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양도소득세 도입이 KOSPI200 파생상품시장에 미치는 영향

  • 전병현 KAIST 경영대학 박사과정
  • 윤선중 동국대학교 경영학과 교수
2016년 1월 1일 정부는 파생상품시장에 대한 조세정의 실현, 정부의 세수 확보, 그리고 개인투자자의 투기적 수요억제를 위해, KOSPI200 선물과 옵션에 대해 양도소득세 부과를 개시하였다. 본고는 양도소득세 부과 전후의 거래량 변화, 투자자비중 변화, 그리고 시장효율성 지표(호가스프레드, 유효스프레드, 호가잔량, 시장품질)의 변화를 통해 양도세가 도입목적에 맞는 역할을 수행하고 있는지 분석하였다. 이중차분법을 이용한 연구결과에 의하면, 양도세의 도입이 선물, 콜옵션, 풋옵션의 거래량 및 거래대금 등 양적지표에 부정적 영향을 미치는 것으로 나타났다. 그러나 양도세 도입이 시장 효율성에 미친 영향은 선물?옵션시장에서 다소 상이하게 관찰되었다. 선물시장에 대한 양도세의 도입은 호가스프레드를 증가시키고 호가잔량과 시장품질을 하락시키는 등 선물시장의 질적 측면(qualitative effect)에서 다소 부정적 영향을 미친 것으로 나타났으나, 미니선물시장을 기준으로 한 순효과(net effect)는 부정적 영향이 유효하지 않은 것으로 나타났다. 또한 KOSPI200 옵션시장에 미치는 순효과(net effect)도 미니옵션시장을 기준으로 할 때, 호가스프레드를 증가시키고 시장품질을 하락시키는 등 부정적 영향이 존재하는 것으로 보였으나, 이러한 효과는 양도세가 부과되지 않은 미니옵션시장의 효율성이 증가되면서 나타난 결과임을 확인하였다.
양도소득세(자본소득세), KOSPI200 선물?옵션, 시장효율성, 이중차분법

The Effect of Capital Gains Taxes on KOSPI 200 Derivatives Markets

  • Byoung Hyun Jeon
  • Sun-Joong Yoon
On January 1, 2016, the Korean government began to charge capital gain taxes on KOSPI 200 derivatives securities. The background reasons for this decision are threefold. The first was to realize tax justice. The government had been taxing stock transactions, but did not tax derivatives trading until 2015. Second, the government judged that speculative trading by individual investors was excessive in Korean derivatives markets. The trading proportion of individual investors is over 30 percent, which is considerably higher than in other developed markets. Charging capital gains taxes on derivatives trading could reduce speculative trading. Lastly, a capital gains tax will increase government tax revenue. According to Hong (2012), the 10 percent tax rate will increase revenue by about 40 billion Won per year. Despite the above motives, there are some doubts that capital gains taxes increase market efficiency. Moreover, imposing capital gains taxes only on KOSPI 200 futures and options and not on underlying stock markets means that the tax justice gained is limited, and critics have noted that derivatives are mainly used as a hedging vehicle. The literature on financial taxes can be divided into two categories of focus: transaction taxes and capital gains taxes. According to the literature, the effects of taxes are different across countries and sampling periods. The overall consensus on the effect of transaction taxes is positive, but negative for capital gains taxes. In many countries, transaction taxes reduce speculative trading and ultimately increase market quality once liquidity is sufficient, whereas capital gains taxes decrease demand for securities and even distort the behavior of investors, thereby worsening market quality. However, most results are based on stock markets, not derivatives markets. Hence, those results are not applicable to Korean derivatives markets, so the effect of capital gains taxes is still unclear. This paper examines whether capital gains taxes on derivatives trading are consistent with initial intentions by investigating changes in trading volumes, traders’ proportion, and market efficiency in areas such as bid-ask spread, effective spread, and market quality. We use a difference-in-difference method to determine the net effect of capital gains taxes. The Korean derivatives market has twin KOSPI 200 index futures and options, KOPSI200 and Mini-KOSPI 200. Their economic characteristics are the same, but their multipliers are different: one is 0.5 million Won and the other is 0.1 million Won. In this study, the capital gains taxes are levied only on KOSPI 200 futures and options. In the DID analysis, we set Mini-futures and options markets as control groups. We first explore the change in trading volumes of KOSPI 200 and Mini futures and options before and after the introduction of capital gains taxes for three months. Second, we identify changes in trading proportions patterns of individual, institutional, and foreign investors. Third, we investigate bid-ask spreads, effective spreads, residual quantity, and market quality to confirm the change in market efficiency. Fourth, we study the changes in volatility spreads, i.e., the difference between VKOSPI and a 5-minute realized volatility. In addition, to ensure robustness, we conduct the above analyses again at one month before and after. Our results are summarized as follows. First, capital gains taxes affect the trading volume of KOSPI 200 futures and options negatively, which is consistent with studies such as Noronha and Ferris (1992). Second, the effect is prominent for individual investors. The proportion of individual investors in KOSPI 200 options and futures trading decreases significantly, while the proportion in Mini options and futures trading more than doubles. As a result, the proportion of domestic institutional investors also decreases. Third, the effect of capital gains taxes is different across futures and options markets. In the futures market, the capital gains tax increases the bid-ask spread and decreases the residual order quantity and market quality, but the net negative effect based on the DID analysis is insignificant. In the KOSPI 200 options market, in contrast, the net effects are significantly negative in most efficiency measures. However, the negative effects occur because the efficiency of the Mini-options market is improved by the inflows of individual investors from KOSPI 200 options to Mini options.
Capital Gains Tax, KOSPI 200 Index Derivatives, Market Efficiency, Difference-In-Difference Method