체결강도의 분포에 영향을 미치는 변수에 관한 실증 연구
Empirical Research on Volume Power
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초록
본 연구에서는 2011～2020년의 한국 주식시장에 상장된 보통주를 대상으로 체결강도의 분포에 영향을 미치는 변수에 대해 분석하였다. 분석 결과, 한국 주식시장에서는 매수체결 거래량에 비해 매도체결 거래량이 더 큰 비중을 차지하여 체결강도의 평균은 다른 나라의 주식시장에 비해 현저히 낮은 수치로 나타난다. 또한, 연평균 체결강도와 일별 체결강도는 개인투자자의 거래 비중이 적을수록, 주식의 규모, 수익률 변동성, 비유동성이 클수록 증가한다. 한편, 일별 체결강도는 수익률의 부호에 따라 수익률에 대한 민감도가 다르고, 분포 또한 불연속적으로 분절되어 나타나는데, 이러한 경향은 개인투자자의 비중이 클수록 더 강하게 나타난다. 이는 개인투자자의 불확실성 회피, 손실 회피 성향이 반영된 결과로 추정되며, 결과적으로 개인투자자의 투자행태가 한국주식시장의 체결강도의 고유한 특징을 유발하는 주요 원인인 것으로 판단된다.
Abstract
In this study, we analyze the factors affecting the distribution of volume power in the Korean stock market for common stocks listed from 2011 to 2020. The empirical results show that in the Korean stock market, the proportion of sell-initiated trading volume in relation to buy-initiated trading volume is larger, resulting in a significantly lower average volume power compared to other countries' stock markets. Furthermore, annual average volume power and daily volume power increase when the proportion of individual investors' trades is lower and when the size of stocks, return volatility, and illiquidity are higher. On the other hand, daily volume power exhibits different sensitivities to profit depending on its sign, and the distribution appears discontinuous. This tendency is more pronounced when individual investors have a higher proportion of trading. This is estimated to reflect the uncertainty aversion and loss aversion tendencies of individual investors and, consequently, is considered a significant factor contributing to the unique characteristics of volume power in the Korean stock market.
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