투자자별 거래행태와 비대칭 변동성

초록

Asymmetric volatility of stock returns such that we observe larger reactions in returns to bad news than good news has been a puzzle in the existing literature. Volatility asymmetry means that when stock price drops (rises), the volatility of the returns typically increases (decreases). The asymmetric volatility phenomenon may also be described as a negative correlation between stock returns and innovations in expected volatility. Two prominent theories that document and explain the asymmetric volatility property of individual stock returns are the "leverage effect" of Black (1976) and Christie (1982) and the "positive feedback" mechanism of Pindyck (1984), French, Schwert, and Stambaugh (1987) and others. The financial leverage hypothesis explains that as the price of a stock decreases, the firm`s financial leverage increases, leading to a higher volatility of equity. Although, to many, "leverage effects" have become synonymous with asymmetric volatility, the asymmetric nature of the volatility response to return shocks could simply reflect the existence of time-varying risk premiums. The risk premium hypothesis, also known as the volatility feedback effect, proposes that an increase in unexpected volatility will increase expected future volatility. The resulting increase in expected returns causes prices to drop and leads to volatility asymmetry. As a result, it appears that financial leverage does not play much of a role in explaining volatility asymmetry. Certainly the leverage effect and the volatility feedback effect could both be at work. In this paper, we investigate the source of asymmetric volatility by introducing investor`s risk aversion. We hypothesize that investors` risk aversion and therefore their risk averse trading behavior would be a possible cause for the asymmetric stock return volatility observed in stock markets. When investors are risk averse, the increase in their utility from a positive return on investment is less than the decrease in their utility from a same size of negative return, and therefore they are more likely to react to bad news more sensitively, leading to larger down side movements in stock returns. As a way to test the hypothesis, we divide investors into three groups of individual investors, institutional investors and foreign investors, and analyze if their proportions in the trading volume of stocks would lead to any difference in the levels of the asymmetric volatility. Our empirical assumption is that individual investors would be more risk averse than institutional or foreign investors. As we expected, stocks with higher proportions of individual trading tend to show higher asymmetric volatility, while stocks with higher proportions of institutional investors and foreign investors tend to show lower asymmetric volatility. The results remain robust even after we control for firm size and leverage.

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