, 40 34 (2006 12) * 1) *** *** 1 2. : (i) (+) 30 (), 30 (). (ii) (+). (iii),. (iv) 25% 25% 2~3. (v) 5 30,. I.. (technical analysis). Gallant, Rossi and Tauchen(1992) *.. ** ***
34, 40 34, Blume, Easley and O Hara(1994)..,. (random walk),. Easley and O Hara(1987). Karpoff(1987) (1987) (+). (private information) (public information) [Hirshleifer(1971) Hakansson, Kunkel, and Ohlson(1982) ]... upstairs market.,...., 1, 2
35...... (+) (+). Ying(1966),.. (+) Ying(1966). Crouch(1970) (+). Westerfield(1977) (+), Harris(1986) (+).. Epps(1977),. (+).
36, 40 34 Wood, McInish, and Ord(1985)., Morgan(1976) (+) James and Edmister(1983). (1987), (+). (1997) (+).. Campbell, Grossman and Wang(1993) (), Wang(1994) (+). Brennan, Chordia, and Subrahmanyam(1988),,, (1994) () (). Harris and Raviv(1993). (2001).,. -.. James and Edmister(1983). Chordia and Swaminathan(2000)
37,., (2003) - 1997. Kraus and Stoll(1972) Holthausen, Leftwich, and Mayers(1987, HLM).,,,.,. Kraus and Stoll(1972), HLM(1987),. Kraus and Stoll(1972), HLM(1987)., Ying(1966). Campbell, Grossman, and Wang(1993) Wang(1994) HLM(1987).... II IFB/KSE. III. Kraus and Stoll(1972) HLM(1987)
38, 40 34. IV. II. IFB/KSE Transactions Database. IFB/KSE,. 100 1,,,.. 2003 07 2003 12 6 KOSPI.. 1 2 1,. KOSPI 613. 1) (). 1) KOSPI.
39. 2),... 3)., 4). (), (), ()., 2),. 3), ( ). ( ).. 4) bid-ask spread (ln P t / P t-1).
40, 40 34. 1. KOSPI200..... 1,. ()... 3 1,.,.. 5) 1
41 1 1, 1, 5, 10, 15, 30. 6) 1. 2. 7) 2. 1 5,284 2,074(39%), 3,210 (61%). 2,286 994(43%), 1,292(57%).,. 2. 13,641, 13,854. 28,514, 40,531. 5 1 (sample bias). 5). (1993) ( ). 6) (1, 1, 5, 10, 15, 30 ) 1.,. 7).
42, 40 34 2003 7 12 6 KOSPI ( ) 1.,. 1 2 2. (: %) 1 ~3 2,009(39) 3,099(61) 5,108(97) 3 ~5 47(38) 76(62) 123(2) 5 ~7 8(27) 22(73) 30(1) 7 ~10 5(33) 10(67) 15(.) 10 5(62) 3(38) 8(.) 2,074(39) 3,210(61) 5,284(100) 2 ~3 681(43) 894(57) 1575(69) 3 ~5 238(44) 303(56) 541(24) 5 ~7 45(46) 53(54) 98(4) 7 ~10 18(43) 24(57) 42(2) 10 12(40) 18(60) 30(1) 994(43) 1,292(57) 2,286(100) 3,.,. 09 11 2 50%.
43 1,,. () 13,641 13,854 10,335 10,600 () 9,231 8,825 5,570 4,985 () 125,371 142,173 65,200 57,769 () 28,514 40,531 9,235 10,000 () 59,232 51,041 36,100 30,450 () 305,682 304,942 251,560 250,758 1. 376 457 439 414 388 2074 652 680 670 606 602 3210 1028 1137 1109 1020 990 5284 171 226 232 194 171 994 263 269 262 248 250 1292 434 495 494 442 421 2286
44, 40 34 (%) 09:00~09:30 931(17.6) 433(18.9) 361 177 570 256 09:30~10:00 678(12.8) 291(12.7) 274 142 404 149 10:00~10:30 608(11.5) 256(11.2) 258 106 350 150 10:30~11:00 521(9.9) 227(9.9) 196 97 325 130 11:00~11:30 404(7.6) 180(7.9) 144 74 260 106 11:30~12:00 320(6.1) 149(6.5) 123 69 197 80 12:00~12:30 277(5.2) 98(4.3) 115 46 162 52 12:30~13:00 301(5.7) 122(5.3) 101 52 200 70 13:00~13:30 389(7.4) 170(7.4) 162 81 227 89 13:30~14:00 454(8.6) 212(9.3) 180 94 274 118 14:00~14:30 401(7.6) 148(6.5) 160 56 241 92 5,284 2,286 2,074 994 3,210 1,292 III.. 1 1, 5, 10, 15, 30 1, 8) 1 8) 1 5, 10, 15, 30, 1 1, 1, 5, 10, 15, 30.,.
45. 4 (+), 30 (), 30 (). - (bid-ask spread) ( ) (+). (). 9) (+).. 1 ( ) 30., (+) P b (). () 30 (). 10). 1 -. 1-0.15%, -0.28% 0.4~0.5% 9) 1~30-0.07~-0.13% 5, 10 t.. 10), ().
46, 40 34 1, 5, 10, 15, 30 1. 1 (0) 1, 5, 10, 15, 30. t = ln(p t/p 0) (t=0, 1, 5, 10, 30), P 0, P t t. 95%. (: %) (t ) 0 1 5 10 15 30 0 1 5 10 15 30 0.23 (13.85) -0.02 (-1.23) 0.03 (1.03) -0.01 (-0.42) 0.03 (0.88) -0.06 (-1.26) -0.25 (-15.36) -0.15 (-9.66) -0.14 (-6.81) -0.15 (-5.96) -0.16 (-5.92) -0.16 (-4.70) - 0 + (t ) - 0 + 6.89 30.62 62.49 33.08 37.56 29.36 38.81 24.88 36.31 44.21 20.40 35.39 46.24 18.37 35.39 49.18 14.75 36.07 66.45 28.47 5.08 52.12 32.65 15.23 47.38 24.92 27.69 48.13 20.03 31.84 47.94 19.72 32.34 50.19 15.08 34.74 0.23 (13.60) -0.07 (-4.79) -0.04 (-1.28) -0.06 (-1.83) -0.11 (-2.93) -0.13 (-3.29) -0.19 (-17.32) -0.28 (-14.83) -0.23 (-10.54) -0.25 (-9.55) -0.28 (-9.61) -0.29 (-8.29) 7.55 33.30 59.15 35.61 39.24 25.15 42.56 26.66 30.78 45.67 22.13 32.19 47.79 18.81 33.40 49.90 14.89 35.21 59.67 33.59 6.73 55.03 33.13 11.84 51.08 27.24 21.67 52.71 20.28 27.0 51.39 20.05 28.56 50.93 16.87 32.20. 1 5 30.,.
47 P b P p P s P b P p P s P p: P b: P s: (+) Ying(1966), Karpoff(1987), (1987).,., Wood, McInish, and Ord(1985). 1 1, 5, 10, 15, 30. 5 0.5 30., 30.
48, 40 34 ret t = ln (P t/p 0) (t=1, 5, 10, 15, 30), P 0, P t t.,. P. ret0 ret1 ret5 ret10 ret15 ret30 ret0 ret1 ret5 ret10 ret15 ret30 ret0 ret1 ret5 ret10 ret15 ret30-0.6530 (0.0030) -0.0978-0.1177 <.0001-0.1338 <.0001-0.1461 <.0001-0.1787-0.1569-0.1714-0.1630-0.1681-0.0172 (0.3287) 0.5698 <.0001 0.4676 <.0001 0.4035 <.0001 0.3606 <.0001 0.0253 (0.3639) 0.5785 0.5480 0.4770 0.4398-0.1565 0.5467 0.770606 <.0001 0.710652 <.0001 0.622652 <.0001-0.1471 0.4565 0.7129 0.839631 <.0001 0.71366 <.0001-0.0957 (0.0006) 0.5963 0.7706 0.7107 0.6227-0.08740 (0.0017) 0.4850 0.7388 0.8396 0.7137-0.1471 0.4056 0.6054 0.7861 0.794833 <.0001-0.0720 (0.0097) 0.4430 0.6536 0.8038 0.7948-0.1131 0.3482 0.5126 0.6162 0.7227-0.0640 (0.0215) 0.3806 0.5448 0.6459 0.7505. (+) Wang(1994).
49 (temporary effect) (permanent effect) Kraus and Stoll(1972) Holthausen, Leftwich, and Mayers (1987),,. 1 6. 6,. -0.31%, -0.19%. -0.61%, -0.55%. 20% -0.28%( ) -0.29%( ), 50% -1.38% -1.19%., -0.91%, -0.74%. 50% -1.83%.. Kraus and Stoll(1972),, HLM (1987).
50, 40 34 P b P e (=P e/p b), 11) P t-1 P e (=P e/p t-1).,,, 95%. (%) t (%) t -0.31-4.86-0.19-2.41 (20%) -0.10-1.40 (20%) -0.09-1.12 (30%) -0.39-3.38 (30%) -0.59-2.07 (50%) -0.73-3.55 (50%) -0.44-1.24-0.61-11.45-0.55-7.13 (20%) -0.28-4.82 (20%) -0.29-4.06 (30%) -0.63-6.76 (30%) -1.42-6.05 (50%) -1.38-8.14 (50%) -1.19-2.01-0.04-0.62 0.05 0.60 (20%) 0.11 1.59 (20%) 0.10 1.35 (30%) -0.10-0.87 (30%) -0.15-0.57 (50%) -0.34-1.65 (50%) -0.14-0.41-0.91-16.88-0.74-9.53 (20%) -0.51-8.66 (20%) -0.46-6.44 (30%) -0.94-9.94 (30%) -1.71-7.18 (50%) -1.83-10.88 (50%) -1.33-2.26 (2003 7 12 6) 613 10 20%, 30%, 50%. 7. 20% 50% 11) HLM(1987) ln(p b/p e) ln(p e/p b).
51 4. (2003 7~12) 613 10 20%, 30%, 50%. t, 95%. 20% 30% 50% 20% 30% 50% 0 1 5 10 15 30 0 1 5 10 15 30 0.22 (19.34) -0.04 (-3.37) -0.02 (-0.87) -0.06 (-2.33) -0.07 (-2.74) -0.12 (-3.67) -0.23 (-24.12) -0.16 (-15.04) -0.15 (-10.02) -0.14 (-7.97) -0.16 (-7.82) -0.17 (-6.60) 0.29 (14.21) -0.03 (-1.56) 0.03 (0.92) -0.02 (-0.56) -0.08 (-1.85) -0.16 (-3.17) -0.31 (-15.28) -0.23 (-6.88) -0.18 (-4.85) -0.18 (-4.35) -0.19 (-4.75) -0.19 (-4.15) 0.39 (6.79) -0.05 (-1.09) -0.04 (-0.68) 0.01 0.14-0.02 (0.26) -0.14 (-1.35) -0.45 (-12.34) -0.41 (-9.93) -0.34 (-6.74) -0.37 (-6.24) -0.39 (-6.14) -0.43 (-5.76) 0.19 (15.11) -0.05 (-3.96) -0.04 (-1.73) -0.07 (-2.83) -0.09 (-3.14) -0.08 (-2.23) -0.17 (-16.47) -0.19 (-14.09) -0.16 (-9.69) -0.17 (-8.33) -0.21 (-8.39) -0.20 (-6.49) 0.43 (-5.53) -0.11 (-2.44) -0.09 (-1.22) -0.08 (-0.79) -0.24 (-1.99) -0.29 (-2.19) -0.28 (-7.26) -0.50 (-8.42) -0.40 (-5.37) -0.45 (-5.48) -0.49 (-5.19) -0.57 (-5.32) 0.29 ((3.00) -0.13 (-1.49) 0.06 (0.23) 0.05 (0.18) -0.11 (-0.32) -0.31 (-1.23) -0.14 (-4.00) -0.8 (-4.06) -0.64 (-3.12) -0.52 (-2.19) -0.51 (-2.13) -0.54 (-1.84) (%). 0.1%... -0.16% -0.8% 4
52, 40 34,. 4.,.. 8 5 (0), 5 30 ().. 30%,.., (),. 8 2, 5. (+). Chordia, Roll, and Subrahmanyam(2002).
53 1 2 5 ( -) 0, 5 30. 10. t, 95%. (: ) 20% 30% 50% 20% 30% 50% 0 274 (4.98) 5 237 (4.50) 10 239 (3.70) 15 241 (3.20) 20 224 (2.74) 25 228 (2.76) 30 225 (2.57) 0-162 (-7.62) 5-147 (-8.07) 10-163 (-7.84) 15-179 (-8.25) 20-192 (-8.59) 25-205 (-8.81) 30-221 (-9.27) 551 (4.24) 478 (3.95) 486 (4.01) 500 (4.09) 460 (3.56) 481 (3.69) 512 (3.85) -182 (-2.71) -171 (-2.86) -204 (-3.03) -235 (-3.38) -255 (-3.60) -278 (-3.80) -306 (-4.13) 110 (1.70) 77 (0.96) 28 (0.21) 23 (0.13) 6 (0.03) -1 (-.01) -33 (-.15) -181 (-7.65) -166 (-10.14) -184 (-9.47) -199 (-8.85) -215 (-8.60) -227 (-8.37) -241 (8.18) 178 (2.14) 171 (2.48) 214 (2.78) 214 (2.58) 217 (2.60) 216 (2.58) 209 (2.48) -131 (-12.23) -115 (-14.90) -115 (-12.36) -121 (-12.19) -127 (-12.13) -133 (-11.94) -142 (-12.27) 1,639 (0.72) 2,381 (0.97) 2,496 (0.98) 2,195 (0.84) 1,399 (0.52) 1,058 (0.39) 9918 (0.35) -4,345 (-2.19) -3,486 (-4.10) -3,929 (-4.78) -4,952 (-4.90) -5,616 (-5.28) -5,965 (-5.49) -5,911 (-5.25) 429 (1.36) 844 (4.90) 872 (4.83) 905 (4.78) 833 (4.33) 817 (4.18) 859 (4.19) -352 (-1.69) -844 (-5.05) -954 (-5.09) -1,065 (-5.28) -1,217 (-5.41) -1,331 (-5.51) -1,422 (-5.59) 5,172 (0.60) 6,617 (0.71) 6,781 (0.70) 6,364 (0.64) 3,563 (0.35) 2,251 (0.22) 1,911 (0.18) -6,384 (-1.47) -5,533 (-4.76) -7,080 (-4.95) -10,180 (-3.95) -12,583 (-4.36) -13,656 (-4.50) -13,232 (-4.06) -68 (-0.02) 1,041 (0.70) 1,700 (0.94) -928 (-0.39) -1,061 (-0.44) -880 (-0.35) -935 (-0.37) -31,095 (-1.50) -18,725 (-1.86) -18,115 (-1.98) -19,583 (-2.14) -18,469 (-2.06) -18,270 (-2.08) -18,286 (-2.13), ().
54, 40 34 0-50 누적주문불균형 - 매도주도 ( 거래량기준 ) 0 5 분 10 분 15 분 20 분 25 분 30 분 ( 매수 - 매도, 천주 ) -100-150 -200-250 -300-350 시간 전체상 (20%) 중 (30%) 하 (50%) 8 () ( 12) -). IV. 1 2., 1 (+), 30 (). (+) ().., 1, 30 (). 12) - 30.
55,.,.,,., 30.,, Kraus and Stoll(1972) Holthausen, Leftwich, and Mayers(1987),,., Kraus and Stoll(1972)., 30, 5..,...,.,
56, 40 34., 2003,..,.,..,., (1997),, 14, pp. 1-21.,, (2001),, 29, pp. 87-115.,, (2003), -, 32, pp. 105-139., (1993), :, 6, pp. 1-31., (1987), -, 9, pp. 309-336.,,, (1994),, 16, pp. 513-525. Blume, L., D. Easley and M. O Hara, (1994), Market Statistics and Technical
57 Analysis: The Role of Volume, Journal of Finance 49, pp. 153-181. Brennan, M.J., T. Chordia, and A. Subrahmanyam, A. (1998), Alternative Factor Specifications, Security Characteristics and the Cross-section of Expected Stock Returns, Journal of financial Economics 49, pp. 345-373. Campbell, J.Y., S.J. Grossman and J. Wang, (1993), Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics 108, pp. 905-940. Chordia, T., Roll, R., Subrahmanyam, A., (2002), Order imbalance, Liquidity, and Market returns, Journal of financial Economics 65, pp. 111-130. Chordia, T. and Swanminathan, B. (2000), Trading volume and Cross-autocorrelations in Stock Returns, Journal of Finance 55, pp. 913-935. Conrad, J., S.A. Hameed, and C. Niden, (1994), Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance 49, pp. 1305-1329. Crouch, R.L. (1970), A Nonlinear Test of the Random-walk Hypothesis, American Economic Review 60, pp. 199-202. Easley, D. and M. O Hara, (1987), Price, Trade Size, and Information in Securities Markets, Journal of Financial Economics 19, pp. 113-138. Epps, T.W., (1977), Security Price Changes and Transaction Volumes: Some Additional Evidence, Journal of Financial and Quantitative Analysis 12, pp. 141-146. Gallant, A.R., P.E. Rossi, and G. Tauchen, (1992), Stock Prices and Volume, Review of Financial Studies 5, pp. 199-242. Hakansson, N., J. Kunkel, and J. Ohlson, (1982), Sufficient and Necessary Conditions to Have Social Value in Pure Exchange, Journal of Finance 37, pp. 1169-81. Harris, L. (1986), Cross-Security Tests of the Mixtures of Distribution hypothesis, Journal of Financial and Quantitative Analysis 21, pp. 39-46. Harris, M., Raviv, A. (1993), Differences of opinion make a horse race, Review of Financial studies 6, pp. 473-506. Hirshleifer, J. (1971), The Private and Social Value of Information and the Reward to
58, 40 34 Inventive Activity, American Economic Review 61, pp. 561-74 Holthausen, R., R. Leftwich and D. Mayers (1987), The Effect of Large Block Transactions on Security Prices, Journal of Financial Economics 19, pp. 237-268. James, C. and R.O. Edmister (1983), The Realtion between Common Stock Returns Trading Activity and Market Value, Journal of Finance 38, pp. 1075-1086. Karpoff, J.M. (1987), The Relation between Price Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Analysis 22, pp. 109-126. Kraus, A. and H. Stoll (1972), Price Impacts of Block Trading on the NEW York Stock Exchange, Journal of Finance 27, pp. 569-588. Morgan, I.G. (1976), Stock prices and Heteroscedasticity, Journal of Business 49, pp. 496-508. Wang, J. (1994), A Model of Competitive Stock Trading Volume, Journal of Political Economy 102, pp. 127-168. Westerfield, R. (1977), The Distribution of Common Stock Price Changes, Journal of Financial and Quantitative Analysis 12, pp. 743-765. Wood, R.A., T.H. McInish, J.K. Ord (1985), An Investigation of Transactions Data for NYSE Stocks, Journal of Finance 40, pp. 723-739. Ying, C.C., (1996), Stock Market Prices and Volume of Sales, Econometrica 34, pp. 676-686.
59 The Effects of High-volume Stock Trades on their Returns and Order Imbalances 13)Won Seok Kang** Jaeho Cho** This paper examines the effects of high-volume trades on their returns and order imbalances in the Korean stock market, where a high-volume trade is defined by a trading volume exceeding 10,000 shares or 200 million won. Having computed log-returns and order imbalances before and after high-volume trades, we find the following evidences: (i) Returns on buyer-initiated transactions were positive before the trades but continued to be negative for 30 minutes after the trades, whereas returns on seller-initiated transactions were all negative throughout the period before and after the trades. (ii) Returns after high-volume trades showed a positive autocorrelation. (iii) Buyer-initiated trades had temporary price effects only while seller-initiated trades had both temporary and permanent price effects. (vi) After the trades, absolute values of returns on small-firm stocks were 2~3 times as high as those on large-firm stocks. (v) After the trades, absolute values of cumulative order imbalances showed no pattern in the buyer-initiated case but kept increasing in the seller-initiated case. Keywords: high-volume trade, buyer(seller)-initiated transaction, temporary (permanent) price effect, order imbalance *Korea Military Acacemy **College of Business Administration, Seoul National University