ETF 시장에서 유동성공급자는 정보 우위에 있는가?

박수철,우민철 한국산업경영학회 2019 경영연구 Vol.34 No.4

The system of Liquidity Providers have worked since the Korean ETF market opened. It is supposed to provide the liquidity on the market and submit the bid and ask order of ETFs in charge, based on the reference price. This study is motivated from the possibility that if Liquidity Providers have an information advantage, they could earn excess returns. Thus, this study aims to investigate whether Liquidity Providers have an information advantage over other investors. To analyze the LP’s information advantage, this study makes use of two measures, the price ratio on the Choe et al.(2005) and the profit ratio on the Choe, & Woo.(2013). Our major findings are as follows. First, in terms of price ratio, there is not an information advantage of the LP which makes markets liquid by being counterparts on the buyer(seller) who do not find seller(buyer). Second, neither is there an information advantage of the LP in terms of profit ratio. Third, there are not an information advantages of the LP on any ETFs related with KOSPI200 index except KOSPI 200 total return index. According these results, it is estimated that Liquidity Providers have no information advantages over other investors on the Korean ETF market. This paper suggests that the LP on the Korean ETF market carry out its required role well and the LP system could fit in the mechanism that should provide somewhere with the liquidity. 한국의 ETF 시장은 개설 때부터 내재적 가치(intrinsic value)를 근거로 매수/매도호가를 제시하고, 유동성이 부족한 거래, 즉 거래 상대방을 찾지 못하는 투자자들과 거래하여 시장 안정화와 효율적 가격형성에 기여하는 유동성공급자(Liquidity Provider, 이하 LP) 제도를 도입하고 있다. 본 연구는 만약 LP들이 내재적 가치에 대한 정보우위에 있다면 자신들에게 유리한 호가 제출로 초과이익을 얻을 수 있을 것이라고 판단하여 2014년부터 2018년까지 5년간 KOSPI200 지수를 기초자산으로 하는 ETF를 대상으로 Choe et al.(2005)의 Price ratio와 최혁, & 우민철(2013)의 Profit ratio를 사용하여 LP의 정보우위 여부를 분석하였다본 연구의 분석 결과에 의하면 첫째, Price ratio를 투자자별로 비교하면 시장참가자들의 거래상대방이 되어 유동성을 공급하는 LP가 다른 투자자들에 비해 정보우위에 있지 않은 것으로 추정되었다. 둘째, Profit ratio를 비교하면 LP는 외국인, 기관, 개인투자자 모두와의 거래에서 손실을 본 것으로 나타났다. 셋째, KOSPI200지수, 인버스지수, 레버리지지수 ETF에서 LP는 정보열위에 있었으며, KOSPI200 총수익지수 ETF에서만 정보우위에 있는 것으로 추정되었다. 이와 같은 본 연구의 결과로 볼 때 한국 ETF 시장의 LP는 정보우위 거래보다는 도입 취지에 부합하는 시장의 유동성 공급 역할을 충실히 수행하고 있는 것으로 추정되었다. 본 연구는 LP의 제도적인 특혜 우려에 대하여 LP는 도입 취지에 부합하는 유동성 공급의 순기능을 충실히 수행하고 있다는 결과를 제시하여, LP 제도의 도입이나 확장에 중요한 근거를 제시하였다고 판단된다.

GM작물실용화사업단

박수철 한국종자연구회 2012 종자과학과 산업 Vol.9 No.2

양측 전장에 간질 병소를 보인 간질중첩으로 발현한 섬엽간질 1예

박수철,김지윤,박형준,원요섭,김응엽,박해정,이종두 대한신경과학회 2006 대한신경과학회지 Vol.24 No.4

Insular lobe seizure (ILS) is very rare and ictal focus has not been documented by neuroimaging studies. Clinical characteristics consist of clearly preserved consciousness, visceral sensation, somatomotor symptoms, and dysphonic or dysarthric speech. We report a 34-year-old female with ILS, manifesting as first onset status epilepticus. SISCOM and SPM analysis through brain MRI and 18F FDG PET-CT reveals ictal focus on the bilateral claustrum, which has a close relationship with insula anatomically. This is the first case report in Korea.

치과기공사의 분진노출 수준 및 개인보호구 착용 실태 : 대구지역을 중심으로

박수철,전만중,사공준 대한치과기공학회 2011 대한치과기공학회지 Vol.33 No.1

Brain-Region Specific Apoptosis Triggered by Eph/ephrin Signaling

박수철 한국뇌신경과학회 2013 Experimental Neurobiology Vol.22 No.3

Eph receptors and their ligands, ephrins, are abundantly expressed in neuroepithelial cells of the early embryonic brain. Overstimulation of Eph signaling in vivo increases apoptotic cell death of neuroepithelial cells, whereas null mutation of the Eph gene leads to the development of a larger brain during embryogenesis. Thus, it appears that Eph-ephrin signaling plays a role in regulating apoptotic cell death of neuroepithelial cells, thereby influencing brain size during embryonic development. Interestingly, Eph-ephrin signaling is bi-directional, with forward signaling from ephrin- to Eph-expressing cells and reverse signaling from Eph- to ephrin-expressing cells. However, it is not clear whether this forward or reverse signaling plays a role in regulating the size of the neuroepithelial cell population during early brain development. Also, Eph receptors and their corresponding ligands are mutually exclusive in their expression domains, and they encounter each other only at interfaces between their expression domains. This expression pattern may be a critical mechanism for preventing overstimulation of Eph-ephrin signaling. Nevertheless, Eph receptors are co-expressed with their corresponding ligands in certain brain regions. Recently, two studies demonstrated that brain region-specific apoptosis may be triggered by the overlapping expression of Eph and ephrin, a theme that will be explored in this mini-review.

간 외 전이가 있는 간세포암종 환자에서 경동맥화학색전술

박수철,김진수 대한간암학회 2016 대한간암학회지 Vol.16 No.2

Transarterial chemoembolization (TACE) has been widely performed as a treatment for unresectable hepatocellular carcinoma (HCC). Recently extrahepatic metastasis (EHM) of HCC is increasing due to improvement of survival. Sorafenib has been generally accepted as a standard treatment in advanced HCC. However, many HCC patients with EHM are treated with TACE in real-world clinical practice because sorafenib has modest efficacy and the main cause of death in the patients with EHM is hepatic failure. In this review, the usefulness of TACE for the patients with HCC and EHM will be discussed.

“다이라노 마사카도(平將門)의 난과 신황(新皇)의 조건”에 대한 토론문

박수철 동양사학회 2023 동양사학회 학술대회 발표논문집 Vol.2023 No.5

오다 노부나가의 神格化 ― 『信長公記』를 중심으로 ―

박수철 동양사학회 2022 東洋史學硏究 Vol.161 No.-

信長の神格化については議論も多く、明らかにされていない部分が多いのが現状である。その理由は信長の神格化に関する資料がイエズス会側の記録以外にはほとんどないからである。 本稿では限られた資料を前提に、活用できる素材が比較的多い『信長公記』を中心に信長の神格化について再検討を試みた。秀吉と家康の神格化が突然出現したのではなく、信長時期の成果をもとにして継承したのだという立場から考察した。神になった秀吉と家康、神になれなかった信長、といった二者択一の問題に単純化することを避けた。特に次の3つの点に注目した。 一つ、信長の神格化は間接的方式の神格化であった。摠見寺、石清水八幡宮、天皇の行事などの事例からも分かるように、信長は神仏や天皇の存在を前面に掲げ、自らはその背後で民衆の崇敬が自然に自分に及ぶようにするやり方を好んだ。 二つ、しかし中世以後、僧侶と寺院勢力が弱化するにつれ、伝統的な仏より神や天・天道を重視する傾向が見られる。信長は神や神社を尊重したが、仏や寺院に対する態度は多少異なり、自分を敵視した寺院や僧侶は徹底的に弾圧した。 三つ、間接的な神格化方式とは別に、武士首長としての信長に宗教的な権威付けをしようとする動きも確認される。信長は御憐愍という慈悲をもとに民衆や武士の心を引き付け、武士の威勢である御威光(所謂武威)を通じて神仏の宗教的権威を掌握していった。特に本願寺の屈服で信長の御威光がさらに高まった1580年代以降になると、信長は住吉明神の‘化神’になぞらえられ、観音菩薩や諏訪大明神の威力も信長には及ばないとまで言われた。

血統과 器量으로 본 16세기 일본 ‘高名’사회

박수철 동양사학회 2023 동양사학회 학술대회 발표논문집 Vol.2023 No.2

고빈도 알고리즘을 이용한 개인투자자의 투자성과

박수철,우민철 한국재무관리학회 2023 財務管理硏究 Vol.40 No.5

Individual investors are known as investors who are irrational and have lower investment performance than other investors. However, recent studies have shown that individual investors with differentiated characteristics are relatively superior to those who do not. In this study, we analyzed all the stocks listed on the Korea Exchange from 2018 to 2022 and showed that HFT investors who determined the selection and timing of the stocks using algorithms, used high-performance computers and can submit orders faster than non-individual investors would have superior investment performance. They use a reverse follow-up strategy like ordinary individual investors, but it is estimated that they use day tradings with short duration and obtain superior investment performance than ordinary individual investors as a trading strategy that anticipates reversal of short-term trend. The characteristics of individual investors who show superior performance compared to general individual investors can also include the use of high frequency trading analyzed in this study, which is considered to be an important significance of this study.