국내 개별주식선물시장의 활성화 방안에 관한 연구

This study analyzes the effects of the introduction of single stock futures on the currently listed single stock futures stocks in order to revitalize the domestic single stock futures market and suggest various investment strategies. To do so, we utilized Propensity Score Matching (PSM) and Difference in Differences (DID) methods. The results show that the differences in characteristics between listed and unlisted firms in single stock futures are as follows: first, spreads are lower for listed firms than for unlisted firms. This implies that the difference between the bid and ask prices is narrower, which increases market efficiency. Second, volatility was lower for listed companies than for unlisted companies. This shows that the listing of single stock futures contributes to the stability of stock prices. On the other hand, there was no significant difference in trading volume. This suggests that investors can expect lower spreads and volatility when choosing single stock futures listed companies. We also analyzed the impact of listing single stock futures on the trading volume, spreads, and volatility of the underlying stocks by comparing the pre- and post-listing periods, and found that listing single stock futures reduced the spreads and volatility of the underlying stocks. There was no significant change in trading volume. These results suggest that the listing of single stock futures can improve the efficiency and stability of the stock market and provide a better trading environment for investors.