| Structural Changes in Investors` Trading Behaviors and Impact of Program Trading after the Tax Policy Change: Empirical Evidence from the KOSPI Market |
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Yong Jun Yang, Yeon Sik Jang |
| 과세제도 정책 변경으로 인한 프로그램 매매의 영향력 및 투자자 거래행태의 구조적 변화 |
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양용준, 장연식 |
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| Abstract |
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In 2010, the change of the tax policy for public offering fund in the KOSPI market rapidly increases the ratio of nation/local government investors in arbitrage trading. This paper analyses structural changes and the characteristics after the tax policy change by examining the impact of program trading on return volatility and trading behaviors of investors in the KOSPI market. Results of EGARCH models support the positive relationship between program trading and volatility, and, compared to non-arbitrage trading, arbitrage trading has a stronger impact on volatility. After the tax policy change, the influence of program trading on both daily and intraday volatility diminishes. Especially, for the 30-minute intraday volatility, the impact of both arbitrage and non-arbitrage trading decreases. Results of VAR analysis show that nation/local government investors concentrate on a short-term arbitrage trading, and their dependency on futures trading of foreign investors is stronger than that of institutional investors. Due to these characterristics of nation/local government investors, selling futures of foreign investors can trigger the reverse cash-and-carry trading, and the trigger effect increases after the tax policy change. |
| Key Words:
구조적 변화,변동성,차익거래,투자 주체,프로그램 매매,Arbitrage Trading,Investors` Behavior,Program Trading,Structural Changes,Volatility |
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