프로그램매매 중단장치가 주식시장의 정보비대칭에 미치는 영향

In this paper, we examine the effect of the program trading halt system (sidecar) on information asymmetry. To test this issue, we analyze the changes in spreads and price impact before and after the sidecar event using the intraday data of the Korean securities market. Our empirical results can be summarized as follows: Firstly, we find that quote spreads and effective spreads in the post-halt period decrease significantly following the halt period. These results indicate that extreme movement of futures market would result in higher transaction costs due to information asymmetry in cash market during the pre-halt period, and sidecar has the effect of reducing information asymmetry in cash market. And, sidecar functions more effectively in down markets than in up markets. Secondly, price impact in the post-halt period decreases dramatically after the sidecar event, suggesting that chance of liquidity demander (informed trader) to enjoy profit diminishes after the sidecar event. Thirdly, in morning session, quote spread and effective spread decrease after the halt period. These changes in spreads are observed till 13:00 p.m. These results show that sidecar functions more effectively in morning session which information asymmetry is relatively higher than in afternoon session. Fourthly, the sidecar has a significant effect on not only index-arbitrage sample but also non-index arbitrage sample. Taken together, our empirical results suggest that the sidecar mechanism in the Korean securities market has a positive function in reducing information asymmetry in cash markets and mitigating the adverse effect of program trading.