파생금융상품시장의 증거금률 변경이 주식시장에 미치는 영향

This paper investigates the effects of changes in margin rates on volatility, liquidity, and direction of the Korean stock markets. The decrease in margin rates in October 2010 increased the volatility of stock return rates, while the increase in margin rates in October 2011 decreased the volatility of stock return rates. Two more changes in margin rates, however, had nothing to do with stock return rates. On the other hand, the changes in margin rates have continuously affected the liquidity of stock markets. But the effect of changes in margin rates on stock market liquidity in April 2013 was somewhat different from the effects of earlier changes in margin rates. Hence it is not easy to formulate the relationship between changes in margin rates and stock market liquidity. And the changes in margin rates have hardly affected the direction of stock markets. Summarily, the effects of changes in margin rates on stock markets are getting weaker as time goes by. It is because the size of stock markets are getting bigger and because the investment techniques of derivatives are getting complicated. At the same time the stock investors are immune to the changes in margin rates nowadays.