투자자별 거래행태와 비대칭 변동성

Abstract

본 연구에서는 주가변동성이 수익률의 양의 충격보다 음의 충격에 더 민감하게 비대칭적으로 반 응한다는 비대칭 변동성의 원인으로 투자자의 위험회피적 효용함수와 이에 따른 거래행태의 차이 를 고려하고 있다. 즉 투자자별 효용함수에 따른 거래행태가 비대칭 변동성의 원인인지를 살펴보 기 위해 개인투자자, 외국인투자자, 그리고 기관투자자의 거래비중에 따른 비대칭 변동성의 차이 를 분석하였다. 실증분석결과 위험회피형 효용함수를 갖는 개인 투자자의 거래비중이 높을수록 비 대칭 변동성이 높은 것으로 나타났으며, 상대적으로 위험회피정도가 낮은 효용함수를 갖는 기관투 자자 및 외국인 투자자의 거래비중이 높을수록 비대칭 변동성이 낮은 것으로 나타났다. 이러한 분 석결과는 위험회피형 효용함수를 갖는 개인투자자들의 경우에는 주가가 상승할 때 주식매입을 실 패함으로써 예상되는 효용의 감소보다 주가가 하락할 때 주식매도를 실패함으로써 예상되는 효용 의 감소효과가 더 크기 때문에 나쁜 뉴스가 발생할 경우 보다 더 적극적으로 보유주식을 매도하기 때문인 것으로 해석된다. 반면 상대적으로 위험회피정도가 낮은 기관투자자 및 외국인 투자자들은 자본이익실현의 실패나 자본손실회피의 실패가 기대효용에 미치는 영향이 상대적으로 덜 비대칭 적이기 때문에 좋은 뉴스와 나쁜 뉴스에 대해 비대칭적으로 반응하는 정도가 더 약하게 나타남을 시사한다. 한편 기업규모 및 부채비율효과를 통제한 후에도 여전히 투자자별 거래비중에 따라 비 대칭 변동성의 차이가 유의적으로 존재하는 것으로 나타났다.

Asymmetric volatility of stock returns such that we observe larger reactions in returns to bad news than good news has been a puzzle in the existing literature. Volatility asymmetry means that when stock price drops (rises), the volatility of the returns typically increases (decreases). The asymmetric volatility phenomenon may also be described as a negative correlation between stock returns and innovations in expected volatility. Two prominent theories that document and explain the asymmetric volatility property of individual stock returns are the "leverage effect" of Black (1976) and Christie (1982) and the "positive feedback" mechanism of Pindyck (1984), French, Schwert, and Stambaugh (1987) and others. The financial leverage hypothesis explains that as the price of a stock decreases, the firm`s financial leverage increases, leading to a higher volatility of equity. Although, to many, "leverage effects" have become synonymous with asymmetric volatility, the asymmetric nature of the volatility response to return shocks could simply reflect the existence of time-varying risk premiums. The risk premium hypothesis, also known as the volatility feedback effect, proposes that an increase in unexpected volatility will increase expected future volatility. The resulting increase in expected returns causes prices to drop and leads to volatility asymmetry. As a result, it appears that financial leverage does not play much of a role in explaining volatility asymmetry. Certainly the leverage effect and the volatility feedback effect could both be at work. In this paper, we investigate the source of asymmetric volatility by introducing investor`s risk aversion. We hypothesize that investors` risk aversion and therefore their risk averse trading behavior would be a possible cause for the asymmetric stock return volatility observed in stock markets. When investors are risk averse, the increase in their utility from a positive return on investment is less than the decrease in their utility from a same size of negative return, and therefore they are more likely to react to bad news more sensitively, leading to larger down side movements in stock returns. As a way to test the hypothesis, we divide investors into three groups of individual investors, institutional investors and foreign investors, and analyze if their proportions in the trading volume of stocks would lead to any difference in the levels of the asymmetric volatility. Our empirical assumption is that individual investors would be more risk averse than institutional or foreign investors. As we expected, stocks with higher proportions of individual trading tend to show higher asymmetric volatility, while stocks with higher proportions of institutional investors and foreign investors tend to show lower asymmetric volatility. The results remain robust even after we control for firm size and leverage.