차익거래시 증권거래세가 시장효율성, 변동성 및 유동성에 미치는 영향
Effect of Transaction Tax on Market Efficiency, Volatility and Liquidity
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주식시장 내의 노이즈 트레이더의 활동을 억제하여 주가의 비정상 움직임을 줄이고 과도한 변동성을 줄여정보의 외부효과로 인한 자원낭비를 줄이기 위해 거래세가 도입되었다. 그러나, 선행연구는 거래세가 예상하지못한 부작용을 야기함을 보고한다. 본 연구는 거래세의 일부인 차익거래시에 부과되는 증권거래세를 면제 받은 우정사업본부 사례를 대상으로증권거래세가 시장효율성 등에 미치는 영향을 분석하였다. 주요 분석결과는 다음과 같다. 첫째, 거래세 면제조치가 시장효율성을 제고하나, 선물가격이 현물가격보다 높은 상황에서만 유의미한 결과를 보였다. 둘째, 거래세 면제조치가 개별주식 및 선물의 변동성을 축소시켜서 시장 안정성을 제고하였다. 셋째, 거래세 면제조치가현물시장과 선물시장의 유동성을 확대시켜 시장 활성화에 기여하였다. 본 연구는 비과세 조치가 주식시장의효율성, 변동성, 유동성에 미치는 영향을 분석함에 있어 연구되지 않았던 KOSDAQ150 지수와 개별주식선물을 포함하였고, 현물·선물간 시장상황별로 분석했다는 점에서 의미가 있다.
Abstract
Transaction taxes were introduced to reduce abnormal stock price movements and to reduce excessive volatility by suppressing noise traders' activities in the stock market. However, prior researches report that transaction taxes have unexpected side effects. This study analyzed the impact of transaction taxes on market efficiency and others in the case of Korea Post, which was exempted from securities transaction tax imposed during arbitrage, which is part of transaction tax. The main results are as follows. First, the transaction tax exemption improved market efficiency, but only showed significant results when the futures price was higher than the spot price. Second, the transaction tax exemption improved market stability by reducing the volatility of individual stocks and futures. Third, the exemption of transaction taxes contributed to the revitalization of the market by expanding liquidity in the spot and futures markets. This study is meaningful in that it included the KOSDAQ150 index and stock futures and analyzed by market situation between spot and futures.
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