KOSPI 200 지수 편입과 퇴출에 대한 시장의 비대칭적 반응: 투자자 인지 가설에 의한 실증연구

This study empirically examines asymmetric market response following additions and deletions of KOSPI 200 index revision for the sample period of 2001-2008. A prior possible explanation for increase in abnormal return following additions of index drives pressure hypothesis if stocks have a short term downward sloping demand curve, the price should be temporary affected by demand shock. Another prior explanation for price response drives liquidity effect by means of improvement in liquidity (i.e., association with decrease effective spread, decrease in the direct cost of trading). Finally, a third explanation for price response drives form increased awareness in Merton’s (1987) model of market segmentation. In his model, if some investors know only subset of all stocks, and hold and buy trade portfolio they are aware of, those investors will be fully undiversified and require risk premium-shadow cost-for idiosyncratic risk. In this paper, consistent with prior work, using cumulative abnormal return from first trading day following announcement to first trading day before effective day, we find temporary increase and reversal in the price of added stocks but no permanent decrease in the price of deleted stocks. This fact support the price pressure hypothesis that is provided Harris and Gurel(1986), who find reversal of the initial price increase. Further, using alternative measure liquidity costs, such as post-change illiquidity ratio(30,60-days average illiquidity ratio), post-change turnover ratio(30, 60-days average trading turnover), we find no evidence that because of the improvement in the liquidity of added stock be due to decrease in the direct cost of transacting and smaller decline in the asymmetric information, stock price increase. A possible explanation for asymmetric market response following additions and deletions of KOSPI 200 index revision derives from Merton’s market segmentation model. In market segmentation model, investor awareness can increase following a stock’s addition to the KOSPI 200, but awareness does not easily diminish when a stock is deleted from KOSPI 200. Also, we find interesting fact that market response of KOSPI 200 index additions are significantly associated with Merton’s investor recognition hypothesis for firms realized positive cumulative abnormal return from first trading day following announcement to first trading day before effective day. When 2sls(two stage least squares) method is considered for the purpose of controlling endogenous independent variable, the shadow cost(risk premium) has significantly negative relation with cumulative abnormal return. Thus, the increase in the number of shareholders and decrease in idiosyncratic risk around KOSPI 200 additions appears to be the main reason for the relationship between change in shadow cost and abnormal returns. In robust analysis, we check whether post-additions abnormal returns may be a result of price momentum rather than the Merton’s investor recognition change. The observed result suggests that the post-additions abnormal returns are not attributable no momentum.