주가연계증권의 만기일 효과에 대한 연구

This paper investigates the Korean financial market for the impact of the expiration of a Equity-linked securities on returns, return reversions, and trading volume of the underlying stocks. With the continuation of low interest rates in the financial market, attention on the Equity-linked securities has been heightened. Using the data of Equity-linked securities which established and expired during the period from 2008 to 2013 in the Korean market and a comprehensive transaction data for all the stocks listed on the KSE and KOSDAQ markets, we test the expiration-day effects with examining price movements on expiration days, price reversion after the expiration, and abnormal trading volume on the expiration days. Additionally, we propose several subgroups based on the moneyness of Equity-linked securities. Some of the most important findings are as follows. First, the empirical results indicate that the price effects around the expirations exist with the Equity-linked securities. Specifically, Equity-linked securities which contain two underlying assets with ITM or OTM in expiration days exhibit more severe price movements. Second, prices of underlying stocks are in some degree reversed on the day after the expirations. In addition, we observe the strong price reversions when both of the underlying stocks have been in ITM or OTM status. Third, the portion of the trading volume near the expiration is abnormally greater than the non-expiration days with 1-stock Equity-linked securities.