데이트레이더는 유동성을 공급하는가?

초록

We empirically examine a hypothesis that day-traders in Korean stock market provide liquidity. Since day-traders submit orders frequently and are considered to be more sophisticated than other individuals, they behave almost like dealers. As dealers in a quote-driven stock exchange trade frequently and consider their inventory risk, day-traders do the same even though they may not realize their trading as dealer-like trading. In this paper, we define a trader who buys and sells a stock at least one times in a day as a day-trader. As robustness checks, we use different definitions of a day-trader and the results are almost the same. Based upon this definition, in Korean stock market, almost 30% of trading belongs to day-trading. This high percentage also insures the importance to analyze day-trading in Korean market. To analyze whether day-traders provide liquidity, first we investigate which type of orders day-traders submit most. Day-traders submit more best bid/ask orders compared to other traders. Also, day-traders who trade more frequently seem to behave more like liquidity providers. Since liquidity provision is most beneficial in trades of less frequently traded stocks, i.e. presumably less liquid stocks, we compare the trading behaviors of day-traders across different stocks. The less trading a stock has, the more effective day-traders' trading in terms of liquidity provision. The spread of prices is decreased more and depth is increased more for stocks with less trading. Since we do not have official liquidity providers in the Korean stock exchange (an order-driven market) such as dealers in the NASDAQ, day-traders' function as liquidity providers seem to be beneficial especially for illiquid stocks. We also investigate how day-trading in a period affects the liquidity in the next period. If there exists more day-trading and resulting liquidity provision, more other traders feel like trading without worrying about liquidity. This additional trading from others actually improves the market liquidity much more than the effect from day-trading. By looking into the spread, depth, and market impact cost in the next period following day-trading, we observe that day-trading in a period actually improve the market condition. However, we also find the limitation of day-trading effect on liquidity that day-trading cannot sustain its liquidity provision long and large enough especially for less liquid stocks. Since these less liquid stocks need most liquidity provision, we acknowledge that liquidity provision by day-traders should be supplemented to these stocks by specifically appointed liquidity providers, such as ones in the ELW market in Korea.

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