옵션 거래승수 인하와 투자주체별 거래 행태 (The Impact of Multiplier Reduction on the Trading Performance in KOSPI200 Option Market)

서지정보

· 발행기관 : 한국재무학회
· 수록지 정보 : 재무연구 / 35권 / 2호 / 148 ~ 191페이지
· 저자명 : 박종원, 엄철준, 장욱, 강병진, 이우백

초록

본 연구는 2017년도에 시행된 파생상품시장의 거래 승수 인하가 코스피200옵션시장 에 참여하는 투자자들의 거래행태에 미친 영향을 실증적으로 분석했다. 이는 2012년 도의 옵션승수 인상과 대비되는 인하의 효과를 검증하여 파생상품시장의 활성화 정책 을 검토할 수 있는 사례이다. 본 연구의 주요한 실증 분석 결과는 다음과 같이 요약할 수 있다. 승수 인하 후 기간에 외국인의 거래 주도력이 강화되어, 기관과 개인보다 지속적으로 우위를 보였다. 투자자별 매매성과에서는 승수 인하 전 기간에 기관의 매매성과가 개인이나 외국인보다 우월했지만, 승수 인하 후 기간에 기관은 대폭적 손실을 입었다. 또한 승수 인하 전 기간부터 손실이 누적된 개인의 열등한 성과는 승수 인하 기간에도 그 손실폭이 더욱 확대되었다. 승수 인하 전 기간에 이익 규모가 낮았던 외국인은 승수 인하 후 기간에는 이익을 향유하였으며, 개인과 기관의 손실과 대비하여 우월한 성과를 보였다. 이같은 결과는 승수 인하에 따라 개인투자자들은 옵션 시장에 대한 거래 접근성이 높아졌지만, 수익성 측면에서는 여전히 열위에서 벗어나지 못했음을 시사한다. 이러한 승수 인하는 기관과 외국인들이 추구하는 옵션 투자전략에 따라 매매 성과에서 차별적 효과를 가져온 것으로 평가된다.

영어초록

This study empirically analyzed the impact of the reduction in the multiplier in the derivative market conducted in 2017 on the trading behavior of investors in the KOSPI 200 option market. The KOSPI 200 option market, which was opened in 1997, has been the world's No. 1 in terms of trading volume since the 2000s, but it has been argued that the market size is too large compared to the GDP level or the market capitalization of the spot market. Accordingly, the financial authorities abolished the KOSPI 200 option purchase-only account from 2011, and from March 2012, the transaction multiplier of options was drastically increased from 100,000 won to 500,000 won. This was intended to reduce speculative transactions in the option market by increasing the transaction multiplier to limit individual investors' barriers to entering the market, as individual investors participating in the market without sufficient prior knowledge of derivatives. The regulation on entry into the option market shifted to an easing policy to reduce the transaction multiplier of KOSPI 200 derivatives to 250,000 won, which is 1/2 of the previous one, after March 2017.
The measure to change the transaction multiplier applied to the KOSPI 200 option in 2012 and 2017 is an important policy example that brought structural changes to the quality level of the market. The effectiveness of the policy due to such a change in the transaction multiplier should be carefully evaluated afterwards in terms of not only the level of liquidity related to the size of the derivative market, but also the behavior of investors participating in the derivative market. This study analyzes the impact of the reduction in the multiplier of KOSPI 200 derivatives, which took effect in March 2017, on the trading behavior of each investor, not the 2012 KOSPI 200 option multiplier event, which previous studies focused on. This is an example of examining the effect of the derivatives activation policy by comparing the effect of the increase in the option multiplier in 2012 and the effect of the reduction in the multiplier in contrast.
The main empirical findings can be summarized as follows: During the period after the reduction of multiplier, foreigners' leadership in trading was strengthened, continuing to outperform the institutions and individuals. The institution's trading performance was superior to that of individuals or foreigners in the period before the reduction of multiplier, but the institution suffered significant losses in the period after the reduction. In addition, the inferior performance of individuals with accumulated losses from the period before the reduction was further worsened during the reduction period. Foreigners who experienced low profits in the period before the multiplier reduction, monopolized profits during the period after the multiplier reduction, and showed superior performance against losses of individuals and institutions. These results suggest that individual investors have increased access to the option market as a result of the multiplier reduction, but still persisted poor performance. Finally, the policy of multiplier reduction can be interpreted to have a differential effect on the trading performance due to the option strategy implemented by institutions and foreigners.
The results of this empirical analysis suggest that individual investors, who have increased access to transactions due to the easing of entry barriers due to the multiplier reduction, are still inferior in terms of trading performance. This is a result of reaffirming that the multiplier change policy consistently with previous studies that reported that individual investors' losses continued despite the strengthening of entry barriers after the 2012 multiplier increase had no significant effect on changes in individual investors' trading behavior.

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