과세제도 정책 변경으로 인한 프로그램 매매의 영향력 및 투자자 거래행태의 구조적 변화: 코스피 시장에 대한 실증분석

In 2010, the change of the tax policy for public offering fund in the KOSPI marketrapidly increases the ratio of nation/local government investors in arbitrage trading. Thispaper analyses structural changes and the characteristics after the tax policy change byexamining the impact of program trading on return volatility and trading behaviors ofinvestors in the KOSPI market. Results of EGARCH models support the positive relationshipbetween program trading and volatility, and, compared to non-arbitrage trading,arbitrage trading has a stronger impact on volatility. After the tax policy change, theinfluence of program trading on both daily and intraday volatility diminishes. Especially,for the 30-minute intraday volatility, the impact of both arbitrage and non-arbitragetrading decreases. Results of VAR analysis show that nation/local government investorsconcentrate on a short-term arbitrage trading, and their dependency on futures trading offoreign investors is stronger than that of institutional investors. Due to these characterristicsof nation/local government investors, selling futures of foreign investors can triggerthe reverse cash-and-carry trading, and the trigger effect increases after the tax policychange.