주식시장에서 프로그램 매매를 이용한 시세조종의 개연성에 대한 연구

This paper analyzes the probability of price manipulation of arbitrage and non-arbitrage trading of program trading in several event days by focusing on drawing the items and markings in which have a high probability of manipulation. This study is able to use the results of its empirical analysis to draw the following four conclusion. First, the ratio of suspicious trading against normal trading is rising in four event days such as an expiration day of futures and options, the end of quarter, downgrades of investment opinion by analyst, and disclosure of seasoned equity offerings Second, there is a significant relationship between manipulative order and order imbalance in purchasing trade at the end of the quarter and selling trade before the downgrades of investment opinion and after the disclosure of seasoned equity offerings. Third, the stable U type nonlinear relationship between manipulative order and order imbalance is founded at the end of the quarter, whereas the stable reverse U type nonlinear relationship in two event days such as before the downgrades of investment opinion and after the disclosure of seasoned equity offerings. Finally, there is no evidence of price manipulation trading in individual investors, while there is a clear trend of enlarge of order imbalance from the large scale of manipulative orders in case of institutional and foreign investors. And such a tendency is strong in case of foreign investors’ non-arbitrage selling trade.