정보와 주가변동성 : 한국증권시장에 대한 실증연구

The effect of information on stock return volatility has long been a debatable issue particularly among academic circles ever since the publication of the pioneering work by French and Roll (1986). Their research on stock return behaviors in the New York Stock Exchange (NYSE) reveals that stock return volatility during the trading time period is significantly higher than that during the non-trading time period. They suggest that this greater volatility demonstrated during the trading time period is principally due to private information. In succeeding the research by using the data from the Tokyo Stock Exchange (TSE), Barclay et al.(1990) has also indicated that private information is a main determinant factor of stock return volatility. While an extensive analysis of the effect of information flow on stock return volatility in the global markets is available, only a few research results exist for the Korea Stock Exchange (KSE). Moreover, the extant studies focused merely on the stock return volatility in light of market microstructure of the KSE, and concluded that the unique microstructure features of the KSE were not likely to be the cause of stock return volatility. Therefore, in this study we took a closer look at the KSE with the purpose of analyzing the behavior of stock return volatility computed from the opening and closing prices of KSE stocks and of examining the relevancy of the information to the difference in volatility between the trading and nontrading periods. Specifically, this paper analyzes the ratios of variances of trading period (open-to-close) relative to nontrading period (close-to-open) returns. In addition, this paper examines the impact of global trading of cross-listed Korean stocks on the return volatility during nontrading periods. The sample used in this study includes 100 stocks listed on the KSE and covers the period from January 5, 1998 to August 22, 2000. A few microstructure changes in the KSE have occurred during the sample period. To name a couple are the termination of the Saturday trading session in December 1998 and the abolition of the lunchtime break in May 2000. Taking into account these institutional changes that took place in the KSE, this paper investigates the correlation between the trading hours and stock return volatility and the cause of the higher volatility during trading periods. Main findings of this paper are as follow: First, the variance of stock returns is much higher when the market is open. That is, the trading time effect on stock return volatility exists in the KSE. Second, this higher volatility during trading periods in the KSE is mainly influenced by private information. Thus, the evidence found in the Korean stock market supports the explanation proposed by French and Roll(1986), Barclay et al.(1990), both indicating that private information is the main determinant of the higher volatility during a trading period. Third, this study finds the following correlation: the longer intra-day trading hours, the higher stock return volatility. Yet, the study also reveals that the impact of trading during lunchtime on stock return volatility is not significant. Fourth, the global trading of cross-listed Korean stocks does not affect stock return volatility during a nontrading period of the KSE. This result may be attributed to the insufficient trading volume of the cross-listed stocks in the global market.