1.
Tkck Size.호가단위로 번역하기도 하지만 한국거래소는 호가가격단위로 번역합니다. 매매의사를 표현할 수 있는 최소 가격단위입니다. 한전부지때문에 말이 많은 현대자동자 주식의 종가는 195,500입니다. 호가가격단위가 한국거래소의 규정에 따라 500원입니다. 만약 호가가격단위가 10원으로 바뀌면 어떤 일이 발생할까요?
유럽의 자본시장규제를 다루는 MiFID II를 논의하고 있는 유럽에서 고빈도매규제론자는 호가가격단위와 관련하여 최소단위를 주장합니다.
The current version of the Markets in Financial Instruments Directive, or MiFID II, which promises sweeping reforms to Europe’s financial markets including, has a provision in it regarding minimum tick sizes.
Some industry experts believe that it could be a better way of controlling the growing influence of HFT rather than other more controversial MiFID II proposals, such as plans for a minimum resting time for orders to remain valid on an exchange for at least 500 milliseconds. HFT is today thought to account for around 40% of all trades on European equity markets.
“It is possible that the Commission considers that there is a need to impose a minimum tick size in Europe if it considers that tick sizes have become (or could become) too small, and that this small size itself causes direct harm to the capital market,” said the U.K. government commissioned Foresight report into MiFID II in August.
“However, given the context of this proposal, it is also possible that the proposed rule is aimed more generally at curtailing HFT, or at least certain trading strategies that are implemented using HFT.”
Tick sizes refer to the minimum increment by which the price of a share, or other security, is allowed to move up or down on an exchange. In the past few years, tick sizes have come down significantly, partly driven by competition between trading platforms in an attempt to attract trading volume and liquidity. High-frequency traders and statistical arbitrage players are generally attracted to smaller tick sizes as there are more increments in which a share can move, thus giving more trading opportunities.“In the past, tick sizes have became more granular,” Judith Hardt, secretary-general of the Federation of European Securities Exchanges (Fese), which lobbies on behalf of 46 of the region’s exchanges, told Markets Media.
MIFID II AIMS TO SLOW HFT WITH INCREASE IN MINIMUM TICK SIZES중에서
호가단위는 매매, 특히 고빈도매매에 큰 영향을 줍니다. 또한 거래비용에도 영향이 강합니다. 대체거래소 논의가 한창일 때 자본시장연구원이 내놓은 자료는 이를 뒷받침합니다.
2.
국내에서 호가단위와 관련한 연구들이 많은 듯 합니다. 그중 한국거래소가 2001년에 내놓은 자료를 보면 호가가격단위를 축소하자고 합니다.
2009년도 재무학회가 발간한 재무연구에 실린 한국주식시장에서 호가단위의 적절성 : 시장깊이를 중심으로는 신중한 의사결정을 주장합니다.
한국거래소(KRX)는 2010년 10월 4일부터 천원 미만 저가주의 호가가격단위를 5원에서 1원으로 하향조정한 후 시장변화를 분석한 자료에 따르면 호가건수가 늘어났고 거래비용은 낮아졌다고 합니다.
이상이 제도로서 호가가격단위를 다루었으면 상대호가단위(Relative Tick Size)를 다룬 논문도 눈에 들어옵니다. 상대호가단위가 HFT에 미치는 영향을 다룬 Tick
Size Constraints, High-Frequency Trading, and Liquidity입니다.
This paper demonstrates the causal effect of the relative tick size (one cent divided by price) on speed competition. Non-high-frequency traders (non-HFTers) are more likely than HFTers to provide the best quotes. A large relative tick size constrains non-HFTers from establishing price priority but helps HFTers establish time priority. Profits from liquidity provision are higher for lower-priced stocks. We use splits/reverse splits of ETFs as exogenous shocks to the relative tick size, with paired ETFs that track the same index as controls, finding that an increase in the relative tick size decreases liquidity but increases HFT liquidity provision.
주식의 분할과 합병이 알고리즘트레이딩 및 고빈도매매에 미치는 영향을 다룬 High Frequency Trading around Stock Splits and Consolidations입니다.
A new study by CMCRC researchers suggests that companies may be able to influence the level of algorithmic trading (AT) by adjusting their price level. The research shows that, stocks with lower relative tick size experience faster cancelation, deletion or trade times and higher order to trade ratios vis-à-vis firms with larger relative ticks. The research suggests stocks with a smaller relative tick size attract more AT and conversely a firm may limit the proportion of AT in their stock by undertaking a stock split which will increase a firm’s relative tick and the cost of price improvement to be offered by AT.
미국에서 고빈도매매가 늘어난 여러가지 배경중 하나가 십진법으로의 호가단위체제의 변경을 언급합니다. 종래의 분수(1/8, 1/16)호가 체제에서 1센트 단위로의 변경을 의미하는 것으로 호가단위의 축소입니다. 꿈에서나 가능한 일이겠지만 대체거래소가 나타나서 한국거래소와 달리 호가단위를 세분화하면 시장에 어떤 영향을 줄까요? 한국거래소가 공공기관에서 해제될 가능성이 커진 요즘 갑자기 든 생각입니다.
