주식시장에서 프로그램 매매를 이용한 불공정 거래의 개연성에 대한 연구

By focusing on the program trade such as the index arbitrage and non arbitrage for the 1,946 trading days between 2014 and 2020 in 801 types, this paper analyzes the possibility of price manipulation from trader’s price predictability. The following four conclusions are used the results of its empirical analysis. Firstly, there is a significant positive relationship between simultaneous bids & offers and order price shock. More specifically, non arbitrage traders have an intention to raise the expected closing price at the close. Secondly, non arbitrage traders show he ability of price predictability from the significant positive relationship between accumulated abnormal return and limit orders in the last 10 minute of the closing market. Thirdly, both of arbitrage and non arbitrage traders have an intention to submit the best possible limit order to make the stock price to their own advantage. The arbitrage traders show the possibility of price manipulation from submitting a large scale of selling limit order, whereas non arbitrage traders show such a tendency from submitting a large scale of purchasing limit order in expiration day. Finally, the arbitrage traders show a significant increase in distinctly low priced limit sale orders, whereas non arbitrage traders show a significant increase in distinctly high priced limit purchase orders in expiration days. And both of limit orders are concentrated in the last 10 minutes of the closing market.