호가스프레드의 구성요소에 관한 연구 : 선물시장을 중심으로
Empirical Investigation on the Components of the Bid/Ask Spread: The Case of KOSPI200 Futures
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초록
이 연구는 거래량규모에서 세계적인 지수선물시장중의 하나인 KOSPI200 선물시장의 일중체결거래자료를 분석하여, 호가스프레드와 이를 구성하는 요소들에 대하여 조사한다. 이를 위해 Madhavan, Richardson, and Roomans(1997)가 제시한 시장미시구조모형(MRR모형)의 틀 하에서 스프레드를 (1)정보거래로 인한 영구적 요소인 정보거래비용 요소와 (2)일시적 요소로 구분되는 주문처리비용 요소로 분해하여 살펴보되, 선물시장에서 주문크기가 매우 독특한 분포를 보임을 고려하여 주문크기에 대한 정보를 스프레드의 구성요소 추정에 이용할 수 있도록 확장된 MRR모형(SD-MRR모형)을 사용하여 연구를 진행하였다. 본 연구의 실증결과는 체결된 주문의 크기가 스프레드와 그 구성요소의 분석결과에 영향을 미치고 있음을 보여주고 있다. SD-MRR모형의 추정결과는 주문의 크기가 커질수록 주문처리비용 요소는 감소하는 반면, 정보거래비용 요소는 유의하게 증가함을 나타내고 있다. 또한, 선물시장에서 주문의 크기를 고려하지 않고 MRR모형을 추정한 Ryu(2011)의 연구결과와 비교하여, 정보거래비용 요소의 크기가 상대적으로 크게 측정되었고, 호가스프레드에서 정보거래가 설명하는 비중도 훨씬 크게 나타남을 발견하였다. 이와 같은 결과는 KOSPI200 선물시장에서는 주문의 크기가 유의미한 정보량을 가지고 있으며, 규모가 큰 주문일수록 정보거래자로부터 제출되었을 개연성이 높음을 암시한다.
Abstract
This study investigates the components of the bid-ask spread in the KOSPI200 futures market, which is one of the most remarkable index derivatives markets in the world. We basically analyze the spread and its components (the information asymmetry cost component and the order processing cost component) under the basic framework of Madhavan, Richardson, and Roomans(1997)s’ model (the MRR model). However, considering that the distribution of order-size in the KOSPI200 futures market exhibits unique traits, we estimate the spread components using an extended decomposition model (SD-MRR model), which incorporates the effect of order-size into the model. The empirical results in this study indicate that the estimated value for the information asymmetry cost component generally increases with the size of the incoming order whereas that of the order processing cost component decreases with the size of the order. We also find that the information asymmetry cost component implied by the SD-MRR model is greater than the component implied by the original MRR model. These results imply that the order-size generally contains substantial information contents and the large-size orders are more likely to be submitted by the informed investors compared to the small-size orders.
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