한국주요상장사 주가 실현변동성 추정시 시장미시구조 잡음과 최적 추출 빈도수

Abstract

본 논문에서는 KOSPI 시가총액기준 상위 4종목(삼성전자, 현대차, 현대모비스, POSCO)의 고빈도 거래 데이터를 바탕으로 일중 수익률의 실현변동성과 시장미시구조잡음에 대해 연구한다. Volatility signature plot을 통해 실현변동성(Realized Variance; RV)과 편의수정 실현변동성(<TEX>$RV_{AC_1}$</TEX>)의 편의를 확인하고 시장미시구조 잡음의 특징을 실증적으로 파악한다. 또한, 잡음 대 신호비(Noise-to-Signal Ratio; NSR)를 사용하여, 평균제곱오차(Mean Square Error; MSE) 기준의 실현변동성(RV)과 편의수정 실현변동성(<TEX>$RV_{AC_1}$</TEX>)의 최적 추출 빈도수를 추정해본다. We have studied the realized variance(RV) of intra-day returns and market microstructure noise based on high-frequency stock transaction data for the four largest companies in terms of market capitalization in the KOSPI. First, non-negligible biases are observed for the RV and for the bias-corrected realized variance(<TEX>$RV_{AC_1}$</TEX>) which is constructed by adjusting RV for the first order autocorrelation in intra-day returns. Bias is more obvious for the RV and the <TEX>$RV_{AC_1}$</TEX> when intra-day returns are sampled more frequently than every 2 minutes. Transaction Time Sampling(TTS) is shown to be better than Calendar Time Sampling(CTS) in terms of biases of the RV and the <TEX>$RV_{AC_1}$</TEX> for the 4 companies. The analysis reveals that market microstructure noise is temporally dependent. Second, by using the Noise-to-Signal Ratio(NSR), we estimate sampling frequencies that are optimal in terms of the Mean Square Errors(MSE) of the RV and the <TEX>$RV_{AC_1}$</TEX>. The optimal sampling frequencies are around 200 for RV and is around 5000 for the <TEX>$RV_{AC_1}$</TEX> for all the four stock prices. For the 6 hour transaction period of the Korean stock trading, these correspond to about 2 minutes and 6 seconds.