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ELW »óÀå ¹× ÆóÁö°¡ ±âÃÊÀڻ꿡 ¹ÌÄ¡´Â ¿µÇâ

  • ÀÌÁؼ­ µ¿±¹´ëÇб³ °æ¿µ´ëÇÐ °æ¿µÇаú
ÃÖ±Ù ±¹³» ÀÚº»½ÃÀåÀº ¾çÀû ÁúÀû ¼ºÀåÀ» °ÅµìÇϸ鼭 ÆÄ»ý»óÇ°ÀÌ °áÇÕµÈ »õ·Î¿î Çü ÅÂÀÇ ±ÝÀ¶»óÇ°À» ÀÕ´Þ¾Æ ¼±º¸ÀÌ°í ÀÖ´Ù. ÀÌ·¯ÇÑ ÆÄ»ý°áÇÕÁõ±Ç Áß Áö³­ 2005³â 11¿ù ºÎÅÍ ÆǸŵDZ⠽ÃÀÛÇÑ ÁֽĿö·±Æ®Áõ±Ç(ELW)Àº ºÒ°ú ¹ßÇà 1³â ¸¸¿¡ ÀÏÀÏ °Å·¡´ë±Ý ±âÁØÀ¸·Î ¼¼°è 4À§ÀÇ ½ÃÀåÀ» Çü¼ºÇÏ´Â µî ºñ¾àÀûÀÎ ¹ßÀüÀ» °ÅµìÇÏ°í ÀÖ´Ù. ÀÌ¿¡ µû¶ó º» ³í¹®¿¡¼­´Â ½ÃÆÇ ÈÄ 1³â µ¿¾È ¹ßÇàµÈ ELW¸¦ ´ë»óÀ¸·Î ÄÝ ELWÀÇ »óÀå ¹× »óÀå ÆóÁö°¡ ±âÃÊÀÚ»êÀÇ °¡°Ý, °Å·¡·® ¹× °¡°Ýº¯µ¿¼º¿¡ ¹ÌÄ¡´Â ¿µÇâÀ» ºÐ¼®ÇÑ´Ù. ¿¬±¸°á°ú ELWÀÇ ¹ßÇàÁ¶°ÇÀ» °áÁ¤ÇÏ´Â ½ÃÁ¡¿¡ ±âÃÊÀÚ»êÀÇ °¡°Ý°ú °Å·¡·®ÀÌ Áõ°¡ ÇÏ´Â ¡®ÇòÁöÈ¿°ú¡¯°¡ °üÂûµÇ¾úÀ¸¸ç »óÀåÀÏ ÀÍÀÏ°ú »óÀå ÈÄ 4¢¦6ÀÏ¿¡ °¡°Ý°ú °Å·¡·®ÀÌ Áõ°¡ÇÏ´Â ¡®½Åȣȿ°ú¡¯µµ ¹Ì¾àÇÏ°Ô Á¸ÀçÇÏ´Â °ÍÀ¸·Î Á¶»çµÆ´Ù. ¶ÇÇÑ ¸¸±â¿Í °ü·ÃÇؼ­´Â ¿Ü°¡°Ý ELWÀÇ °æ¿ì »óÀåÆóÁöÀÏ ÀÌÀü¿¡´Â µÎ Â÷·Ê¿¡ °ÉÃÄ ±âÃÊÁÖ½ÄÀÇ °¡°ÝÀÌ Ç϶ô ÇÏ´Ù°¡ ÀÌÈÄ¿¡´Â »ó½ÂÇÏ´Â Ãß¼¼¸¦ º¸¿´À¸¸ç ³»°¡°Ý ELWµµ »óÀåÆóÁöÀÏ Á÷Àü¿¡ ±âÃÊ ÁÖ½Ä °¡°ÝÀÌ ¼ÒÆø Ç϶ôÇÏ´Â Çö»óÀ» º¸¿´´Ù. ÀÌ¿Í ÇÔ²² ±âÃÊÀÚ»ê °¡°Ýº¯µ¿¼ºÀº »óÀå ÈÄ°¡ »óÀå Àüº¸´Ù, »óÀåÆóÁö ÀüÀÌ ÆóÁö Èĺ¸´Ù ³ô°Ô ³ªÅ¸³ª ELW »óÀå±â°£ Áß¿¡ ±â ÃÊÀÚ»êÀÇ º¯µ¿¼ºÀÌ Å« °ÍÀ¸·Î ¹àÇôÁ³´Ù. ÀÌ °°Àº ¿¬±¸°á°ú´Â ±âÁ¸ÀÇ ¿Ü±¹¹®Çå °á°ú ¿Í »ó´çÇÑ Â÷À̸¦ º¸ÀÌ´Â °ÍÀ¸·Î ±¹³» ELW ½ÃÀåÀÌ ¾ÆÁ÷ ½ÃÇà Ãʱâ¶ó ¿©·¯°¡Áö Á¦ µµÀûÀÎ ¹ÌºñÁ¡À» °®°í Àֱ⠶§¹®ÀÎ °ÍÀ¸·Î ºÐ¼®µÈ´Ù. º» ¿¬±¸´Â ±¹³»¿¡¼­ ELW °ü·Ã ÃÖÃÊÀÇ ¿¬±¸¶ó´Â Á¡¿¡¼­ ±× Àǹ̰¡ ±í´Ù°í ÇÒ ¼ö ÀÖ´Ù. º» ¿¬±¸°á°ú¿Í ¿Ü±¹ ¹®Ç忬±¸ °á°ú¿ÍÀÇ Â÷ÀÌ ºÐ¼®À» ÅëÇØ ÇöÇà ELW °Å·¡Á¦µµ ÀÇ ¹®Á¦Á¡À» ÁöÀûÇÏ¿© µµÀÔ´Ü°è¿¡ ÀÖ´Â ELW ½ÃÀåÀÇ ¾ÈÁ¤ÀûÀÎ Á¤Âø¿¡ µµ¿òÀ» ÁÙ ¼ö ÀÖÀ» °ÍÀ¸·Î ±â´ëÇÑ´Ù. ¶ÇÇÑ º» ¿¬±¸´Â ÇâÈÄ ELW °ü·Ã ¿¬±¸ÀÇ ½Åȣź ¿ªÇÒÀ» ÇÏ¿© ÁÖ°¡Áö¼ö ¼±¹°À̳ª ¿É¼Ç¿¡¸¸ ÇÑÁ¤µÇ¾î ÀÖ´Â ±¹³» ÆÄ»ý»óÇ°¿¡ ´ëÇÑ ¿¬±¸ ´Ùº¯È­¿¡µµ ±â¿©ÇÒ °ÍÀ¸·Î ±â´ëÇÑ´Ù.
ÁֽĿö·±Æ®Áõ±Ç(ELW),±âÃÊÀÚ»ê,ÇòÁöÈ¿°ú,½Åȣȿ°ú,¸¸±âÈ¿°ú

Infroduction and Expiration Impacts of Equity Linked Warrant(ELW) on Underlying Assets

  • Junesuh Yi
Similar to the derivative warrant or covered warrant, the equity linked warrant (ELW) market has been rapidly growing since its first appearance on December 2005 in Korea. The Korean ELW market is now ranked fourth in the world with 1,300 listed ELWs and 300 billion dollars of daily dollar trading volume within one year upon debut. A rich variety of hybrid derivative linked securities (DLS) has been witnessed and the importance of DLS more stressed for the developed and increased capital market. One of the most interesting topics is to examine the effect of several types of DLS issuance or repurchase on its underling assets. Out of the various DLS, this paper investigates on the price, volume, and volatility effects of underlying stocks around the introduction and expiration date of ELW, very popular DLS in Korea. The study finds the delta hedge effect that the price and volume of underlying stocks increase on or prior to the date when the term and conditions of ELW issuance is determined, and the short-term signaling effect that the price and volume of underlying stocks increase a day after ELW introduction. With respect to the expiration of ELW, it is shown that the price of underlying stocks goes down before the expiration date and goes up after the date of out-of-the money ELW, and that the price of underlying stocks decreases a little bit around the expiration date for in-the-money ELW. In addition, the price of underlying stocks shows higher volatility during ELW list periods rather than before the introduction or after the expiration date. The results of this paper demonstrate somewhat different pictures, compared to those of the previous literatures. The reasons may be explained that the Korean ELW market has not been settled down yet. Therefore, the paper is short of perfection on the ELW trading system, which should be improved. The current system does not allow physical settlement on the expiration of ELW and bid-ask quota for a liquidity provider within 30 days before expiration date. Also, most issuers play a role of the liquidity provider and the time gap is only 2 or 3 days between the announcement and introduction dates. The paper makes some contribution in the sense that it is the first study of ELW in Korea. The paper reveals some imperfection through comparison of the results of this paper to those of the previous literatures. This will help the ELW market to completely settle down in Korea. The paper also could trigger the various studies with respect to ELW, for instance on the development of ELW price determination model or the factor analysis of price.
Equity Lined Warrants (ELW),Underlying Assets,Delta Hedge Effect,Signaling Effect,Introduction and Expiration Effects