신용매수거래가 개별주식의 변동성, 유동성, 수익률예측력에 미치는 영향
Margin Buying and its Impact on Volatility, Liquidity, and Return Predictability in the Korean Stock Market
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초록
2014년 1월부터 12월까지 개별주식 수준에서 신용매수거래는 전체 거래량의 약 9.38%, 개인매수거래량의 약 12.11% 수준으로 나타났다. 신용매수 거래자들은 가격, 변동성, 거래횟수 등이 지나치게 높은 종목을 회피하는 경향이 있지만, 기업규모, 거래량, 거래량회전율 등에 비례하여 신용매수거래가 증가하는 경향을 보였다. 신용매수 수준이 높은 종목과 신용매수 수준이 낮은 종목 모두에서 신용매수거래가 증가하면 변동성이 감소하고, 신용매수거래가 감소하면 변동성이 증가하였다. 신용매수 수준이 낮은 종목의 경우, 신용매수거래가 증가한 경우의 스프레드가 신용매수거래가 감소한 경우의 스프레드에 비해 통계적으로 유의하게 낮게 나타났다. 또한, 신용매수 수준이 낮은 종목에서는 신용매수거래가 증가한 이후 누적초과수익률이 지속적으로 상승하였으며, 수익률 반전현상이 나타나지 않았다. 신용매수 수준이 낮은 종목에서 신용매수거래의 영향력이 크다고 할 수 있으며, 이들 종목에서 신용매수 거래자들이 단기적으로 유용한 정보를 보유하고 있지만, 신용매수거래가 개별종목 수준에서 주식시장을 교란하지 않는다고 해석할 수 있다. 추가적으로, 신용매수거래는 개인 순매수비율 등 개인투자자 거래활동과 양(+)의 상관관계를 보였으며, 최근의 주가 정보에 대해서는 더 민감하게 반응하는 추세추종거래(positive feedback trading)행태를 보였다.
Abstract
This study examines the impacts of margin buying on a stock market various dimensions, including volatility, liquidity, and its return predictability. Analysis of detailed firm-level data from January 2014 to December 2014 reveals that margin buying accounts for a considerable portion of the stock trading; 9.38% and 12.11% of total and individual investor trading volume, respectively. Margin-buyers have the tendency to avoid stocks showing very prominent characteristics of price, volatility and the amount of trading. In terms of volatility, we find a reverse relationship between margin buying and volatility. The stocks exhibit narrower spreads after experiencing a sharp increase in margin buying, especially when they were at a low level of margin buying. Finally, we find that stock prices with high margin buying show patterns of return predictability and no return-reversion. These findings suggest that some investors trading these stocks who are buying on margin have information for a short-term period. The empirical results also give a hint that those investors do not destabilize the stock market at the individual stock level. In addition, a strong relationship between past cumulative returns and margin buying, indicating that traders buying on margin adopt the positive feedback trading strategy, is also valuable in analyzing margin buying, but it requires further investigation.
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