시간외대량매매 정보의 시장반응과 정보유출에 관한 연구

Abstract

본 연구는 국내시장에서 시간외대량매매의 가격 및 거래량, 변동성에 대한 효과에 대한 실증연구이다. 시간외대량매매제도는 정규시장에서의 가격변동의 위험없이 대량으로 주식을 매매하는 제도이다. 이러한 대량매매는 시장에서 주식의 내재가치에 관한 신호로서 작용한다고 볼 수 있다. 이런 점에서 국내 시간외대량매매 제도가 이러한 정보가설을 뒷받침할 수 있는지를 검증해보는 것은 의미있는 일이다. 또한, 이전 균형가격의 정의에 따라 그 효과를 일시적 효과와 영구적 효과로 구분할 수 있는 데 일시적 효과의 경우 이전 균형가격을 측정하는 시점이 대량매매 당일 종가와 대량매매 당일 시가로 구분할 수 있는데 본 연구에서 이전 균형가격을 대량매매 당일 종가로 측정하였을 경우 그 효과가 나타나지 않는 반면, 대량매매 당일 시가로 측정할 경우 뚜렷한 가격효과를 측정할 수 있었다. 이런 결과는 대량매매 당일 종가에 대량매매의 정보가 반영되어 있음을 간접적으로 시사하는 바이다. 대량매매 크기별 분석에 있어서는 대체로 대량매매의 규모가 클수록 그 효과가 크게 나타남을 알 수 있었으며 이러한 차이는 거래량과 변동성에 있어서도 나타났다. 또한, 가격효과를 결정하는 가장 큰 요인으로는 대량매매 가격수익률, 외국인 참여 여부, 베타 등의 변수였으며 저평가 그룹의 경우 시가총액 등 기업규모와 체결가격 유형의 경우도 유의적인 영향을 주고 있는 것으로 나타났다. 이 중 외국인 참여 여부가 가격효과에 반영되는 점은 국내 시장에 많은 시사점을 주고 있다. 현재 시간외대량매매에서 외국인이 차지하는 비중이 큰 만큼 시장에 많은 영향을 주고 있기 때문이다.

The Korean Stock Exchange allows block trading of stocks at the price set by traders after the closing of regular trading hours. This after-hour block trading facilitates the trading in large volumes with minimal impact on the market. This study errpirically examines the impact of block trading on stock prices, trading volumes and volatilities, therdoy investigates underlying motivations of block trading. If traders ini仕ate block trading to make profit from their access to private information on certain stocks, then block trading would send out a signal to the market on the intrinsic value of the corresponding stocks. This is denoted as the information hypothesis of block trading. However, if block trading is conducted for liquidity reasons such as portfolio rebalancing, then it would not have any in取act on the stock prices, trading volume or volatiHty. To test what generally prompts block trading, price in取acts of block trading are measured by its short- and long-term as well as post-trading effects. Depending on what cons社tutes the previous equilibrium transaction prices, analyses are separately conducted by measuring price changes from the opening as well as the closing price of the day when block trading is reported. Short-term effect of block strading is measured by any immediate change occurred on the opening price on the following trading day. Long-term effect is measured by coirparing the change in closing price of the next trading day from the previous equiEbrium price of the block trading and from the closing prices of five and ten days prior to the block trading. Finally, post-trading effect is investigated by looking into the three-, five- and ten-day market adjusted returns measured by closing prices. Hie total of 2,260 cases of block trading between February of 2003 and October of 2004 has been analyzed for this study. When a block trading has positive or negative short-term effect, then the transaction is classified into an undervalued or overvalued group. If no short-term effect gets observed, that transaction belongs to a neutral group. As a result of the study, we conclude that block trading does not have any effect on the stock prices, trading volumes and volatilities when price changes are measured by setting the closing price of the block trading day at the previous equilibrium price. However, there exist statistically signi五cant short- as well as long-term effects on the stock prices, trading volumes and volatiHties when the opening price of block trading day is designated as previous equiEbrium price. Consistent with results from previous researches, an undervalued (or overvalued) group has posi仕ve (or negative) short- as well long-term price effects, while showing no post-trading price impact. These results support a semi-strong form of market efficiency, and they hold true whether the settlement price is a negotiated one between traders or a simply volume weighted average price of trading hours. Further, the trading volume as well as volatiEty increases after block trading by a statistically significant margin. These results imply that the closing price reflects private information to which block traders have access about an intending block trading, thereby confirming the information hypothesis. Plausible impacts of block trading have been further analyzed by sub-dividing both undervalued and overvalued groups into five sub-groups classified by the size of block trading transactions. We adopt three different methods of measuring sizes of each transaction. We observed the same results in all sub-groups regardless of the methods appEed that block trading causes statis社cally significant short- as well as long-term price effect, and both trading volume and volatility increase after block trading is conducted. With the exception of the biggest-sized sub-group, block trading's short-term and long-term price effects augment as the size of block trading increases, which is consistent with the results from previous researches. Considering the fact that block trading is more frequently executed among stocks with smaller market capitalization, we suspect that block trading might be a vehicle for ownership changes among large shareholders. We also study what may affect the size of price inpact through the regression analysis, and find such factors as the return from block trading, involvement of foreign investors, and stock beta have significant iirpact on both short- and long-term price changes in undervalued as well as overvalued groups. Market capitalization of the stock as well as the way by which settlement price is set is another determining factor for undervalued stocks. A particularly iirportant iirpEcation can be drawn from the fact that the participation ratio of foreign investors in the block trading is higher than that of domestic investors, and foreign investots' involvement exerts signi五cant impact on the executed prices of block trading.