한국증권시장에서의 기술적 거래와 해외정보전이

In this paper, a technical trading rule is designed to exploit the daily information flow from the NYSE to the Korea stock market. An investor in the Korea stock market takes a long position at the closing market. At the opening market of the next day, the investor liquidates his position automatically if the NYSE ends up with a rise higher than a prespecified level the investor has set in his trading strategy. If the NYSE fails to rise above the level, the technical trader passes the opening market, and waits for a sell opportunity to liquidate his position in the daytime market. If the daytime market succeeds in rising above a prespecified target level, the trader instantaneously grasp the prespecifed target profit in the continuous auction market. The investment result of the technical trading on the spilled information is quite impressing. The trading strategy yields significantly positive gross return, far higher than the simple buy-and-hold position. The gross return net of trading taxes is not positive in general. If the current indirect trading tax were replaced with direct capital gain tax, however, it would be large enough to cover the brokerage fee and still leave ample profit to the technical trader. The size and stability of excess return observed in the whole sample period of 10 years were not found in one-year subsamples. At least four of 10 subsamples do not show significantly positive excess return. The technical trading rule does not seem to be as effective in the short-term investment horizon of one year as in the long-term horizon of ten years. Therefore, it can be inferred that the Korea market does not easily allow for the excess return opportunity with respect to the spilled information from abroad and thus maintains economically informational efficiency.