Table 11 NPS's market impact on...

Table 11

NPS's market impact on liquidity and volatility

	Total market				KOSPI				KOSDAQ
	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Panel A: Spread
External	−0.0001			−0.0001	−0.0000			−0.0001	−0.0058			−0.0057
External	−3.49***			−3.60***	−3.23***			−3.35***	−2.24**			−2.21**
Internal		0.0004		0.0004		0.0005		0.0005		−0.0013		−0.0010
Internal		2.82***		2.84***		2.94***		2.95***		−0.58		−0.44
External-Internal			−0.0001				0.0002				−0.0077
External-Internal			−1.57				0.88				−2.68***
Adj R-Sq	0.0448	0.0449	0.0448	0.0449	0.0441	0.0441	0.0441	0.0441	0.1605	0.1588	0.1613	0.1602
Panel B: Turnover
External	0.0003			0.0003	0.0003			0.0003	−0.0001			−0.0000
External	12.75***			12.79***	12.72***			12.77***	−0.23			−0.16
Internal		0.0000		0.0000		0.0000		0.0000		−0.0003		−0.0003
Internal		0.96		1.45		0.93		1.42		−1.11		−1.09
External-Internal			0.0002				0.0002				−0.0006
External-Internal			8.77***				8.61***				−0.87
Adj R-Sq	0.4525	0.4521	0.4523	0.4525	0.4503	0.4499	0.4501	0.4503	0.5870	0.5872	0.5876	0.5870
Panel C: Intraday volatility
External	−0.0010			−0.0009	−0.0010			−0.0009	0.0018			0.0016
External	−2.88***			−2.41**	−2.87***			−2.41**	3.26***			3.04***
Internal		0.0014		0.0013		0.0014		0.0013		0.0017		0.0016
Internal		7.38***		6.50***		3.33***		3.45***		3.46***		3.26***
External-Internal			−0.0018				−0.0018				0.0021
External-Internal			−6.36***				−3.35***				3.58***
Adj R-Sq	0.3773	0.3795	0.3793	0.3807	0.3787	0.3809	0.3807	0.3821	0.3814	0.3817	0.3820	0.3840

	Total market				KOSPI				KOSDAQ
	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff	Coeff
	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val	t-val
Panel A: Spread
External	−0.0001			−0.0001	−0.0000			−0.0001	−0.0058			−0.0057
External	−3.49***			−3.60***	−3.23***			−3.35***	−2.24**			−2.21**
Internal		0.0004		0.0004		0.0005		0.0005		−0.0013		−0.0010
Internal		2.82***		2.84***		2.94***		2.95***		−0.58		−0.44
External-Internal			−0.0001				0.0002				−0.0077
External-Internal			−1.57				0.88				−2.68***
Adj R-Sq	0.0448	0.0449	0.0448	0.0449	0.0441	0.0441	0.0441	0.0441	0.1605	0.1588	0.1613	0.1602
Panel B: Turnover
External	0.0003			0.0003	0.0003			0.0003	−0.0001			−0.0000
External	12.75***			12.79***	12.72***			12.77***	−0.23			−0.16
Internal		0.0000		0.0000		0.0000		0.0000		−0.0003		−0.0003
Internal		0.96		1.45		0.93		1.42		−1.11		−1.09
External-Internal			0.0002				0.0002				−0.0006
External-Internal			8.77***				8.61***				−0.87
Adj R-Sq	0.4525	0.4521	0.4523	0.4525	0.4503	0.4499	0.4501	0.4503	0.5870	0.5872	0.5876	0.5870
Panel C: Intraday volatility
External	−0.0010			−0.0009	−0.0010			−0.0009	0.0018			0.0016
External	−2.88***			−2.41**	−2.87***			−2.41**	3.26***			3.04***
Internal		0.0014		0.0013		0.0014		0.0013		0.0017		0.0016
Internal		7.38***		6.50***		3.33***		3.45***		3.46***		3.26***
External-Internal			−0.0018				−0.0018				0.0021
External-Internal			−6.36***				−3.35***				3.58***
Adj R-Sq	0.3773	0.3795	0.3793	0.3807	0.3787	0.3809	0.3807	0.3821	0.3814	0.3817	0.3820	0.3840

Note(s):

${V a r i a b l e}_{i, t} = a_{0} + μ_{i} + λ_{t} + β_{0} ⨯ {N I F}_{i, t} + β_{1} ⨯ {C A R}_{i, t - 5, t - 1} + β_{2} ⨯ {P r i c e}_{i, t} + β_{3} ⨯ {T r d W o n}_{i, t} + β_{4} ⨯ {M k t C a p}_{i, t} + β_{5} ⨯ {T u r n O v e r}_{i, t} + β_{6} ⨯ {T r a d e S i z w}_{i, t} + β_{7} ⨯ {S p r e a d}_{i, t} + β_{8} ⨯ {V o l a t i l i t y}_{i, t} + β_{9} ⨯ {A m i h u d}_{i, t} + ε_{i, t}$

The effect of the trading of the NPS on the liquidity of individual stocks is regressed using the spread and turnover index as the dependent variable, and the effect on volatility is regressed using the intraday volatility indicator as the dependent variable. The spread is the difference between the best offer price and the best bid price divided by the average of the two values, the trading volume turnover is the value obtained by dividing the daily trading volume by the number of listed stocks, and the intraday volatility is the difference between the intraday high and intraday low price divided by the average of the two values. Only the coefficient values of NIF are presented in the table, and the values for the control variables are not presented. *, ** and *** indicate statistically significant values at the 10%, 5% and 1% levels, respectively

Source(s): Table by authors

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