분할호가 제출의 목적에 관한 연구: 위탁매매를 중심으로

This study investigates the incentives for strategic order-splitting behavior from the perspective of brokerage traders, while previous studies analyze the order-splitting behavior from the viewpoint of informed traders. In general, informed investors have been known to prefer medium-sized trades, caused by spreading of their orders. Kyle (1985) theoretically demonstrates that informed traders conceal the information through the sequence of trades and Barclay and Warner (1993) empirically argue that they are tend to concentrate in the medium-sized trades, showing that most of the price changes are attributable to medium-sized trades. The reason for spreading trades, however, does not reach consensus in academia. The purpose of the present paper is to test whether there also exists incentives for brokerage traders, who are the main agents of order executions in a financial system, to split the orders under their own decision. Our main findings are as follows: first, order-splitting behavior can, apart from the camouflage of information, arise in an attempt to heighten their performance by reducing the managerial risk through decreasing the gap between the executed price in the market and the demanded price from the clients; second, brokerage traders submit splitted orders not only in the medium-sized category but also in the large-sized category; third, order-splitting can be adopted as a valuable trading strategy for traders at brokerage firms, reducing the managerial cost.