시장하락 충격이 개별주식의 거래유동성에 미치는 영향
An Empirical Study on the Effect of Market Decline Shock on Stock Trading Liquidity
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초록
최근 세계적인 경제위기의 여파로 거시적 시장하락 충격이 자국 시장에 미치는 영향에 대한 관심의 증대되고 있다. 본 연구는 한국 주식시장을 대상으로 하여 시장하락 충격이 개별주식의 유동성에 미치는 영향을 시계열 분석을 통해 살펴보고자 하였다. 구체적으로, 다음의 두 질문에 초점을 두고 있다. 시장하락 충격이 다른 요인들을 통제한 후에도 개별주식의 유동성에 유의적인 영향을 미치는가? 시장하락 충격이 개별주식의 유동성 공급과 수요 측면에서 어떤 영향을 미치는가? 분석결과를 요약하면 다음과 같다. 첫째, 시장하락 충격이 유동성에 영향을 주는 다른 요인들을 통제한 후에도 개별기업의 유동성에 유의하게 영향을 주었다. 즉, 시장하락 충격 후에 개별주식의 유동성은 크게 하락하였다. 시장하락 충격의 효과는 오랜 기간 지속되는데, 2주 동안의 효과를 측정하면 시장수익률 1%의 하락이 평균적으로 호가스프레드율 0.026%의 증가를 가져왔다. 이는 평상시에 시장수익률이 호가스프레드율에 미치는 영향력의 2배에 이르는 수치이다. 개별주식을 기업특성 별로 구분하였을 때, 소규모이며 변동성이 큰 주식일수록 시장하락 충격이 유동성에 미치는 영향이 더 컸다. 둘째, 시장하락 충격이 유동성의 수요와 공급에 어떤 영향을 미치는지를 매도와 매수 측면으로 나누어서 분석하였다. 시장하락 충격 후에 가장 빠르게 반응한 것은 매도부분의 유동성 공급의 하락이었다. 즉, 시장하락 충격 후에 지정가 매수주문의 급격한 하락을 확인할 수 있었다. 그 후에는 시장가 매도주문의 급격한 증가(매도 수요의 급증)가 발견되었는데, 이는 자산의 공황매도(panic selling) 현상으로 해석된다.
Abstract
The globalization and opening of financial markets improve the market size and provide many opportunities for investor. Meanwhile, it also means that the Korean financial markets become weaker to the negative macroeconomic shock from the outside country. For example, the recent global financial crisis of 2008 influences the Korean financial markets. The Korean financial markets experience the severe decline in the stock prices and sudden rise of exchange rate. The purpose of this paper is to investigate how the macroeconomic market decline shock affects the market liquidity of individual stocks. This paper contributes to the literature as following. First, this study implements the time-series analyses to examine the dynamic movement of stock liquidity. Second, both demand and supply of liquidity are investigated respectively by using the market and limit orders of all trades. This could give us an implication for the route how to the market decline shock is transmitted into individual stocks. Third, the long-term sample period of 15 years with the high-frequency intraday data is adopted for this study. This paper casts two questions. Frist, does the macroeconomic market shock affect the trading liquidity of individual stock after controlling for other determinants of liquidity? Second, how can the macroeconomic market shock affect the liquidity of individual stocks in the side of supply and demand respectively? The time-series regressions are used as methodology. First, I run the time-series regression of each individual stock for the sample period. Then, the mean and t-value of cross sections are reported in the paper. The sample period is from January 1994 to December 2008 (total 777 weeks). The main findings in this paper are following. First, the market decline shock affects the liquidity of individual stocks after controlling for other determinants of liquidity such as volatility, volume and order imbalance. The 1% decline of market index return is related to the 0.018% increase of percentage quoted bid-ask spreads. This effects are maintained for two weeks, and its effect goes up to 0.026% in the market decline shock. Meanwhile, this effect is not found in the cases of the large increases in market index return. This asymmetric pattern means that the influence of market return is more prominent in the case of extreme market decrease than in the market increase. When individual stocks are sorted by their firm characteristics, the smaller and more volatile firms are more influenced by the negative shock. Second, the effect of the macroeconomic market shock on the demand and supply side of liquidity are investigated respectively. The liquidity demand is calculated from the market order volume of individual stock, and the supply is obtained from the limit order volume. After the market decline shock, at first week the decrease of limit buy order exceeds the increase of market sell order, and thereby appearing the phenomenon that liquidity supply in sell side is lack. It is because investors submit the limit sell order to sell their shares at the price they want to sell as far as possible rather than sell immediately. However, after two weeks the increases in market sell order are overwhelming in the market. It is consistent with the panic selling following the market decline shock. How does other financial market such as bond and exchange market react to the market decline shock is interesting topic beyond this paper. Further study on the interrelationship between stock and other financial market such as bond and exchange market is also promising.
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