사이드카가 주식시장에 미치는 효과

We investigate the effects of the sidecar on price discovery, volatility and information asymmetry of the stock market using intraday trades and quotes data of the KRX and KOSDAQ between May 11, 2001 and March 31, 2009. We find that a sidecar delays the normal price discovery process through arbitrage program trading. Considering our empirical findings that arbitrage program trading affects stock returns significantly, that price reversals do not appear after the activation of a sidecar, and that the proportion of program trading does not diminish after the sidecar kick of , ne conjecture that the price change around the execution of a sidecar comes not from the investors' overreaction but the real information. However, non-arbitrage program trading does not have a substantial impact on stock returns. We also find that the sidecar stabilizes the stock market by reducing volatility and quoted spreads. But there is no differential effect between the sample with positive program-buying pressure and the sample with negative program-buying pressure. It implies that the stabilizing effect of a sidecar is brought about not by suspending volatility transmission through program trading but by warning about the rapid price movement and quieting the investors' sentiment. The proper function of the sidecar was most evident in October and November of 2008 when it was executed frequently. In the case of the KOSDAQ, program trading has a limited impact on stock returns because program trading is scant. Nevertheless, we find some evidence of a stabilizing effect from the sidecar that reduces volatility after it has been triggered.