KOSPI200 주가지수 옵션의 거래승수 변경이 거래량과 투자자별 비중에 미치는 개입효과

The purpose of this study is to analyze the effect of multiplier change on trading volume and investors weight of KOSPI200 stock index options using intervention model. The results of the empirical analysis are as follows. First, as a result of analyzing the difference between the option trading volume and the investors‘ weight according to the trading multiplier change, in the case of trading volume, when the option multiplier was increased(lowered), foreigners, individuals, and institutions in order significantly decreased(increased). In the case of investors weight, as the option multiplier changed, weight of foreigners increased while that of institutions decreased. And the weight of individual increased when the option multiplier was increased, and decreased when the option multiplier was reduced. Second, there was no unit root in the time series data of trading volume, individual and foreign investor weight of the KOSPI200 stock index options and it was confirmed to follow the ARIMA (p=1, d=0, q=0) process. Third, as a result of the analysis using the intervention model, trading volume of KOSPI200 option decreased significantly by the increase of option multiplier, on June 15, 2012. In particular, it is confirmed that the reduction has an abrupt and permanent pattern of the step function. Moreover, when the intervention effect is analyzed with the difference of weight between and individual investors and foreign investors, it is found that the proportion of foreign investors is increased due to the increase of the option multiplier. However, the trading volume of the KOSPI200 stock index option due to the option multiplier cut on March 27, 2017 were not significant. The difference in the proportion of individual investors and foreign investors was found to have the intervention effect.