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고빈도 경쟁시장에서 시장조성자제도의 의무ㆍ보상기준 개선방향

  • 강태훈 한국거래소 증권ㆍ파생상품연구센터 부연구위원
시장조성자제도는 국내 장내파생상품시장의 유동성 쏠림현상을 가장 직접적으로 개선할 수 있는 방안이 될 수 있다. 또한 1초 안에도 주문을 반복할 수 있는 고빈도 경쟁환경에서는 등록시장조성자들이 누릴 수 있는 이점은 감소하고, 부담하는 자본과 비용, 위험은 증가하는 상황이다. 따라서 본 연구는 고빈도의 시장미시구조에 적합한 시장조성 의무?보상의 세부기준을 마련하기 위한 개선방향을 고찰하였다. 현재의 시장조성 의무?보상기준은 등록시장조성자가 적극적인 거래수익보다 수동적인 호가의무충족에 더 집중하도록 유인할 수 있는데, 실제 등록시장조성자는 의무기준을 충족하는 범위 내에서만 수동적인 시장조성을 수행하고 있었다. 따라서 등록시장조성자를 보다 적극적으로 유인하기 위해서는 호가의무 충족에 대한 보상수준은 낮추고 체결된 거래의 공급호가에 대한 현 보상기준을 더 강화할 수 있다. 또한 호가유지시간, 최소의무수량 등을 완화하고, 1초 내 체결을 카운트할 필요가 있다. 장기적으로는 호가공급자(maker) 에게 보상하는 메이커-테이커(maker-taker) 제도 등을 도입하여 고빈도 거래자의 자발적 유동성공급을 유인해 볼 수 있다.
시장조성자제도; 등록시장조성자; 유동성; 고빈도거래; 미니선물시장;Market Making Scheme; Designated Market Makers; Liquidity; High- Frequency Trading; Mini Futures Market

Reconsidering the Affirmative Obligations of Designated Market Makers in a High-Frequency Trading Environment

  • Tae-Hun Kang
A market making scheme can be a direct solution for the imbalance in domestic derivatives market liquidity. To achieve such a scheme, it is necessary to expand the sphere of activity of designated market makers, which is currently limited to the nearest expiration contract of low-liquidity products and Korea Exchange (KRX) members. Introducing a request for quote can replenish a liquidity trap in the market in which the provision of continuous quotes of the designated market maker has been occasionally interrupted. However, despite improvements, if market making schemes do not motivate designated market makers to improve liquidity and price efficiency, it may be difficult to materially improve the quality of a domestic derivatives market. Technological developments, which have made it possible to trade automatically using algorithms at ever-increasing speeds, have eroded the relative value of the privileges that designated market makers have traditionally enjoyed. Therefore, this study reconsiders the obligation of designated market makers in a high-frequency trading environment and examines the direction of improvements of detailed standards in market making schemes. The major conclusions drawn from the empirical results are summarized as follows. The behavior of designated market makers is more conservative than that of endogenous liquidity providers that supply liquidity as a profitable activity. Designated market makers may provide liquidity conservatively because current obligations and incentive schemes of market making motivate market makers to focus more on their quote obligation duty than on active trading profits. A detailed standard of contractual obligations can explain the specific passive behaviors of market makers for continuous quotes. Because committed quotation times are based on seconds for an average of 80 percent of the trading period, designated maker makers are hesitant to cancel orders after submitting them and tend to avoid submitting orders matched in less than 1 second. In contrast, high-frequency traders have a tendency to cancel many orders, and most of the trading volumes are matched in less than 1 second in high-frequency trading environments. Therefore, market makers’ potential responses to the increased challenges that they face are to ease their obligations in markets where high-frequency traders act as informed active traders or informal market makers, and to improve the benefits through market making compensation. This can be achieved by aligning and coordinating designated market makers’ obligations and benefits with the specific microstructural features of the market in which they operate. The incentives for the liquidity provider and the general requirements that need to be fulfilled to receive these incentives can be differentiated by a liquidity provider agreement. For example, market makers of the equity index options of Eurex can choose between three types of market making obligation schemes: regular market making, permanent market making and advanced market making. Regular market making focuses only on responses to quote requests by request for quote functionality, which allows market participants to request a one- or two-sided quote to the central order book of a specified instrument. Permanent market making consists of continuous quotation of a set of strikes for a predefined set of expirations and responses to quote requests for all strikes and expirations of a given product. The benefits and risks of implementing new fee structures in the presence of high frequency traders can be reviewed to attract higher frequency and other trading volume. The most common new fee structures use maker-taker fee models that charge asymmetric fees to participants who demand and supply liquidity. Markets offer a rebate to participants who supply liquidity and charge a fee to those who demand liquidity. However, these new fee structures have led to concerns that high-frequency traders are the prime beneficiaries of these fee rebates due to their ability to (almost) always place their orders at the top of the queue.