한국주식시장에서 시장유동성의 결정요인

This paper investigates the time-series characteristics and determinants of market liquidity in the Korean stock market using the intraday data of long time span from April 1993 to December 2004. As measures of market liquidity, I use the equally-weighted averages of quoted bid-ask spread and percentage quoted bid-ask spread of all firms in the market. The daily percentage change of market liquidity has substantially large variation from 7% to 9% and shows strong negative autocorrelation. The increase in short interest rate and default spread causes the decrease in market liquidity significantly. Market return (KOSPI return) is significantly related to market liquidity, which responds asymmetrically to contemporaneous market movement. Market liquidity decreases much more in down markets than it increases in up markets. In the day-of-the-week effect, market li-quidity is the highest in Monday and then decreases gradually. Foreign investors’ investment shows the significant relationship with market liquidity in Korea. Additionally, I examine the market liquidity during the Korean financial crisis period starting from 1997. The effect of market return (KOSPI return) is the most apparent. Market liquidity decreases dramatically in down markets. Furthermore, it decreases in up markets, which shows that Korea experiences a severe liquidity dry-up during the financial crisis. The effect of foreign investor’s investment becomes insignificant in this period.