유형별 프로그램매매와 KOSPI 수익률의 변동성 = Types of Program Trading and KOSPI Return Volatility

다국어 초록 (Multilingual Abstract)

This study examines the effect of program trading on stock market volatility. The empirical results show a positive relationship between program trading volume and stock market volatility. This study also examines whether the different types of program trading show different effects on stock market volatility. Results show that non-arbitrage-program trades give a positive effect on volatility, whereas arbitrageprogram trades do not give any effect on volatility. Also, results show that buyprogram trades are associated with high volatility whereas sell-program trades are insignificantly related to volatility.

참고문헌 (Reference)

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