배당 공정공시와 뉴스 공개에 따른 주식시장의 실시간 반응 연구

Abstract

본 연구는 배당 공정공시와 이후 공개된 뉴스기사에 따라 주식시장의 누적초과수익률과 투자자별주문불균형의 실시간 반응을 사건연구 방법론으로 분석하였다. 관심사건은 배당계획 공시로 선정하였고, 공시이후 당일 장중에 발표되는 첫 번째 뉴스도 관심사건으로 포함하여 사건 전후 21분의 주식시장의 반응을살펴보았다. 주요 분석 결과, 공시 이전 누적초과수익률은 다소 하락하는 경향을 보이나 공시와 동시에과잉반응한 후 소폭 하락하여 균형가격을 찾아가 준강형 효율적 시장가설이 성립하였다. 또한, 뉴스 공개이전 누적초과수익률은 움직임이 없지만, 뉴스 공개 이후 5분까지 꾸준히 상승한 후 하락하는 모습을 보여약형 효율적 시장가설이 성립하는 모습을 보였다. 거래량의 경우, 공시 직후 개인은 매수, 외국인은 매도하는경향을 보였다. 뉴스 공개 이후 주요 거래자는 개인과 외국인이지만 공시와 달리 즉각적으로 반응하지 않고2분 후에 주문불균형을 보였으며 이후에는 매수와 매도 포지션이 뒤바뀌는 형태를 보였다. 기관은 공시와뉴스 이후 모두 매매에 적극적으로 참여하지 않았다. 본 연구는 일중 데이터를 사용하여 사건연구를수행하였다는 것, 공정공시와 관련 뉴스기사에 따른 주가 반응을 함께 분석하였다는 것, 그리고 누적초과수익률뿐 아니라 거래량을 통해 투자자별 주문불균형의 차이를 실증적으로 분석했다는 것에 의의가 있다

Fair disclosure is a policy that prohibits internal employees from disclosing sensitive information about the company to only certain external parties. However, if the actual sharing of information and fair disclosure take place on the same day, the daily data employed in the existing event study has limits in identifying such instances. To put it another way, in order to differentiate leaks prior to a fair disclosure, researchers must employ intraday data that can be analyzed in the brief period before and after the revelation. Researchers may also use the intraday data to see how current high-frequency and algorithm trading has mirrored information in the stock market. As a result, using the event study approach, this study evaluates the real-time response of cumulative abnormal return of each investor and order imbalance in the stock market in response to the fair disclosure and subsequent news release. As an event of interest, we examine the real-time response of the stock market, which includes the dividend plan disclosure and the first news throughout the day after the disclosure. We look at 48 disclosures and 31 news stories from January 2018 to July 2021We use the event study methodology to analyze the stock market response, and we use the market adjusted model to determine the cumulative abnormal return. For a total of 21 minutes, the event period is set at 10 minutes before and after the event of interest. We also look at how the stock market responds to changes in investment trading activity. We classify investors into three categories: institutions, individuals, and foreign investors, then calculate the order imbalance to determine the buy or sell intensity. The cumulative abnormal return before disclosure tends to reduce somewhat as a consequence of the analysis, but after soaring and overreacting at the same time as the disclosure, the cumulative abnormal return decreases slightly to find the equilibrium price. This response establishes a semi-strong efficient market hypothesis. Although there is no movement in the cumulative abnormal return before the news release, the cumulative abnormal return continuously climbs until 5 minutes after the news is revealed, following which it declines. The weak-form efficient market hypothesis is demonstrated by this reaction. These findings suggest that the market reacts strongly, and some investors trade based on secondary point information rather than initial information. Individual investors have a long position in terms of trading volume, while foreign investors have a short position. Individuals and foreigners have been trading predominantly since the news announcement, however, unlike fair disclosure, two categories of investors wait and trade for two minutes, then reverse their long and short positions after five minutes. After a fair disclosure and news release, the institutions indicate a weak order imbalance in trading. The following are some of the implications of this research. First, using intraday data and the event study approach, we show how stock prices fluctuate in real-time in response to disclosure and news. Second, we thoroughly examine the stock market reaction in light of the news article that follows the fair disclosure. This chart depicts how the market reacted to a similar occurrence. Third, in addition to the cumulative abnormal return, we look at the trading volume of investors. By assessing the difference in order imbalance, this research reveals how trading positions change dynamically in response to fair disclosure and news releases.