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만기일 효과에 지수차익거래의 영향 : 정상거래인가? 연계시세조종인가?

  • 양철원 단국대학교 경영학부 부교수
  • 유지연 인천지방검찰청 부천지청 검사
본 논문은 지수선물?옵션 만기일에 지수를 구성하는 주식의 종가 결정에 있어서 프로그램 지수차익거래를 이용한 연계시세조종행위 여부에 대해 논의한다. 연구는 두 방향으로 진행하였다. 첫째, 법률적 측면에서 연계시세조종 행위를 검토한 후 최근 쟁점이 되고 있는 연계시세조종행위 성립요건 중 ‘목적의 존재’에 대해 만기일 지수차익거래와 연관하여 논하였다. 둘째, 재무학적 측면에서 연계시세조종 목적의 존재를 입증할 수 있는 가설을 설정하고 이를 검증하였다. 이 실증분석은 선물포지션을 가진 투자자가 만기일에 현물 종가를 조작하는 연계시세조종을 통해 이익을 추구하는 전략이 시장균형 상태로 존재할 수 있음을 제시한 Kumar and Seppi(1992)의 모형을 한국시장을 통해 검증하는 의미도 있다. 만기일 종가 동시호가 시간대의 주문자료를 분석한 결과, 경제적 합리성이 결여된, 예상체결가격보다 현저히 낮은 지정가 매도주문이나 높은 매수주문이 만기일에 유의하게 증가함을 발견하였다. 지정가 주문은 종가 결정 직전 마지막 1분 시간대에 집중되었다. 또한 지수차익거래 주문은 동일 시간대의 다른 정상주문보다 예상체결가를 변화시키는 가격충격이 훨씬 컸다. 이런 결과들은 선물?옵션 만기일에 연계시세조종을 의도하는 지수차익거래가 존재함을 암시하며, Kumar and Seppi(1992)의 예측과도 일치한다.
만기일 효과, KOSPI200 지수, 지수차익거래, 연계시세조종, 자본시장법

The Index Arbitrage in Expiration Days: Normal Arbitrage Trading or Cross-Market Manipulation?

  • Cheol-Won Yang
  • Ji-Yeon Yoo
The closing price of KOSPI200 on Nov 11, 2010, the expiration day for options, was determined at 247.51 points following a severe fall of 7.11 points, which caused great disorder in the Korean financial market. The Korean Supervisory Service and the Korea Exchange investigated the event and discovered that Deutsche Bank had submitted a huge sales order for 2.44 trillion Won of 199 stocks simultaneously, on condition of holding a large amount of KOSPI200 put options. Deutsche Bank was later indicted for the cross-market manipulation based on the Financial Investment Services and Capital Markets Act (hereafter “Capital Market Act”). In this paper, we investigate the cross-market manipulation using index arbitrage in determining stock closing prices on expiration days. We deal withtwo aspects in relation to this issue. First, in terms of law, we explain the various types of cross-market manipulation regulated by the Capital Markets Act. Specifically, we discuss the concept of “existence of purpose” to satisfy the requirement for cross-market manipulation action. Second, in terms of finance, the hypotheses to verify the “existence of purpose” on the cross-market manipulation are established and tested empirically. This empirical test is also related to Kumar and Seppi’s (1992) model, in which the manipulator earns a positive expected profit by holding a futures position and then manipulating the spot price used to compute the cash settlement on the expiration day. In empirical analysis, we identify that expiration effects exist in the Korean market, consistent with previous studies. The volatility and trading volume of the closing price on expiration days are distinctly higher than those on non-expiration days and those of non-KOSPI200 stocks. Then we establish the first hypothesis that if expiration-day effects are caused by index arbitrage activity, the effects are stronger in stocks where the trading volume for index arbitrage is higher. The results show that the portfolio with a greater transaction ratio of index arbitrage has higher volatility and trading volume on expiration days. The differences are statistically significant. The regression analysis using volatility and trading volume on expiration days as the independent variable and index arbitrage as the dependent variable also shows that volatility and trading volume on expiration days are positively correlated with index arbitrage. These results support our first hypothesis that index arbitrage are an important source of expiration-day effects. However, the positive relationship between the expiration-day effect and index arbitrage does not necessarily imply that cross-market manipulation activity exists in the market and affects the closing price on expiration days. Normal index arbitrage can also cause an increase in volatility and trading volume due to its tremendous trading size. To disentangle these two possibilities we use the order submission data of closing call auctions and establish the second hypothesis. Our second hypothesis is that a cross-market manipulator will submit a distinctly low-priced limit sale order or distinctly high-priced limit purchase order, both of which lack economic rationality, to move the closing price as much as possible on expiration days. According to the Kumar and Seppi (1992) model, the cross-market manipulator can earn a positive expected profit by manipulating the spot price used to compute the cash settlement on the expiration day because the profit from the futures position exceeds the loss from the spot position. Analysis of the index arbitrage order data in the closing call auctions on expiration days shows a significant increase in distinctly low-priced limit sale orders and distinctly high-priced limit purchase orders. The limit orders are also concentrated in the last minute of the closing call auction. Finally we test a third hypothesis to confirm the price impact of cross-market manipulation. Our third hypothesis is that orders for index arbitrage have a greater effect on price than other normal orders if there is cross-market manipulation on expiration days, because the manipulators try to maximize the price impact of their orders to maximize their profits in the futures position. The results show that the price impact of index arbitrage orders is larger than that of normal orders. Overall, these results imply that there exist index arbitrage orders issued for the purposes of cross-market manipulation on expiration days in Korea. The findings are also consistent with Kumar and Seppi’s (1992) prediction that cross-market manipulators try to manipulate the spot price used in cash settlement on the expiration day.
Expiration-Day Effects, KOSPI200, Index Arbitrage, Cross-Market Manipulation, Capital Market Act