주식워런트증권 호가 규제와 시장효율성

초록

This study analyzes the effects of the ELW market stabilization measures―quotation restriction imposed on liquidity providers (LPs) in the ELW market―on market efficiency, including trading activity, market liquidity, and changes in trading patterns by trader groups in KOSPI200 ELW stocks. The main findings are as follows: After the measures, the overall trading volume significantly decreased, however, low-priced speculative trades relatively increased; the spread-based market liquidity indexes improved for all trades except for the low-priced speculative trades; the ratio of unexecuted orders greatly increased; the role of providing liquidity in the market was transferred from LPs to high-frequency traders, specifically foreign high-frequency traders who significantly increased both passive and aggressive trades.

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