한국 상장지수펀드(ETF)시장에서 개인투자자의 매매행태가 비대칭적 변동성에 미치는 영향

초록

This study analysed the effect of individual investors‘ sell-buy imbalance on asymmetric volatility in returns using daily transaction data of the Korean ETF market. Major Finding of the Paper are as follows. First, there exists asymmetric volatility in the sense that the return, volatility, tends to increase when returns fall unexpectedly in the ETF market as well as in stock market. In this case, individual investors' increased selling activity is the main reason behind the increase the volatility while institutional investors' selling activity does not seem to cause asymmetric volatility. Second, when the prices go down, individual investors show herding behavior in transactions because increased selling activity by individual investors amplify volatility. Third, in addition to herding behavior, individual investors' transaction pattern as uninformed investors or as liquidity transactors also causes asymmetric volatility. Fourth, in some large ETFs, disposition effect of individual investors who are reluctant to sell when prices go down plays an important role in generating asymmetric volatility.

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