earticle

영어

A random-end (RE) trading mechanism is an integral part of the call auction mechanism. The ending time of a call auction is not fixed, but can be extended in certain circumstances for a brief randomly-chosen span of time less than or equal to the “maximum duration.” RE mechanisms are intended, in part, to discourage the placement of spoofing orders. In this paper, we investigate the main characteristics of a specific RE trading mechanism, that which the Korea Exchange (KRX) employs at the opening and closing call auctions, and its effects on price discovery and stabilization. We are aware of four papers related to RE trading mechanisms. Medrano and Vives (2001) is a theory paper, whereas Hauser, Kamara, and Shurki (2012) is an event study analyzing market quality just before and after the adoption of the RE trading mechanism. Hence, neither paper illuminates the detailed functioning of RE mechanisms. The other two papers, Zimmermann (2013) and Eom and Park (2014), directly analyze the economic functions and effects of real-world RE mechanisms. The present paper is in line with Eom and Park (2014) in that it examines the KRX RE trading mechanism, but differs from it in that it performs cross-sectional analyses and analyzes spoofing orders, the discouragement of which was the main motivation for the mechanism’s adoption. Our sample comprises all 1,567 stocks listed on the KOSPI and KOSDAQ markets after filtering out a typical group of special-purpose stocks. We analyze all RE invocations occurring among the sample stocks during the daily opening and closing call auctions from January 2009 to December 2010. We use both daily and intraday data during our sample period. For real- time RE occurrence data, we first reconstruct the real-time order book from KRX Trade and Quote data, and then match our reconstructed order book against the complete set of RE occurrences provided by the KRX to validate the reconstruction process. We obtain the following results. First, at both the open and close, RE was invoked at least once for most stocks listed on the KOSPI and KOSDAQ markets. However, it was invoked most frequently for smaller, more volatile, lower-priced, financially distressed, or poorly managed stocks. The RE occurrence rate is consistent with market volatility. That of KOSDAQ is 2.1% on average, which is higher than that of KOSPI, at 0.8%. The disparity ratios between the projected price and potential price and between the potential price and opening (closing) price are 8.3% (8.2%) and -27.5% (-30.2%), respectively. The reversals in these ratios indicate that the RE trading mechanism makes a meaningful contribution to price stabilization for the opening and closing prices. The realized duration between the scheduled opening (closing) time and the real opening (closing) time is, on average, 1 minute 30 seconds, which indicates that the RE time is not drawn from a uniform distribution. Second, the opening process on the days on which RE occurred exhibits a different pattern from that on the days it did not occur, suggesting that sophisticated investors can identify the discrepancy and trade strategically, whereas other investors trade normally. Also, at the closing call auctions, the ratios of cancellation and correction orders to normal orders were overwhelmingly higher than those at the opening call auctions. Third, although the potential prices overshot to some extent, they were close to the average market equilibrium price formed during the five minutes after RE occurrence. Moreover, some of the overshooting was corrected during the RE period. These results imply that the RE trading mechanism contributes to opening price discovery and stabilization. Finally, many more spoofing orders were observed for the stocks for which RE occurred than for those for which it did not. Further, among the stocks for which RE occurred, spoofing orders were more than twice as numerous on the days of occurrence, with spoofing much more pronounced in the closing call auctions. In addition, at both the open and close, spoofing orders fell sharply after RE invocation, suggesting that the RE mechanism helps to discourage spoofing. In sum, our results suggest that the current KRX RE mechanism fulfills its purpose to some extent, that is, by improving price discovery and stabilization and reducing spoofing order submission, although more could be achieved. To increase the efficacy of its RE trading mechanism, the KRX should consider adjusting the current parameters. For example, it could set multiple RE invocations in succession, make the disparity rate more flexible to deal with situations as they develop, expand the RE period, and so on. The major European exchanges, which have been praised for providing some of the most sophisticated RE trading mechanisms in the world, would be a good benchmark.

한국어

본 논문은 KRX “임의종료(Random-end, RE) 거래 메커니즘”의 경제적 기능과 효과를 분석한다. 2009∼2010년 동안 KOSPI와 KOSDAQ 시장에 상장된 1,567개 종목의 시가와 종가 단일가매매에서 발생한 모든 RE 데이터를 사용하며, 그 결과는 다음과 같다. 첫째, RE는 KRX 상장종목의 대부분에서 발생하지만, 소기업, 저주가, 고변동성, 재무․경영 취약 종목일수록 더 자주 발생한다. 둘째, 예상체결가와 잠정가, 잠정가와 체결가 간 괴리율에 반전현상이 있어 RE는 가격안정화에 일정 수준 기여한다. 셋째, RE 발생일에 시가는 개장 전부터 평상시와는 다른 패턴을 보여, 발 빠른 투자자는 이를 관망하며 전략적 투자를 하고 그 외 투자자는 정상주문을 제출함을 시사한다. 한편, 종가에서는 시가에 비해 취소 및 정정 주문의 비율이 압도적으로 높다. 넷째, RE 발동 직전 가격은 비록 오버슈팅을 하지만 RE 종료 직후 균형가격과는 같은 방향으로 움직이고 오버슈팅도 RE 기간 동안 어느 정도 해소되어, RE가 가격발견 및 안정화에 효과적임을 보여준다. 다섯째, 허수주문은 비RE종목보다 RE종목에서, RE 비발생일보다 발생일에, 시가보다 종가에서 훨씬 많으나, RE 발동 후에는 급감하여 RE는 허수주문을 제어하는 순기능 역할을 한다.