论文标题
韩国交易所成员公司的交易特征
Trading characteristics of member firms on the Korea Exchange
论文作者
论文摘要
在本文中，我们研究了韩国交易所成员公司的特征。成员公司介入市场参与者与交易所之间，所有参与者应通过会员交易股票。为了确定会员公司的特征，所有会员公司均分为三组，例如类似于个人（DIM）的家庭成员，类似于机构（DSMS）和外国成员（FRMS）的家庭成员（根据投资者的类型）。我们检查了会员公司的动态。成员的交易特征是通过方向性和趋势揭示的。尽管FRMS倾向于单向交易并随着价格变化而移动，但DIM却相反。在市场上，DIMS和DSM会做牛群，而牛群则朝着价格变化的相反方向移动。另一方面，FRMS朝着价格变化的方向发展。网络分析支持将成员聚类为类似于DIM，DSM和FRMS的三组。最后，随机矩阵理论和横截面回归表明，成员的库存变化具有有关股票价格的重要信息，并且会员放牧有助于定价股票。
In this paper, we study the characteristics of the member firms on the Korea Exchange. The member firms intermediate between the market participants and the exchange, and all the participants should trade stocks through members. To identify the characteristics of member firms, all member firms are categorized into three groups, such as the domestic members similar to individuals (DIMs), the domestic members similar to institutions (DSMs), and the foreign members (FRMs), in terms of the type of investor. We examine the dynamics of the member firms. The trading characteristics of members are revealed through the directionality and trend. While FRMs tend to trade one-way and move with the price change, DIMs are the opposite. In the market, DIMs and DSMs do herd and the herding moves in the opposite direction of the price change. One the other hand, FRMs do herd in the direction of the price change. The network analysis supports that the members are clustered into three groups similar to DIMs, DSMs, and FRMs. Finally, random matrix theory and a cross-sectional regression show that the inventory variation of members possesses significant information about stock prices and that member herding helps to price the stocks.
