KOSPI 상장 기업의 스프레드 추정 방법론 연구 = A Study on the Estimation of Bid-ask Spreads in Korean Stock Market

국문 초록 (Abstract)

본 연구에서는 스프레드 연구와 관련하여 일일 고가와 저가 정보로부터 스프레드를 추정하는 Corwin, Shultz(2012)의 스프레드 추정방법론이 국내에도 적용가능할지 그 적용가능성에 대하여 살펴보았다. Corwin, Shultz(2012)는 일일 고가(저가)는 대부분 매수(매도) 거래이므로 고가-저가 비율은 주식의 변동성과 스프레드를 반영한다는 점에 착안한 스프레드 추정법을 제안하였다. 이들의 추정방법에 따라 국내 주식 시장에 상장되어있는 KOSPI 200 기업 데이터를 활용하여 연구한 결과, 추정법의 국내 주식 시장 적용 상 중대한 문제점들이 관찰되었다. 먼저 스프레드 값은 음수를 가질 수 없음에도 불구하고 추정한 스프레드율 값을 살펴보면 전체 표본에서 음의 스프레드율의 비율이 상당히 크게 나타났다. 또한 실제 거래소에서 제공한 KRX스프레드율과의 비교에서도 호가 단위별로 어느 정도의 차이는 존재하였지만 전체 표본으로 고려할 때 HL스프레드율과 KRX스프레드율의 상관계수가 4%에 불과해 이들의 추정 방법론은 국내 시장에서 적합하지 않은 것으로 나타났다.

다국어 초록 (Multilingual Abstract)

This paper analyzes the applicability of the high-low spread estimator developed by Corwin, Shultz (2012) to daily and low prices in the Korean stock market. Corwin, Shultz (2012) suggested the bid-ask spread estimator which is based on the idea that daily high (low) prices are almost buy (sell) trades, and therefore the high-low ratio reflects both the variance of stock and its bid-ask spread. We investigate the spreads of firms listed in KOSPI 200 which are based on the estimating method of Corwin, Shultz (2012), then find out the critical problems. The results show that the proportion of spreads have negative value which is considerably high although spread cannot be negative. Though slight difference of correlated coefficients between HL spread ratio and KRX spread ratio does exist when considering them as tick range, it is only about 4% as a whole. This shows that the High-Low spread estimator is not an appropriate estimating method of spread in Korean financial market.

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