코스피200 파생상품 거래승수 인하의 시장 유동성에 대한 영향력 분석

This study implemented the impact of trading multiplier reduction of KOSPI 200 derivatives on the liquidity and it’s determinants. The main empirical analysis results of this study can be summarized as follows. First, the trading volume in the period after the multiplier reduction was expanded in the mini futures market, while the volume before the multiplier reduction in other derivatives was stagnated or rather decreased. In addition, the foreigners’ trading dominated institutions or individuals during the period after the multiplier was reduced. Considering the constraints of individual investors in accessing the derivatives compared to institutions or foreigners, multiplier reduction has a lower direct effect on the liquidity of individual investors. Second, it was found that the foreigners’ trading leads other investors due to the result of an increase in foreigners’ trading size during the period after the multiplier reduction. Third, arbitrage trading and ETF were the main factors in which the impact linked to the liquidity of derivatives markets increased during the period after the multiplier reduction.