earticle

영어

On April 29, 2019, the Korea Exchange (KRX) reduced the duration of the pre-market opening call auction—referred to as the opening call auction session—from 60 minutes to 30 minutes in its KOSPI market. This study examines the impact of this policy change by analyzing how foreign and institutional investors contribute to price discovery during the shortened auction period. Specifically, we divide the opening call auction session into 5-minute intervals and investigate investor-specific order submission patterns and the cross-sectional determinants of Weighted Price Contribution (WPC), both before and after the change. Using data from all submitted orders over 50 trading days before and after the event, we find the following key results: First, order submission behavior differs markedly across investor types. Retail investors predominantly submit their orders during the early part of the auction session, whereas foreign and institutional investors tend to concentrate their order submissions toward the latter part of the session. Moreover, the proportion of revised and canceled order by foreign and institutional investors increases significantly near the end of the session, suggesting active price adjustment behavior. This implies that these investors behave as informed traders, delaying order submission to the final stages in order to avoid premature information disclosure and to exert greater influence over price determination of the latter part of the session. As a result of these strategic behaviors, foreign and institutional investors exhibit significantly higher order execution rates, reinforcing their dominant role in the price discovery process. Second, the determinants of Weighted Price Contribution (WPC)—used to measure the contribution of submitted orders to the opening price—vary across time segments within the call auction and reveal contrasting dynamics between the early and late phases. Specifically, the initial stage of the auction (the “WPC initial computation interval”) is the first opportunity for market participants to incorporate overnight information that has become available since the previous day’s close. During this phase, price discovery tends to occur more rapidly in stocks with lower participation by foreign and institutional investors, smaller firm sizes, higher volatility, or greater liquidity. In contrast, the latter part of the call auction (the “WPC adjustment interval”) is characterized by a reversal in these determinants. In this phase, price discovery is primarily driven by stocks that have higher participation from foreign and institutional investors, lower volatility, or larger firm sizes. This suggests that investor composition, and stock characteristics exert different influences on price formation depending on the stage of the auction. Interestingly, at the moment of opening price determination—the final order-matching point—price discovery again accelerates in stocks with lower foreign investor participation or smaller firm sizes, diverging from the characteristics observed during the immediately preceding phase. This reversal implies a process similar to a tatonnement mechanism (as in a Walrasian auction), wherein the market undergoes a trial-and-error adjustment process to reach an equilibrium price. Third, the adjustment of WPC in the latter stage of the auction session is primarily driven by the strategic behavior of foreign and institutional investors. Initially, WPC often reflects overshooting caused by overreactions from retail investors, who act as noise traders. As the auction progresses and approaches the final price determination point, WPC declines—sometimes turning negative— indicating a correction process toward a more accurate equilibrium price. During this adjustment phase, foreign and institutional investors shift from a passive stance in the early phase to an active role in the latter part of the session, submitting a large proportion of new, revised, and canceled orders that play a crucial role in correcting earlier mispricings. This behavior is empirically supported by the statistical analysis showing that the share of foreign and institutional orders during this phase exhibits a strong and positive correlation with cross-sectional WPC values, reinforcing their pivotal role in leading the price discovery process. The overall analysis demonstrates that these patterns hold consistently before and after the 2019 policy change, in which the KRX reduced the length of the opening call auction from 60 minutes to 30 minutes. This consistency implies that the first 30 minutes of the original one-hour session may have contained a high degree of market noise and uncertainty, resulting in inefficiencies in the price discovery process. The shortening measure of the opening call auction period did not diminish the role of foreign and institutional investors; rather, their strategic contributions to price discovery remained intact. These findings suggest that the policy change had a positive effect on market efficiency of this session. In conclusion, the differentiated behavior of investor types, the shifting determinants of WPC, and the strategic timing of informed traders’ order submissions together illustrate the complex dynamics underlying price discovery in a compressed opening call auction environment.

한국어

KRX 유가증권시장은 2019년 4월 29일 시가단일가매매 호가접수시간(“시가단일가매매시간”)을 1시간에서 30분으로 단축하였다. 이 논문은 시가단일가매매시간에서 외국 인과 기관투자자가 가격발견에 미치는 영향력을 파악하고자, 이 사건을 전후로 시가단 일가매매시간을 5분 단위로 나누어 투자자별 호가 제출 패턴과 WPC(“가중가격공헌 도”)의 횡단면 결정요인을 분석하였다. 사건 전후 50 거래일 동안 모든 호가를 분석한 결과 첫째, 외국인과 기관투자자는 개인투자자와는 달리 장 후반에 호가를 집중·제출 하는 패턴을 보인다. 또한 같은 시간대에 정정·취소호가 비중도 매우 높아 시가단일 가매매 체결시점에 가까워질수록 가격을 적극 조정하며 정보거래자로서 시가 발견에 큰 영향을 끼친다. 둘째, 시가단일가매매에서 WPC를 결정하는 요인은 장 개시 초반 (“WPC 최초 계산 구간”)과 장 후반(“WPC 조정 구간”)이 서로 반대로 나타나는 특징을 보인다. 장 개시 초반에는 외국인과 기관투자자의 참여가 낮은 종목이나 규모가 작은 종목에서 가격발견이 빠르게 이뤄지는 반면, 장 후반에는 외국인과 기관투자자의 참여 가 높거나 변동성이 낮은 종목, 또는 대기업 종목이 가격발견을 주도한다. 셋째, 시가 단일가매매 후반부는 초반 오버슈팅한 WPC에 조정 국면이 일어나 시가라는 균형가격 발견을 촉진하는데 이 시간대에서 외국인과 기관투자자의 호가제출 비중은 신규/정정 /취소호가에서 모두 WPC의 횡단면 결정에 통계적으로 강한 양(+)의 요인으로 작용한 다. 이는 외국인과 기관투자자가 정보거래자로서 전략적으로 행동하며 시가단일가매 매의 가격발견에 주도적인 영향을 끼치는 것을 뜻한다. 또한 단축 조치로 시가단일가 매매시간이 짧아졌음에도 외국인투자자의 가격발견 속도에 미치는 영향력은 더욱 커 졌다. 이상의 분석 결과들은 단축 이전과 이후 대체로 유사해 단축 이전 장 초반 30분은 노이즈가 많은 불확실성을 내포한 시간임을 알 수 있어 KRX 유가증권시장의 제도 개선 효과는 긍정적이었음을 시사한다.