Analysis of ELW Investor`s Trading Pattern

Choi, Young Soo; Yun, Chang Hyun

Korean Journal of Financial Studies 2012;41(4):647-676.
Published online September 30, 2012.

Young Soo Choi, Chang Hyun Yun

ELW시장의 투자자 매매패턴 분석

최영수, 윤창현

Abstract

Whereas conventional study on the trading pattern of investors is done in the viewpoint of identity of investors, investors in this paper are categorized into three types according to whether they use the algorithm trading and direct market access: super scalper, general scalper and general investors and then we analyze their profitability and trading pattern. Our empirical investigation shows that general investors do relatively long-term investment like buying stocks, hold lots of ELW(Equity-Linked Warrant) until maturity although the time value of ELWs is decreased, and finally buy cheap ELWs. On the other hand, trading pattern of scalpers is characterized by the short holding period and day trading. Furthermore, order execution time is of important to scalpers and they prefer leverage trading strategy to buy very short-term ELWs, since those ELWs are cheap. Also, scalpers prefer index ELWs, while general investors prefer jongmok ELWs, which underlying asset is an individual stock. These results imply that scalpers and general investors have different trading pattern and investment vehicle.

Key Words: 스캘퍼,알고리즘 매매프로그램,전용선,투자자 매매패턴,Algorithm Trading,Direct Market Access,ELW,ELW(Equity-Linked Warrant),Equity-Linked Warrant,Scalper,Trading Pattern of Investors