비정상 거래량의 측정 방법론에 관한 연구
Measuring the Abnormal Trading Volume
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초록
본 연구는 비정상 거래량을 측정하는 여러 방법론을 소개하고, 각 방법론의 특성과 비정상 거래량의측정 성과에 대해 비교한다. 비정상 거래량의 측정 방법론으로는 시장 거래량 정보를 활용하는 방법론인회귀분석을 기반으로 한 OLS 추정법, GLS 추정법 및 개별거래량에서 시장 거래량을 차감하여 산출하는방법을 제시하였고, 시장 거래량 정보를 활용하지 않는 방법론으로는 개별 주식의 거래량에서 해당주식의 평균 거래량을 차감하는 방법, 나누어 비율을 구하는 방법, Gervais et al.(2001)의 비정상 거래량판별법을 제시하였다. 실증분석에서는 2001～2020년의 한국 주식시장을 대상으로 위 방법론을 사용하여비정상 거래량을 측정하고, 극단적으로 높거나 낮은 거래량에 대한 판별 성과를 비교하였다. 분석결과, 방법론에 따라 동일 주식의 비정상 거래량을 극단적으로 높거나 낮은 거래량의 발생 사건으로서로 달리 판정하는 비율이 5.9～66.4%에 달하며, 해당 주식들로 이루어진 포트폴리오의 수익률을비교한 결과에서도 각 방법론 간 유의미한 차이가 나타남을 확인하였다. 이러한 결과는 분석의 목적에따라 비정상 거래량의 측정 방법을 신중하게 선택해야 함을 시사한다.
Abstract
In this paper, we introduce several methodologies for measuring abnormal trading volume and compare each methodology's characteristics and the measuring performance of abnormal trading volume. As methodologies that utilize market trading volume, we present the OLS estimation method and GLS estimation method based on regression analysis and a method for calculating the abnormal trading volume by subtracting the market trading volume from individual trading volume. For the methodologies that do not use market trading volume information, we introduce the method of subtracting the average trading volume of stock from the trading volume of the stock, the method of calculating the ratio between the trading volume of a stock and the average trading volume of the stock, and Gervais et al. (2001) methodology. In the empirical analysis, we measure the abnormal trading volume for the Korean stock market from 2001 to 2020 using each methodology and comparing the performance. From this analysis, we show that the rate of judging the abnormal trading volume of the same stock as an event of extremely high or low trading volume differently reached 5.9 to 66.4%, and there is a significant difference in the results of comparing the performance of portfolios made of these stocks. These results suggest that the abnormal trading volume measurement should be carefully selected according to the purpose of the analysis.
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