주식대차거래와 자본시장 유동성

Our study investigated whether the trading through stock lending and borrowing affects the capital market liquidity in Korea. To achieve this goal, we utilized the daily database of the stock lending and borrowing, short selling, as well as KOSPI for the period of 24 months from January 2, 2008 to December 30, 2009. We adopted the Amihud(2002)'s methodology to measure market liquidity that is widely used as a measure of illiquidity these days. Our findings are as follow. Firstly, the results based on ANOVA analyses show that the impact to degree of liquidity was significant in the portfolios of most frequent trading through stock lending & borrowing, in which the liquidity difference is statistically significant comparing to the other portfolios at 1% critical level. Secondly, the Granger causality test reveals that foreign investors in Korea actively use stock lending and borrowing transaction in order to support their program trading or short selling as a means of their investment strategy. Thirdly, we observed significantly positive impact of foreign investors' selling as well as foreign investors' buying to the market liquidity was very significant during bull market periods, while it became insignificant during bear market periods. Fourthly, the impulse-response test shows that the impact to the stock market liquidity was most significant in the cases of foreign investors' trading than stock lending and borrowing transaction.