국민연금의 시장충격비용에 대한 연구

This study analyzes the impact of the National Pension System (NPS, hereafter) on the domestic stock market using market impact costs. From July 2008 to June 2018, the market impact cost of the stocks traded by NPS was calculated for all stocks listed on the stock market of the KSE and the KOSDAQ market. The daily market impact cost using daily trading data as in previous studies and the intraday market impact cost using real-time trading data were used. The results are as follows. First, NPS causes a relatively large market impact cost using daily trading data, compared to other market participants. Second, NPS shows relatively high market impact costs compared to individual investors, but relatively small market impact costs compared to investment trust funds, pension funds, and foreign investors. Therefore, NPS adopts a trading strategy that reduces market influence by submitting orders more efficiently than other market participants. Third, market impact costs are small for stocks with high volatility, market cap, and stock price level. In particular, when volatility increases, the market impact cost of NPS tends to decrease, and it is confirmed that the purchase and sale of NPS does not increase market volatility. By market, it can be seen that the market impact cost of selling the stocks in the KOSDAQ market is higher than that of buying the stocks in the KSE market. In the process of reducing the share of domestic stocks in the future management policy of NPS, it is necessary to pay close attention to the market impact cost of KOSDAQ stocks with low market cap and stock price level. Due to the nature of the KOSDAQ market, participation by institutional investors or foreign investors is considered to be a favorable market supply and demand, and the reduction in the proportion of NPS and excessive market impact costs are likely to adversely affect the stock price.