeBoard does not provide adequate liquidity or market quality, and thus does not provide an attractive new investment opportunity for investors. ? Few public offerings have been made since the inauguration of the market, so FreeBoard has not significantly facilitated financing for unlisted and unregulated firms. ? In the case of stocks moving from regulated markets down to the FreeBoard, liquidity dried up and volatility increased substantially. In contrast, for stock transferring from the Free- Board up to the KOSDAQ market, both liquidity and volatility improved tremendously. In the latter case, perhaps surprisingly, the stock prices decline slightly; our interpretation is that the prices were too high on Freeboard since the greater liquidity suggests that pricing on KOSDAQ should be more efficient than it is on FreeBoard. Taken together, these results imply that FreeBoard’s market efficiency is very low. Our results also show that the functional gap between FreeBoard and the KOSDAQ market is huge, thereby exacerbating the inefficiency in the macrostructure of the Korean stock markets. Moreover, our results indicate that FreeBoard’s archaic trading mechanism has been the essential cause of inefficiency on FreeBoard and should be improved immediately.