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투자자별 거래변화와 시장 간의 정보이전 효율성 : 코스피200 옵션거래승수 인상이 KRX 시장과 Eurex 시장 간의 정보이전에 미치는 영향에 대한 분석

  • 김학겸 한국거래소
  • 안희준 성균관대학교 경영대학 교수
정책당국은 개인투자자의 과도한 투기행위를 억제하기 위해 2012년 3월부터 6월에 걸쳐 코스피200 옵션의 거래승수를 10만 원에서 50만 원으로 상향 조정하였다. 본 연구에서는 해당 거래승수 변경 사건이 투자자별로 거래에 어떠한 변화를 가져왔는지 살펴보고, 코스피200 옵션이 거래되는 KRX 시장과 Eurex 시장 사이의 정보이전 기능에 어떠한 영향을 미쳤는가를 실증 고찰한다. 논문의 주요 분석 결과를 간추리면 다음과 같다. 먼저 투자자별 거래변화를 보면, 예상과는 달리 개인투자자뿐만 아니라 모든 투자자군의 거래가 급감한 가운데 감소율면에서는 기관투자자가, 감소폭에서는 외국인이 가장 큰 변화를 보였다. 특히, 투기거래의 지표로 활용되는 Deep OTM 옵션의 경우, 승수인상 이후 개인뿐만 아니라 외국인투자자의 거래비중 역시 크게 준 것으로 나타났다. Eurex 시장에서 KRX 시장으로의 정보이전 분석결과를 보면, 거래승수 인상 이전에는 Eurex 시장의 수익률 정보가 익일 KRX 시장의 시가 가격발견에 대부분 즉각 반영되었으나, 승수인상 이후에는 Eurex 시장의 정보가 지연되어 반영되는 결과를 확인할 수 있었다. 이는 거래승수 인상 이후 시장의 가격발견 효율성이 저하되었음을 암시한다. 반면, KRX 시장에서 Eurex 시장으로의 정보이전 효과에는 승수 인상을 전후하여 뚜렷한 변화가 없는 것으로 나타났다.
코스피200 옵션, 거래승수, Eurex 글로벌 연계시장, 투자자별 거래, 정보이전 효과

The Effects of an Increase in the KOSPI200 Options Multiplier on Efficiency in Information Transfers between the Korea Exchange and the Eurex Exchange

  • Hak Kyum Kim
  • Hee-Joon Ahn
The Korea Exchange (KRX) increased its multiplier for KOSPI200 options from KRW100,000 to KRW500,000 over a three-month period from March to June 2012. The rule change was intended to limit small individual traders from trading the option product. We examine how this event affected the trading patterns of various types of traders and whether it altered efficiency in information transfers between the KRX and the Eurex Exchange, the two markets in which the KOSPI200 options are cross-listed. The change in the option multiplier was motivated by the need to curb excessive speculative trading by individual traders and to secure stability in the market. The move to a five-times-larger minimum trading unit was expected to effectively drive a significant number of small investors out of the market, many of whom were believed to trade for speculation. The event is distinctive in that while most of the rule changes around the world regarding trading units involved reductions, the KRX case was in the opposite direction: an increase. Empirical studies that examine the effects of trading unit reductions demonstrate that they improve liquidity and induce positive market reactions (Amihud, Mendelson, and Uno, 1999; Ahn, Cai, Hamao, and Melvin, 2014, among others). How trading unit increases affect liquidity and pricing efficiency is an open empirical question that is both interesting and important. We attempt to answer this question. There are two conflicting views on how trading by individuals affects market efficiency. De Long, Shleifer, Summers, and Waldmann (1990) propose a model in which the unpredictability of noise traders’ beliefs adds a risk to prices, hampering the price discovery process by deterring arbitrage. If noise traders do exist in the market, no other types of investors make better candidates than individuals who trade with small amounts of capital?exactly the kind of traders who would be affected most by the KRX’s multiplier increase. If trading by individuals adds noise to prices, reduced participation by small individuals in option trading would mean improved price discovery. Other studies demonstrate that individuals’ participation in trading increases liquidity and improves price efficiency (for instance, Brennan and Copeland, 1988; Anshuman and Kalay, 2002). Because individuals are normally regarded as uninformed liquidity traders, active trading by individuals encourages informed investors to trade more. With more informed trading, price discovery improves. In a similar vein, an exogenous shock that deters individuals from entering the market reduces liquidity and the amount of informed trading, in turn reducing price discovery. Hence, the increase in the KOSPI200 options multiplier is predicted to worsen market efficiency. Our empirical results are summarized as follows. First, we find significant reductions in trading volume after the change in the multiplier for all three types of traders: individuals, domestic institutions, and foreigners. However, in contrast to our prediction that trading volume by individuals would decrease most because the rule change was intended to limit individuals’ participation in option trading, trading volume initiated by domestic institutions and foreign investors decreased by far greater magnitudes than the volume initiated by individual investors. Second, while trading volume declined for all moneyness after the change in the multiplier, it was deep out-of-the-money (OTM) options, an indicator of speculative trading, that saw the largest reduction in volume, suggesting that speculative trading diminished significantly after the multiplier had changed. The reduction in OTM options volume is particularly notable for individuals and foreigners. Finally, while efficient information transmission from Eurex trading to next-day KRX trading was evident before the increase in the multiplier, delayed transmissions were observed afterwards, suggesting that the change in the multiplier reduced efficiency in information transmission from the Eurex to KRX. We did not find any evidence that the event triggered a significant structural change in information transmission from the KRX to Eurex. Our overall results suggest that the increase in the multiplier and the resulting reduction in liquidity weakened the information linkage between the Eurex and the KRX. Our study contributes to the literature in three ways. First, despite a plethora of research on the issue, scholars still strongly debate whether individuals’ participation in trading assists or hinders price efficiency. We provide useful empirical evidence on the matter. The KRX is well known for its unusually high individual trader participation rate. Excessive individual trading have frequently been cited as the reason why KOSPI200 options maintained its position as the most actively traded derivative product in the world for more than 10 years. Because individuals dominate KOSPI200 options trading and the larger option multiplier targets individuals, we believe that the KRX event provides a rare and clear laboratory experiment that provides important evidence about the role that individuals play in price discovery. Second, our study provides useful policy implications. The multiplier change was motivated by the need for investor protection and market stabilization. However, it also brought about an unwanted side effect: deterioration of price efficiency. Our results suggest that although walking a fine line between investor protection and efficiency is always a challenging task, the authorities need to consider more refined measures that improve market efficiency without hurting the balance between the two. Lastly, our study also sheds light on the market microstructure of the Eurex global market for KOSPI200 options, which has rarely been examined.
KOSPI 200 Options, Option Multiplier, Korea Exchange, Eurex Global Market, Different Investor Types, Information Transfer