earticle

영어

This study investigates if liquidity risk can explain individual stock returns as a systematic risk in the Korean stock market. And, it examines whether market liquidity and its unexpected change increase at times of liquidity crisis such as the foreign currency crisis during 1997-1999 and the global financial crisis during 2007-2009 periods. It also tests if the liquidity risk itself, a sensitivity of individual stock return to unexpected change in market liquidity, increases at times of liquidity crisis. The final sample of 139,468 firm-months for periods of 1992∼2012 that satisfy the sample selection criteria. All sample firms are listed in the Korean stock market. The results indicate that the liquidity risk is evaluated by the investors as a systematic risk in addition to the market beta, firm size and book-to-market ratio that are known as systematic risks. That is, a significant positive correlation was found between unexpected change in market liquidity and individual stock returns, consistent with the prior studies. It indicates that the liquidity risk is recognized as an additional source of systematic risk in the Korean stock market. The result implies that the more sensitive a stock is to the unexpected change in market liquidity, the higher liquidity premium is required by the investors. Analysis of the monthly movement of liquidity in the Korean stock market reveals that the market liquidity and its unexpected change increased sharply around the foreign currency crisis and the global financial crisis. It also shows the increase of liquidity risk, the sensitivity of individual stock return to the unexpected change in market liquidity, at times of liquidity risk. Many incidents have been occurring that bring about turbulences in financial market after the global financial crisis, and one of the underlying causes is referred to as lack of liquidity in the financial market. This study provides to the finance literature evidence of liquidity risk functioning as an additional source of systematic risk at Korean stock market, and it finds out that the liquidity risk itself differs depending on the level of market liquidity. This study contributes to the extant literature by presenting an additional evidence of liquidity risk as an additional systematic risk in the Korean stock market based on different sample period encompassing a world financial crisis. In addition, it uses a different definition and measurement of liquidity risk than the previous study. Despite those differences, this study ascertains the liquidity risk as a source of systematic risk in the Korean stock market. The result indicates that liquidity risk must be taken into account along with well-known risk factors in estimating expected return from assets. Also, it needs to be noted that unusual movement of liquidity at times of financial crisis increases the systematic risk of stocks.

한국어

본 연구의 목적은 국내 주식시장을 대상으로 유동성위험(liquidity risk)이 개별 기업의 기대수익률을 설명하는 체계적 위험 요인으로 작용하고 있는지를 검증한다. 또한 외환위기와 세계금융위기와 같은 유동성 위기 기간에 시장유동성과 비기대 시장유동성 변동이 어떠한 양상을 보이는지를 살펴보고, 이 시기 유동성위험의 크기가 그렇지 않은 기간과 어떠한 차이를 나타내는지를 확인하고자 한다. 이를 위해 1992년∼2012년까지 한국증권거래소에 상장된 기업들 중 표본 선정 기준을 만족한 139,468 기업-월 표본을 대상으로 실증분석을 실시한 결과, 이전 연구에서 개별 주식의 기대수익률에 영향을 미치는 요인들로 확인된 시장베타, 기업규모, BE/ME ratio를 통제한 후에도 유동성위험 변수와 개별 주식 초과수익률 간에 유의한 양(＋)의 상관관계가 있음을 확인하였다. 이는 비기대 시장유동성 변동에 민감한 주식일수록 높은 유동성 프리미엄을 요구하고 있음을 보여준다. 본 연구의 결과는 해외 연구와 일관되는 것으로 국내 주식시장에서도 유동성위험이 존재하며, 시장참여자들에 의해 체계적 위험 요인으로 평가되고 있음을 제시한다. 월별 시장유동성 및 비기대 시장유동성 변동 패턴을 살펴본 결과에서도 1997년 외환위기와 2007년 세계금융위기 당시 우리나라 주식시장에서도 시장유동성뿐만 아니라 비기대 시장유동성 변동이 급격하게 증가하였으며, 유동성위험도 함께 증가하는 것으로 나타났다.