한국주식시장의 온라인 거래와 오프라인 거래의 가격발견 비교 분석
Price Discovery of Online and Offline Trading on Korea Exchange
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본 논문은 2002~2003년도의 기간동안 한국주식시장에 상장된 339개 종목을대상으로 온라인 투자자와 오프라인 투자자의 가격발견(price discovery)에 대한공헌도를 분석하였다. Barclay ‧ Warner(1993)의 가중평균가격공헌(weighted price contribution)을 이용하여 일별 주문 매체별 가격발견의 공헌도를 측정한 결과,한국주식시장에서 높은 주문 전달 점유율을 가진 홈 트레이딩 시스템(Home Trading System)을 이용하는 투자자들의 가격발견은 매우 낮았다. 반면에 증권회사의영업점에서 주문을 제출한 오프라인 투자자들의 가중평균가격공헌은 평균 104%로전체 가격발견을 주도한 것으로 분석되었다. 이 같은 분석결과는 행위재무학적인관점에서 온라인 투자자들은 과도한 정보에 의존하여 자기과신에 따른 빈번한 거래로인하여 저조한 성과를 보인다는 Barber ‧ Ordean(2002)의 결과와 일관성을 유지한다. 또한 주별, 월별로 측정기간을 확장하여 분석한 결과에서도 영업점에서 주문을 제출한투자자들은 HTS 및 기타 온라인 투자자들의 가격발견 공헌도를 상회하여 일관성 있는결과를 제시하였다.
Abstract
This paper examines online and offline traders' contribution to price discovery using unique data covering 339 stocks listed on the Korea Stock Exchange during the sample period from 2002 through 2003. We investigate daily contribution of each channel to price discovery using the weighted price contribution(WPC) suggested by Barclay-Warner(1993). We find that contribution to price discovery by Home Trading System(HTS), which holds substantial share of trading, is very low and statistically insignificant. In contrast, offline traders who place orders through brokers, lead the price discovery by representing 104% of weighted price contribution. The contribution of offline traders to price discovery is still statistically significant even after controlling trading frequency and trading volume. In view of behavioral finance, these empirical results are consistent with Barclay-Odean(2002)’s findings that traders become less profitable and more active after switching from phone-based trading to online trading, which is explained by overconfidence – augmented by self-attribution bias and the illusions of knowledge and control. Offline trader’s contribution to price discovery also strongly exceeds online traders’ contribution in the estimation extended to weekly and monthly interval, confirming that offline traders have long-term informational advantage. Institutional investors and foreign investors are offline traders, but individual investors concentrate substantial portion of trading on HTS. Notably, institutional investors and foreign investors significantly outperform individual traders in offline trading. Offline traders lead contribution to price discovery in large-capital stocks. These findings demonstrate that order placement channel is differentiated by investor types and reflected in price discovery. In summary, our empirical findings suggest that Korea stock market is efficient in public online information.
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