대량보유 기관투자자 매매가 시장유동성에 미치는 영향
The Impact of Institutional Blockholders’ Trading on Market Liquidity
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본 연구는 사적 정보를 보유한 대량보유 기관투자자의 매매가 시장유동성을 저하 또는 개선시키는 역할을 하는지를 실증적으로 분석한다. 대량보유 기관투자자가 매매를 한 날과 매매를 하지 않는 날의 거래활동 및 시장유동성의 차이를 비교한 결과 매매를 한 날에 거래활동은 더 활발하고 시장유동성은 더 높은 것으로 나타난다. 이 결과는 정보를 보유한 투자자의 시장 거래가 역선택비용을 증가시켜 시장유동성을 저하시킨다는 정보비대칭 가설과 반대되는 결과이다. 매매일의 거래활동은 대량보유 기관투자자의 매매량을 제거하더라도 비매매일에 비해 활발한 것으로 나타나 대량보유 기관투자자가 시장 타이밍을 한다는 주장을 지지한다. 또한 대량보유 기관투자자의 매매와 시장유동성 간의 양의 관계는 거래활동을 통제한 회귀분석에서도 유의성이 검증된다. 이 결과는 지속성이 긴 정보를 보유하고 있는 거래자는 유동성 공급자의 역할을 한다는 Kaniel and Liu(2006)의 가설이 국내 주식시장에서도 지지가 됨을 시사한다.
Abstract
This study investigates how institutional blockholders’ trading affects market liquidity. Information asymmetry hypothesis predicts that the presence of informed traders increases adverse selection costs and thus reduces market liquidity. In contrast, Kaniel and Liu (2006) show that the horizon of private information is positively related to the probabilities of using limit orders. Collin-Dufresne and Fos (2016) develop a model in which insiders choose to trade more aggressively when uninformed volume is higher and price impact is lower. Both Kaniel and Liu (2006) and Collin-Dufresne and Fos (2016) predict the positive relationship between the presence of informed traders and market liquidity. This study analyzes differences in trading activity and market liquidity between the days when institutional blockholders trade and the days when they do not. This study finds that trading activity and market liquidity is higher in trading days than in non-trading days. These results contradict the prediction of information asymmetry hypothesis. Instead our findings imply that institutional blockholders are more likely to trade when trading volume is higher. The positive relationship between market liquidity and institutional blockholders’ trading holds even after the effect of trading activity, size and volatility of the stock is controlled. Our findings suggest that institutional blockholders may hold long-lived information, so they are more likely to use limit orders which provide liquidity to the market.
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