국내 주식시장의 시장충격비용 및 결정요인 분석

This study empirically investigates the market impact costs and examines the relationship between potential influence factors and the market impact costs in the Korean stock market. With the tremendous growth of the high frequency trading (HFT) in the stock and derivative markets and the introduction of alternative trading system (ATS) in Korea, the attention on market impact costs is also heightened. Using a comprehensive data including all orders and transactions over a one-and-a-half-year period (January 2012 to June 2013) for all the stocks listed on the KSE and KOSDAQ markets, we measure market impact costs and analyze its determinants. Some of the most important findings are as follows. First, the market impact cost, which is implicit cost, is higher than explicit costs such as trading tax and fees. Second, the market impact cost in the KSE market is higher than in the KOSDAQ market. In an additional test, we find that it is because most of the preferred stocks- which have much higher market impact costs than common stocks- are included in the KSE market. Third, the market impact cost of a buy order has negative relationship with the market condition, while that of a sell order has positive relationship with the market condition. Lastly, we find that volatility, number of transactions and trading volume per transaction plays important roles in the market impact costs