뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿뫎돏펱ꆡ슬ퟚ믔ꆡ뫎탋잿ꆡ닱ꆡ뾡ꆡꆡ쓚죝쳡튪:놾컄퓋폃믹폚횸쇮쟽뚯쫐뎡뗄싲싴볛닮뷡릹쒣탍쪵횤럖뷢짏횤막쫐싲싴볛닮뗄쓦쿲톡퓱뫍횸쇮뒦샭돉놾,첽닢볛닮뷡릹뫍붻틗횸쇮맦쒣횮볤뗄맘쾵,좫쏦뾼달릫쮾맦쒣ꆢ막볛ꆢ붻틗믮풾탔ꆢ늨뚯탔뛔쓦쿲톡퓱돉놾뗄펰쿬,첽닢쓦쿲톡퓱돉놾뗄죕쓚쒣쪽벰웤돉틲ꆣ퇐뺿뇭쏷:쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸퓶듳,횸쇮뒦샭웕뇩늻뻟폐맦쒣뺭볃쳘헷;듳릫쮾막ꆢ룟볛막ꆢ붻틗솿듳ꆢ쫐뎡맘힢뛈룟뗄막욱쓦쿲톡퓱돉놾뗍,늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟;쓦쿲톡퓱돉놾뗄죕쓚쒣쪽돊ꆰLꆱ탎,룕뾪엌쪱붻틗믮풾뗄훷튪풭틲쫇탅쾢탔붻틗,쇙뷼쫕엌쪱붻틗믮풾뗄훷튪풭틲퓲쫇쇷뚯탔붻틗ꆣ맘볼듊:쇷뚯탔ꆡ싲싴볛닮ꆡ쓦쿲톡퓱돉놾ꆡ횸쇮뒦샭돉놾ꆡ탅쾢탔붻틗튻ꆢ틽ꆡ퇔횤좯쫐뎡뗄쇷뚯탔쫇횤좯쫐뎡뗄짺쏼솦쯹퓚ꆣ싲싴볛닮쫇ퟮ뎣폃뗄쇷뚯탔뫢솿횸뇪,볛닮풽킡솢벴횴탐붻틗뗄돉놾풽뗍,쫐뎡쇷뚯탔풽뫃ꆣ퓧웚뛔싲싴볛닮돉럖뗄퇐뺿훷튪쫇틔놨볛쟽뚯쫐뎡캪뛔쿳ꆣ퓚놨볛쟽뚯쫐뎡짏싲싴볛닮쫇뛔ퟶ쫐짌놻뚯돶쟥쫐뎡뗄튻훖늹뎥ꆣStoll(1989)냑싲싴볛닮럖돉횸쇮뒦샭돉놾ꆢ듦믵돉놾뫍쓦쿲톡퓱돉놾죽늿럖ꆣ횸쇮뒦샭돉놾횸횤좯뗄붻틗뫍쟥쯣럑폃ꆢ늾볇뫍냬릫럑폃,틔벰ퟶ쫐짌ퟶ쫐쯹뮨럑뗄쪱볤뫍뺫솦돉놾ꆣퟶ쫐짌춨맽짨뚨놨볛볛닮뛔쯹폐붻틗뚼헷쫕튻뚨럑폃틔늹뎥웤횸쇮뒦샭돉놾,춬쪱뮹믱좡쿠펦폚웤쫐뎡솦솿뗄뺭볃ퟢꆣ듦믵돉놾쫇ퟶ쫐짌뗄듦믵맜샭돉놾ꆣퟶ쫐짌놻뚯돶쟥쫐뎡뿉쓜떼훂웤듦믵욫샫뫏틢쮮욽,평폚막욱볛룱뗄늨뚯탔,ퟶ쫐짌돐떣쇋듦믵틢췢뇤뚯뗄럧쿕,믡튪쟳뛔펦웤듦믵돖폐럧쿕뗄쿠펦쫕틦늹뎥ꆣ듦믵돉놾튻냣놻죏캪쫇붻틗횸쇮맦쒣뫍볛룱늨뚯탔뗄퓶몯쫽(HoandStoll,1981)ꆣ횸쇮뒦샭뫍듦믵돉놾폫횤좯믹뒡볛횵컞맘,뛔횤좯볛룱쎻폐돖뻃펰쿬,헢솽늿럖돉놾뎣춳돆캪싲싴볛닮뗄퓝쪱돉럖ꆣBagehot(1971)ꆢCopelandandGalai(1983)ꆢGlostenandMilgrom(1985)듓탅쾢늻뛔돆뫍횪쟩붻틗뷇뛈닻쫶쇋싲싴볛닮훐냼몬뗄뗚죽훖돉놾ꆪꆪꆪ쓦쿲톡퓱돉놾ꆣ횪쟩붻틗헟샻폃맘폚막욱볛횵뗄쮽폐탅쾢퓚춬ퟶ쫐짌뗄붻틗훐믱샻,ퟶ쫐짌놻뚯돶쟥횪쟩붻틗믡쏉쫜쯰쪧,샭탔뗄ퟶ쫐짌춨맽뷸튻늽삩듳싲싴놨볛볛닮듓폫쇷뚯탔붻틗헟뗄붻틗훐믱좡룼뛠쫕틦,틔쏖늹돶쟥횪쟩붻틗쪱뗄쯰쪧,싲싴볛닮훐뗄헢늿럖돉놾돆캪쓦쿲톡퓱돉놾ꆣ평폚횪쟩헟뗄붻틗횸쇮훐퓌몬쇋맘폚횤좯캴살볛횵뗄쮽폐탅쾢,뛔횤좯볛룱폐돖뻃펰쿬ꆣ틲듋,쓦쿲톡퓱돉놾튲돆캪싲싴볛닮뗄돖뻃돉럖ꆣ퓚짮뿌죏쪶싲싴볛닮돉럖뗄믹뒡짏,톧헟쏇랢햹쇋탭뛠솿뮯볛닮뷡릹뗄쒣탍뫍랽램ꆣ퓚뇭1훐,컒쏇듓믹뒡쫐뎡ꆢ볛닮돉럖ꆢ뛈솿랽쪽ꆢ횸쇮쏴룐탔ꆢ탅쾢벴쪱탔뫍놨볛쓚짺탔쇹룶랽쏦,볲떥맩쓉뫍뛔뇈쇋벸훖뎣폃뗄싲싴볛닮돉럖쒣탍뗄쳘헷ꆣ볛닮돉럖쒣탍훷튪럖캪솽샠:튻샠쫇믹폚랢웰3ꆡ뫎돏펱,헣붭닆뺭톧풺횤좯쫐뎡퇐뺿쯹,폊헾뇠싫:310018,뗧ퟓ폊쿤:szhcy@;슬ퟚ믔,맺탅횤좯막럝폐쿞릫쮾,폊헾뇠싫:518001,뗧ퟓ폊쿤:luzonghui@;뫎탋잿,훐즽듳톧쇫쓏톧풺,폊헾뇠싫:510275,뗧ퟓ탅쿤:hexq@;닱뾡,쿣룛돇쫐듳톧뺭볃폫뷰죚쾵ꆣ놾컄뗄퇐뺿뗃떽맺볒ퟔ좻뿆톧믹뷰쿮쒿(70471018,70518001)뗄훺ꆣ룐킻솽캻쓤쏻짳룥죋놦맳뗄틢볻뫍붨틩,컄퓰ퟔ뢺ꆣ68
2009쓪뗚2웚헟짭럝뗄쒣탍,쇭튻샠쫇믹폚킭랽닮뗄쒣탍ꆣ잰헟힢훘탐캪뗄돵쪼뚯틲믲뚯믺,뫳헟퓲훷튪솢ퟣ폚뚯믺뗄뇭쿖,솽샠쒣탍쫇듓늻춬닣쏦뗄쏨쫶ꆣ듓뇭1뿉볻:(1)볛닮돉럖쒣탍훷튪뚼쫇틔놨볛쟽뚯쫐뎡ퟷ캪믹뒡쫐뎡,틲캪퓧웚훷튪뗄막욱쫐뎡뚼닉폃뗄쫇놨볛쟽뚯붻틗쾵춳;(2)믹폚횸쇮쟽뚯쫐뎡뗄볛닮돉럖쒣탍(죧DNR뫍GKN),튻냣뚼죏캪컞탫뾼싇듦믵돉놾,틲캪횸쇮쟽뚯쫐뎡늻듦퓚ퟶ쫐짌;(3)늻춬쒣탍뛔볛닮돉럖뗄돵쪼뛈솿랽쪽뿉쓜늻튻퇹,죧맻늻쿈춳튻볛닮돉럖뗄뛈솿랽쪽,늻춬쒣탍뫜뿉쓜뗃돶늻춬뗄뷡싛;(4)폐뗄쒣탍(죧DNRꆢGH뫍VAR)뗄볛닮돉럖뛔붻틗횸쇮맦쒣뻟폐쏴룐탔,뛸웤쯻쒣탍퓲훷튪헫뛔만뚨횸쇮맦쒣쟩탎;(5)폐뗄쒣탍뷶쫇탅쾢벴쪱뗄,벴쎿뇊붻틗뷡쫸뫳,탅쾢늻뛔돆뻍솢벴ꆢ췪헻뗘랴펳퓚탂뗄쫐뎡볛룱짏,뛸폐뗄쒣탍퓲냼삨쇋늻뛔돆탅쾢퓚볛룱짏뗄훍뫳랴펳;(6)뻸듳뛠쫽쒣탍뚼볙짨붻틗훖샠(싲랽믲싴랽쟽뚯)캪췢짺뇤솿,뷶VAR쒣탍뾼싇쇋붻틗횸쇮뗄쓚짺탔ꆣ뇭1벸훖뎣폃싲싴볛닮돉럖쒣탍뗄쳘헷뛔뇈믹폚랢웰헟짭럝뗄쒣탍믹폚킭랽닮뗄쒣탍GHDNRMRRGKNVARLSB듺뇭컄쿗GlostenandDeJongetal.,Madhavanetal.,George,etal.,Hasbrouck,Linetal.,Harris,19881996199719911991a,b1995믹뒡쫐뎡놨볛쟽뚯횸쇮쟽뚯놨볛쟽뚯횸쇮쟽뚯놨볛쟽뚯놨볛쟽뚯볛닮돉럖쓦쿲톡퓱쓦쿲톡퓱쓦쿲톡퓱쓦쿲톡퓱쓦쿲톡퓱쓦쿲톡퓱퓝쪱돉럖횸쇮뒦샭퓝쪱돉럖횸쇮뒦샭퓝쪱돉럖퓝쪱돉럖뛈솿랽쪽뻸뛔뷰뛮뻸뛔뷰뛮뻸뛔뷰뛮햼볛닮뇈샽뻸뛔뷰뛮햼냫폐킧볛닮뇈샽횸쇮쏴룐탔쏴룐쏴룐늻쏴룐늻쏴룐쏴룐늻쏴룐탅쾢벴쪱탔벴쪱벴쪱벴쪱폫훍뫳벴쪱벴쪱폫훍뫳벴쪱폫훍뫳놨볛쓚췢짺탔췢짺췢짺췢짺췢짺쓚짺췢짺ꆡꆡ퓚볛닮돉럖폫붻틗횸쇮맦쒣뗄맘쾵랽쏦,훷튪뗄랢쿖쫇쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣뗄퓶듳뛸퓶듳,횸쇮뒦샭뻟폐튻뚨뗄맦쒣뺭볃쳘헷(DeJongetal.,1996;Ahnetal.,2002뗈)ꆣ퓚볛닮돉럖뗄죕쓚쒣쪽랽쏦,얦풼쫐뎡죕쓚쓦쿲톡퓱돉놾돊뗝복,횸쇮뒦샭돉놾돊뗝퓶쒣쪽(Madhavan,1997),뚫뺩쫐뎡죕쓚쓦쿲톡퓱뫍횸쇮뒦샭돉놾뚼돊ꆰUꆱ탍쒣쪽(Ahnetal.,2002)ꆣStoll(2000)맩쓉뫍움쫶쇋볛닮돉럖뗄뷘쏦펰쿬틲쯘,훷튪냼삨릫쮾맦쒣ꆢ볛룱ꆢ붻틗솿뫍늨뚯탔뗈ꆣ퓚뛔쓦쿲톡퓱돉놾뗄뷘쏦펰쿬틲쯘랽쏦,떱잰컄쿗뗄훷튪뷡싛쫇:듳릫쮾막볛룱룟ꆢ쓦쿲톡퓱돉놾뗍,붻틗솿듳뗄막욱쓦쿲톡퓱돉놾뗍,늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟ꆣ뷸튻늽뗄퇐뺿냼삨Ahnetal.(2002)ꆢAhnetal.(2005)뗈,훷튪랢쿖뫍Stoll(2000)뗄뷡싛믹놾튻훂ꆣ뛔훐맺막쫐쇷뚯탔쳘헷뗄퇐뺿웰늽뷏췭ꆣ쟼컄훞ꆢ컢쫀얩(2002)첽쳖쇋짮?막쫐싲싴볛닮뗄죕쓚ꆢ훜쓚뇤뚯쒣쪽,춬쪱퇐뺿쇋싲싴볛닮뗄펰쿬틲쯘ꆣ튲폐컄쿗뛔싲싴볛닮돉럖뷸탐쇋쪵횤럖뷢:퇮뎯뻼뗈(2002)ꆢ췵횾잿뫍돂엠삥(2006)ꆢ몫뚬뗈(2006)퓋폃LSB쒣탍맀쯣쇋컒맺막쫐뗄싲싴볛닮돉럖;쯕뚬캵(2004)퓋폃Georgeetal.(1991)쒣탍맀쯣쇋싲싴볛닮훐뗄횪쟩붻틗횴탐돉놾뇈훘;쓂웴맺뗈(2004)ꆢ샗뻵쏺뫍퓸폂(2006)럖뇰퓋폃MRR쒣탍첽닢쇋짮횤막쫐뫍짏횤막쫐뗄싲싴볛닮돉럖ꆣ닜펭뒺뗈(2006)퓋폃Chan(2000)뗄랽램맀쯣쇋짏횤50횸쫽퇹놾막욱뗄싲싴볛닮돉럖,늢쳘뇰맀쯣쇋횸쇮쟽뚯탍쫐뎡짏뗄듦믵돉놾ꆣ뷼살,뚭럦뫍몫솢퇒(2006)첽쳖쇋2003쓪12퓂8죕싲싴놨볛엻슶평3룶ퟮ폅놨볛삩듳캪5룶ꆢ쫐뎡춸쏷뛈쳡룟뛔짮?A막쫐뎡쇷뚯탔ꆢ붻틗돉놾뫍쫐뎡늨뚯탔뗄펰쿬,떫짐캴쿪쾸퇐뺿웤뛔탅쾢럇뛔돆돌뛈뫍쓦쿲톡퓱돉놾뗄펰쿬ꆣ놾컄틔짏횤180횸쫽돉럖막캪뛔쿳,퓋폃DNR벰GH쒣탍쪵횤첽닢싲싴볛닮돉럖벰웤폫붻틗횸쇮맦쒣뗄맘쾵,릫쮾맦쒣ꆢ막볛ꆢ붻틗믮풾탔뫍늨뚯탔뛔쓦쿲톡퓱돉놾뗄펰쿬,쓦쿲톡퓱돉놾뫍탅69
뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿쾢탔붻틗뗄죕쓚쒣쪽벰웤돉틲ꆣ퇐뺿랢쿖:쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸퓶듳,횸쇮뒦샭웕뇩늻뻟폐맦쒣뺭볃쳘헷;듳릫쮾ꆢ룟막볛ꆢ붻틗솿듳ꆢ쫐뎡맘힢뛈룟뗄막욱쓦쿲톡퓱돉놾뗍ꆢ늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟;쓦쿲톡퓱돉놾뗄죕쓚쒣쪽돊ꆰLꆱ탍,룕뾪엌쪱붻틗믮풾뗄훷튪풭틲쫇탅쾢탔붻틗ꆢ쇙뷼쫕엌쪱붻틗믮풾뗄훷튪풭틲쫇쇷뚯탔붻틗ꆣ놾컄폫떱잰컄쿗뗄훷튪쟸뇰뇭쿖퓚:쫗듎퓋폃쏅헫뛔횸쇮쟽뚯쫐뎡랢햹뗄DNR볛닮뷡릹쒣탍쪵횤럖뷢훐맺막쫐뗄볛닮뷡릹ꆣ틲캪훐맺막쫐쫇횸쇮쟽뚯쫐뎡,뛸뻸듳뛠쫽볛닮돉럖쒣탍뚼쫇믹폚놨볛쟽뚯쫐뎡뛸붨솢뗄,퓋폃믹폚횸쇮쟽뚯쫐뎡뗄쒣탍쪵횤럖뷢훐맺막쫐뗄볛닮뷡릹,퓶잿쇋퇐뺿뷡싛뗄뿉탅뛈;웤듎,춬쪱퓋폃DNR쒣탍뫍GH쒣탍살첽닢짏횤막쫐뗄볛닮뷡릹,뾼달볛닮돉럖폫횸쇮뒦샭맦쒣횮볤뗄맘쾵ꆣ뻝컒쏇쯹횪,놾컄튲쫇쫗듎퓋폃GH쒣탍살첽닢컒맺막쫐뗄볛닮뷡릹ꆣ틲캪헢솽룶쒣탍뗄볛닮돉럖뻹뛔붻틗횸쇮맦쒣뻟폐쏴룐탔,컒쏇뷨듋뾼달쇋볛닮돉럖폫붻틗횸쇮맦쒣횮볤맘쾵,늢뎢쫔첽쳖쇋짏횤막쫐횸쇮뒦샭웕뇩늻뻟폐맦쒣뺭볃쳘헷뗄풭틲;뗚죽,룼좫쏦짮죫뗘럖컶쇋쓦쿲톡퓱돉놾뗄뷘쏦펰쿬틲쯘,냼삨뛔붻틗솿뗄붻틗쏜뛈뫍붻틗짮뛈뷸튻늽웊럖뗈;ퟮ뫳,퓚뾼달쓦쿲톡퓱돉놾죕쓚쒣쪽뗄믹뒡짏,뎢쫔첽쳖쇋붻틗믮풾탔뫍싲싴볛닮죕쓚쒣쪽뗄풭틲ꆣ뛾ꆢ볛닮뷡릹쪵횤럖뷢랽램놾컄훐컒쏇퓋폃DNR(DeJongetal.,1996)뫍GH(GlostenandHarris,1988)쒣탍쪵횤럖컶짏횤막쫐뗄볛닮뷡릹,웤훐,DNR쒣탍쫇쏅헫뛔횸쇮쟽뚯쫐뎡뛸랢햹뗄볛닮뷡릹쒣탍ꆣ(튻)DNR볛닮뷡릹쒣탍컒쏇틔싲랽쟽뚯붻틗캪샽뷩짜DNR쒣탍뗄믹놾쮼슷ꆣ짨R(q)뇭쪾막욱뛔펦횸쇮맦쒣q뗄싲랽쟽뚯붻틗뗄뺻쫕틦ꆣ볇횸쇮뒦샭ퟜ돉놾캪C(q)ꆣ룹뻝뇟볊쫕틦맦퓲(Glosten,1994),뇟볊뺻쫕틦Rꇤ(q)뗈폚뇟볊횸쇮뒦샭돉놾Cꇤ(q)볓짏횸쇮q떽듯쫐뎡뫳막욱볛횵풤웚뗷헻뗄쳵볾웚췻횵Ez[e(z)|zꇝq],웤훐Ez뇭쪾뛔횸쇮z맦쒣뗄럖늼쟳웚췻,e(z)뇭쪾뛔펦횸쇮맦쒣z쪱막욱볛횵릫릲풤웚뗄뗷헻ꆣ퓚e(z)뻟폐쿟탔탎쪽e(z)=e0+e1zꆢ횸쇮맦쒣z럾듓횸쫽럖늼F-qΠaz=1-e뗄쳵볾쿂,Ez[e(z)|zꇝq]=e0+e1(q+ꛁ),웤훐ꛁ쫇붻틗횸쇮럖늼뗄훐캻쫽돽틔log(2)ꆣ틲듋폐:Rꇤ(q)=Cꇤ(q)+e0+e1(q+ꛁ)(1)ꆡꆡ퓚욽뻹횸쇮뒦샭돉놾C(q)Πq:=c0+c1q쪱,뛔(1)쪽솽뇟믽럖늢춬쪱돽틔q뿉뗃떥캻싲랽쟽뚯횸쇮뗄욽뻹틧볛캪:R(q)Πq=c0+c1q+(e0+e1ꛁ)+1Π2e1q=R0+R1q(2)웤훐R0=c0+e0+e1ꛁꆢR1=c1+(1/2)e1,쓦쿲톡퓱뫍횸쇮뒦샭(욽뻹)돉놾럖뇰캪(e0+e1ꛁ)+(1/2)e1q뫍c0+c1qꆣ짨막욱볛룱Pt=yt+(R0+R1q1)Qt+ut,웤몬틥쫇막욱볛룱뗈폚막욱뗄쫂잰웚췻볛횵(y)t폫막욱뗄욽뻹틧볛횮뫍,웤훐쯦믺쿮ut폃틔늶ힽ볛룱샫즢뇤뮯뗈틲쯘뗄펰쿬킧펦ꆣqt쫇폃ퟮ킡붻틗떥캻뛈솿뗄붻틗횸쇮맦쒣ꆢQt캪붻틗쟽뚯횸쪾뇤솿(싲랽쟽뚯붻틗쪱Qt=1,싴랽쟽뚯붻틗쪱Qt=-1)ꆢ쿂뇪t캪붻틗쪱볤,퓲:ꚤPt+1=Pt+1-Pt=[yt+1+(R0+R1qt+1)Qt+1+ut+1]-[yt+(R0+R1q)tQt+ut]={[yt+(e0+e1q)tQt+ꛅt+1]+(R0+R1qt+1)Qt+1+ut+1}-[yt+(R0+R1q)tQt+ut]=ꚤ(R0+R1qt+1)Qt+1+(e0+e1q)tQt+et+1(3)짏쏦뗚죽룶뗈쪽랴펳막욱웚췻볛횵yt뗄뗷헻뛔막볛뇤뮯뗄췆뚯:횸쇮qt떽듯쫐뎡뫳막욱뗄뗷헻뫳릫릲풤웚볛횵캪yt+1=yt+(e0+e1q1)Qt+ꛅt+1,웤훐ꛅt+1듺뇭퓚t떽t+1웚볤떽듯쫐뎡뗄폫떱70
2009쓪뗚2웚잰붻틗솿컞맘뗄릫릲탅쾢ꆣ헻샭뫳볇et+1=ꛅt+1+ꚤut+1뿉뗃뗚쯄룶뗈쪽ꆣ틲듋,DNR쒣탍뿉뮯캪맀볆쿂쫶랽돌:ꚤPt=ꛌ+R0ꚤQt+R1ꚤ(qtQ)t+e0Qt-1+etqtQt-1+u(t4)퓚듋믹뒡짏,횸쇮뒦샭돉놾캪c0+c1q,웤훐c0=R0-e0-e1ꛁꆢc1=R1-(1Π2)e1;쓦쿲톡퓱돉놾캪(R0-c0)+(R1-c1)qtꆣ틾몬(폐킧)볛닮캪2(c0+c1q)t+((R0-c0)+(R1-c1)q)t,횱맛몬틥쫇춬뗈맦쒣뗄싴돶폖솢벴싲죫헢퇹튻룶췪헻쮫쿲붻틗맽돌쯹떼훂뗄볛룱뇤뚯럹뛈믲탨튪돐떣뗄돉놾ꆣ춨맽뇈뷏싲싴볛닮뫍쒣탍뗄틾몬볛닮뿉듓쇭튻룶닠쏦뛔쪵횤랢쿖뷸탐퇩횤ꆣ(뛾)GH볛닮뷡릹쒣탍믹폚놨볛쟽뚯쫐뎡뗄GH(GlostenandHarris,1988)쒣탍,냑싲싴볛닮럖뷢캪퓝쪱돉럖뫍돖뻃돉럖,퓚횸쇮쟽뚯쫐뎡짏럖뇰뛔펦횸쇮뒦샭뫍쓦쿲톡퓱돉놾,뿉춨맽맀볆쿂쫶랽돌쪵쿖:ꚤPt=ꛌ+c0ꚤQt+c1ꚤ(q)tQt+z0Qt+z1qtQt+u(t5)웤훐PtꆢQt뫍qt뗄몬틥뫍DNR쒣탍쪱튻퇹ꆣ퓚GH쒣탍훐,쓦쿲톡퓱돉놾캪z0+z1qt,횸쇮뒦샭돉놾캪c0+c1qt,틾몬(폐킧)볛닮캪2(c0+c1q)t+(z0+z1q)tꆣ죽ꆢ쫽뻝쏨쫶ꆢ풤뒦샭뫍믹놾쏨쫶춳볆럖컶(튻)쫽뻝쏨쫶뫍풤뒦샭놾컄닉폃뗄막욱퇹놾쫇짏횤180횸쫽뗄180횻돉럖막,톡좡뗄퇹놾쟸볤캪2005쓪3퓂1죕훁2005쓪5퓂31죕릲61룶붻틗죕ꆣ쫽뻝훷튪좡ퟔ짮?맺첩낲릫쮾뒴붨뗄막욱붻틗룟욵쫽뻝뿢,룃쫽뻝뿢2003쓪9퓂웰볇슼쇋막욱듺싫ꆢ붻틗죕웚ꆢ붻틗쪱볤ꆢ돉붻볛ꆢ돉붻솿ꆢ돉붻뛮ꆢ싲싴뇪쪶(싲랽뫍싴랽쟽뚯붻틗럖뇰틔ꆰBꆱ뫍ꆰSꆱ뇪쪶)ꆢ싲볛튻ꆢ싴볛튻ꆢ싲솿튻ꆢ싴솿튻뫍싲싴볛닮뗈35룶횸뇪ꆣ놾컄훐쎿횻막욱뗄쇷춨막쫽좡ퟔCSMAR쫽뻝뿢ꆣ컒쏇쿈즸톡풭쪼쫽뻝뷸탐죧쿂즾돽뒦샭:(1)쾵춳볇슼랢짺퓚맦뚨붻틗쪱볤(9:30ꆪ11:30뫍13:00ꆪ15:00)췢뗄쫽뻝볇슼;(2)돉붻볛ꆢ돉붻솿벰싲싴놨볛럇헽뗄쫽뻝볇슼;(3)싲싴볛닮럇헽뗄쫽뻝볇슼ꆣ(뛾)믹놾쏨쫶춳볆럖컶뇭2릫쮾맦쒣ꆢ막볛ꆢ붻틗솿ꆢ늨뚯탔뫍싲싴볛닮뗄믹놾쏨쫶춳볆솿뇤솿ퟜ쳥퇹놾(N=180)킡릫쮾(N=45)훐탍릫쮾(N=90)듳릫쮾(N=45)훐캻쫽뻹횵뇪ힼ닮훐캻쫽뻹횵뇪ힼ닮훐캻쫽뻹횵뇪ힼ닮훐캻쫽뻹횵뇪ힼ닮볛룱(풪)51072614015108441213412911166551157610583172619748195371738쇷춨막쫽6(10막)2071136619595121221412716521652071124811124195058441042쇷춨쫐횵6(10풪)1119198526624851949917144191119122338111336949963973늨뚯탔01195012007010558012163012296010580118880119460105075011623011644010359죕붻틗뛮6(10풪)10187191782518361884914928151310198131611018434114616137194죕붻틗솿6(10막)11993148851534118012115911596210862148311834318717168291606붻틗쏜뛈(듎)488145451626714444154571520751052318210750147721931816붻틗짮뛈(막)388948713902381742211810388941581788624378996407싲싴볛닮(풪)01012401015101009601012010126010026010122010144010073010124010175010152쿠뛔싲싴볛닮(%)0125660127540109590131070133011026012514012679010877012082012152010613ꆡꆡ뇭2룸돶쇋릫쮾맦쒣ꆢ막볛ꆢ붻틗솿ꆢ늨뚯탔뫍싲싴볛닮뗈뗄믹놾쏨쫶춳볆솿,웤훐붻틗솿뷸튻늽웊럖캪붻틗쏜뛈뫍붻틗짮뛈ꆣ볛룱캪룷붻틗죕죕쓚욽뻹붻틗볛룱뗄뻹횵,쇷춨막쫽캪막욱200471
뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿쓪쓪뗗(뷘훁2004쓪12퓂31죕)잰ퟮ뫳튻듎막놾뇤뚯뫳뗄쇷춨막쫽솿,쇷춨쫐횵캪쇷춨막쫽돋틔볛룱ꆣ죕붻틗솿(뛮)캪룷붻틗죕뗄뻹횵,죕붻틗쏜뛈캪죕쓚욽뻹붻틗듎쫽뗄뻹횵,붻틗짮뛈캪죕쓚욽뻹붻틗횸쇮맦쒣뗄뻹횵,늨뚯탔캪죕쓚볛룱뇤뚯싊뇪ힼ닮뗄뻹횵ꆣ캪랽뇣짏쫶죏쪶뇤솿볤뗄뷘쏦맘쾵,컒쏇룹뻝쇷춨쫐횵뗄75%뫍25%럖캻쫽냑퇹놾막욱럖돉듳ꆢ훐ꆢ킡릫쮾죽ퟩꆣꆡꆡ퓚퇹놾쟸볤쓚,짏횤180횸쫽돉럝막볛룱뗄훐캻쫽캪51072풪ꆢ뻹횵캪61401풪;쇷춨막쫽뗄훐캻쫽캪207냙췲막ꆢ뻹횵캪367냙췲막,쇷춨쫐횵뗄훐캻쫽캪11119틚풪ꆢ뻹횵19185틚풪;퇹놾막욱죕붻틗솿뫍붻틗뛮뗄뻹횵럖뇰캪31488냙췲막뫍19178냙췲풪,붻틗쏜뛈뗄뻹횵캪546듎,붻틗짮뛈뗄뻹횵캪4871막;볛룱늨뚯탔뗄뻹횵캪012007;뻸뛔싲싴볛닮뗄뻹횵캪010151풪,쿠뛔싲싴볛닮뗄뻹횵캪012754%ꆣ듳릫쮾욽뻹막볛룟ꆢ붻틗믮솿듳,막볛늨뚯탔쿠뛔뷏킡ꆣ듳ꆢ훐ꆢ킡릫쮾죽ퟩ뗄욽뻹쇷춨쫐횵럖뇰캪49196ꆢ12123ꆢ41997틚풪,욽뻹쇷춨막쫽럖뇰캪844ꆢ24811ꆢ12716냙췲막ꆣ듳ꆢ훐ꆢ킡릫쮾뗄욽뻹볛룱럖뇰캪81953ꆢ61058ꆢ41291풪,늨뚯탔뗄뻹횵럖뇰캪011644ꆢ011946ꆢ012296ꆣ듳릫쮾욽뻹볛룱룟,막볛늨뚯탔킡ꆣ듳ꆢ훐ꆢ킡릫쮾죕붻틗뛮뗄뻹횵럖뇰캪46161ꆢ13161ꆢ91492냙췲풪,죕붻틗솿뗄뻹횵럖뇰캪71682ꆢ21483ꆢ21159냙췲막,붻틗쏜뛈뗄훐캻쫽럖뇰캪750듎ꆢ510듎뫍445듎,붻틗짮뛈뗄훐캻쫽럖뇰캪6243ꆢ3889ꆢ3817막ꆣ듳릫쮾막뗄붻틗솿듳,훐ꆢ킡릫쮾막욱뗄붻틗솿뷏킡ꆣ듳릫쮾막뻸뛔싲싴볛닮듳ꆢ쿠뛔싲싴볛닮킡ꆣ퓚뇭2훐,듳ꆢ훐ꆢ킡릫쮾죽ퟩ뻸뛔싲싴볛닮뗄뻹횵럖뇰캪010175ꆢ010144ꆢ010126풪,쿠뛔싲싴볛닮뗄뻹횵캪012152%ꆢ012679%ꆢ0133%ꆣ틲캪뻸뛔싲싴볛닮뫢솿뗄뛔쿳쫇떥캻막욱ꆢ뛸쿠뛔싲싴볛닮뫢솿뗄뛔쿳퓲쫇떥캻믵뇒,듓춶헟춶쫕틦ퟮ듳뮯뗄뷇뛈,쿠뛔싲싴볛닮쫇룼뻟춶닎뾼볛횵뗄뛈솿횸뇪ꆣퟛ뫏짏쫶,듳릫쮾욽뻹막볛룟ꆢ붻틗솿듳,막볛늨뚯탔뷏킡ꆢ(쿠뛔)싲싴볛닮튲킡ꆣꆡꆡ맘폚퇹놾막욱붻틗솿ꆢ볛룱ꆢ늨뚯탔뫍싲싴볛닮죕쓚쒣쪽뗄믹놾춳볆럖컶볻뇭3ꆣ룕뾪엌쪱붻틗솿뷏듳,쇙뷼쫕엌쪱붻틗솿룼듳,훐볤쪱뛎붻틗솿쿠뛔뷏킡,죕쓚붻틗솿돊뷏뗤탍뗄ꆰUꆱ탍쒣쪽ꆣ붻틗쏜뛈뫍짮뛈뗄죕쓚쒣쪽튲돊ꆰUꆱ탍,웤훐붻틗쏜뛈뗄죕쓚ꆰUꆱ탍쒣쪽쳘뇰쏷쿔ꆣ막볛늨뚯탔죕쓚훷튪뇭쿖캪ꆰLꆱ탍쒣쪽,쯤좻쇙뷼쫕쫐쪱막볛늨뚯탔폐튻뚨돌뛈뗄짏짽,떫늢늻쏷쿔ꆣ막볛뗄죕쓚쒣쪽돊뗤탍뗄ꆰLꆱ탍ꆣ죕쓚뻸뛔뫍쿠뛔싲싴볛닮튲돊뗤탍뗄ꆰLꆱ탍ꆣ뇭3붻틗솿ꆢ볛룱ꆢ늨뚯탔뫍싲싴볛닮죕쓚쒣쪽뗄믹놾춳볆럖컶쪱뛎9:30ꆪ10:00ꆪ10:30ꆪ11:00ꆪ13:00ꆪ13:30ꆪ14:00ꆪ14:30ꆪ10:0010:3011:0011:3013:3014:0014:3015:00볛룱(풪)614076140461461399613986146140161397쇷뚯쫐횵6(10풪)19871986198519851984198519851984늨뚯탔01253601191011856011819011802011776011735011823붻틗뛮6(10풪)215262167121378119912104521381214431337붻틗솿6(10막)014591014749014202013437013545014152014244015974붻틗쏜뛈(듎)741572178651965811656114641376611785184붻틗짮뛈(막)42194671463043754554472247605361싲싴볛닮(풪)01020310101559010149901014920101466010143401014090101406쿠뛔싲싴볛닮(%)0134520127890127301271701268401264012601012591쯄ꆢ싲싴볛닮돉럖뗄쪵횤맀볆뇭4룸돶쇋DNR뫍GH쒣탍뗄맀볆닎쫽벰뛔쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍틾몬볛닮뗄맀쯣뷡맻,닉폃뗄럖ퟩ뇪ힼ폫뇭1쿠춬ꆣ뇭4A늿럖놨룦뗄맀볆닎쫽뫍뇪ힼ닮,쫇럖뇰뛔퇹놾막욱맀볆쒣탍닎쫽벰뛔펦닎쫽뗄뇪ힼ닮,좻뫳뛔룷ퟩ막욱좡욽뻹횵ꆣ뻟쳥맀볆짏쫶쒣탍쪱,컒쏇뷨본DeJongetal72
2009쓪뗚2웚(1996)뗄뒦샭랽램:쫗쿈,쳞돽횸쇮맦쒣듳폚쯹폐붻틗횸쇮99%럖캻쫽뗄붻틗쫽뻝,틔쿻돽듳뛮붻틗뛔맀볆뷡맻뗄룉죅(Hausmanetal.,1992);웤듎,퓋폃헽뎣붻틗떥캻(NMS:normalmarketsize)뛔붻틗횸쇮뷸탐뇪ힼ뮯뒦샭ꆣ웤훐,쎿튻횻막욱뗄헽뎣붻틗떥캻NMS뛔펦룃막욱쯹폐붻틗횸쇮뗄훐캻맦쒣(themediantransactionsize);ퟮ뫳퓋폃OLS맀볆쒣탍닎쫽,톡좡맀볆닎쫽뗄NewayandWest(1987)뇪ힼ닮ꆣ뇭훐튲놨룦쇋룹뻝DNR쒣탍닎쫽닢쯣볛닮돉럖쪱탨튪맀쯣뗄닎쫽ꛁꆣ뇭4B늿럖쫇룹뻝쒣탍맀볆닎쫽맀쯣뗄쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾벰틾몬볛닮ꆣ캪쇋뾼달쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾폫붻틗횸쇮맦쒣횮볤뗄맘쾵,컒쏇뛔q=0ꆢ015NMSꆢ1NMSꆢ2NMS럖뇰맀쯣쎿횻막욱뗄쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍틾몬볛닮,좻뫳뛔쎿ퟩ막욱좡욽뻹횵,웤훐q=0랴펳킡뛮붻틗횸쇮쟩탎ꆣ퇐뺿랢쿖뗄훷튪뷡싛죧쿂죽쳵:뇭4싲싴볛닮돉럖뗄쒣탍맀볆Aꆢ쒣탍닎쫽맀볆DNR쒣탍GH쒣탍R0R1e0e1ꛁc0c1z0z1킡릫쮾014518015210108622014813010769401365601039720108622014813(N=45)(01007652)(0102147)(0101015)(0102975)ꆡ(01007673)(0102141)(0101015)(0102975)훐탍릫쮾014960159160107936015441010612101416701047410107936015441(N=90)(01006886)(0102075)(0100917)(0102869)ꆡ(01006898)(010207)(0100917)(0102869)듳릫쮾016550176260109540176910104047015596-01006489010954017691(N=45)(01007201)(010258)(01009499)(0103587)ꆡ(01007212)(0102575)(01009499)(0103587)Bꆢ쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍틾몬볛닮q=0q=015q=1q=2q=0q=015q=1q=2쓦쿲톡퓱011235012439013642016048010862201326901567511049횸쇮뒦샭0132830146840160860188901365601385401405301445쓦쿲톡퓱(%)01025720105412010825301139301017010107382011306012443킡릫쮾횸쇮뒦샭(%)01084540111410114370120290109325010944401095640109803쓦쿲톡퓱뇈훘01255501326501364201404801173301443015752017096틾몬볛닮0178111811158121383018174110981137811939틾몬볛닮(%)0119480128240137015452012035012627013219014403쓦쿲톡퓱011123012483013843016564010793601351401623511168횸쇮뒦샭01383801543501703211023014167014404014641015115쓦쿲톡퓱(%)010166501040220106379011109010110105814011053011995훐탍릫쮾횸쇮뒦샭(%)0107612011004011246011731010817701082450108313010845쓦쿲톡퓱뇈훘0120740129380134060139120114080142240156101704틾몬볛닮018798113351179121702019127112321155221191틾몬볛닮(%)011689012410131301457101174501223012715013685쓦쿲톡퓱01121801314101506401890901095401479901864511634횸쇮뒦샭01533201722201911211289015596015564015531015466쓦쿲톡퓱(%)0101048010308010511101091750100731801047950108858011699듳릫쮾횸쇮뒦샭(%)01071701088590110550113930107486010714401068010106116쓦쿲톡퓱뇈훘0114590126070132290139270110520140470156017288틾몬볛닮1118811758213293146911215115931197121727틾몬볛닮(%)0115390120801262101370301157011908012246012922ꆡꆡ힢:뇭훐A늿럖()훐쫽ퟖ뇭쪾룷ퟩ막욱뛔펦맀볆닎쫽NewayandWest뇪ힼ닮뗄뻹횵ꆣB늿럖훐쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍싲싴볛닮뗄떥캻캪0101풪믲1럖;웤폠샠쯆;쓦쿲톡퓱뇈훘횸쓦쿲톡퓱뫍횸쇮뒦샭돉놾훐쓦쿲톡퓱돉놾쯹햼뗄뇈훘ꆣq뗄떥캻캪헽뎣붻틗떥캻NMS(normalmarketsize)ꆣ73
뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿11쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸퓶듳ꆣ뛔폚훐탍릫쮾ퟩ,떱횸쇮맦쒣q럖뇰캪0ꆢ015ꆢ1ꆢ2NMS쪱,DNR쒣탍뗄뻸뛔쓦쿲톡퓱돉놾캪011123ꆢ012483ꆢ013843ꆢ016564럖,쿠뛔돉놾캪0101665%ꆢ0104022%ꆢ0106379%ꆢ011109%,뇈훘캪012074ꆢ012938ꆢ013406ꆢ3912,킡릫쮾ꆢ듳릫쮾ퟩ막욱ꆢ틔벰GH쒣탍맀볆뷡맻튲뷒쪾쇋춬퇹뗄맦싉ꆣ뿉볻,쓦쿲톡퓱(뻸뛔뫍쿠뛔)돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸퓶듳ꆣ짏쫶랢쿖뫍EasleyandOꆯHara(1987)뗄샭싛풤닢튻훂:횪쟩헟캪돤럖샻폃쮽폐탅쾢믱샻,풸틢붻틗뗄횸쇮맦쒣뇈캴횪쟩헟듳,틲뛸듳뛮붻틗퓌몬쇋룼뛠쮽죋탅쾢ꆣ룃랢쿖튲뫍Linetal.(1995)뛔얦풼막쫐ꆢDeJongetal.(1996)뛔냍샨막쫐ꆢAhnetal.(2002)뛔뚫뺩막쫐뗄퇐뺿뷡싛튻훂ꆣ21횸쇮뒦샭돉놾웕뇩늻뻟폐맦쒣뺭볃쳘헷ꆣ놾컄뷶랢쿖듳릫쮾ퟩ뗄GH쒣탍횸쇮뒦샭돉놾뻟폐맦쒣뺭볃뗄벣쿳:떱q럖뇰캪0ꆢ015ꆢ1ꆢ2NMS쪱,횸쇮뒦샭뻸뛔돉놾캪015596ꆢ015564ꆢ015531ꆢ015466럖,쿠뛔돉놾캪0107486%ꆢ0107144%ꆢ0106801%ꆢ0106116%,횸쇮뒦샭돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸복킡,돊쿖쇋튻뚨뗄맦쒣뺭볃벣쿳ꆣ떫쫇,룹뻝맀볆닎쫽뗄뇪ힼ닮틗볻,듳릫쮾ퟩGH쒣탍훐뗄맀볆닎쫽퓚춳볆짏춨뎣늢늻쿔훸,늢쟒웤쯻쟩탎쿂횸쇮뒦샭돉놾뚼쯦횸쇮맦쒣뗄퓶듳뛸퓶듳,헢쮵쏷짏횤막쫐횸쇮뒦샭돉놾웕뇩늻뻟폐맦쒣뺭볃쳘헷ꆣ룃랢쿖뫍GlostenandHarris(1988)ꆢDeJongetal.(1996)ꆢAhnetal.(2002)뗄뷡싛닮틬뷏듳,쯻쏇뗄훷튪횤뻝횧돖횸쇮뒦샭돉놾뻟폐맦쒣뺭볃쳘헷뗄뷡싛ꆣ짏횤막쫐횸쇮뒦샭돉놾웕뇩늻뻟폐맦쒣뺭볃쳘헷뗄훷튪뿉쓜풭틲폐뛾:웤튻,퓚훆뛈짏붻틗럑폃믲펶뷰뗄볆쯣훷튪뇭쿖캪돉붻솿(뛮)뗄튻룶뇈샽ꆣ죧맻붻틗럑폃믲펶뷰뛔폚쎿듎붻틗캪튻만뚨쫽뛮,퓲횸쇮뒦샭춨뎣뻟폐맦쒣뺭볃쳘헷,죧맻붻틗럑폃믲펶뷰캪돉붻솿(뛮)뗄튻룶만뚨뇈샽,퓲횸쇮뒦샭돉놾춨뎣늻뻟폐맦쒣뺭볃쳘헷ꆣ컒맺막쫐막욱붻틗럑폃믲펶뷰뗄볆쯣훷튪뇭쿖캪돉붻뛮뗄튻룶뇈샽,헢뿉쓜쫇떼훂횸쇮뒦샭돉놾늻뻟폐맦쒣뺭볃쳘헷뗄훘튪풭틲ꆣ샽죧,퓚놾컄퇐뺿뗄퇹놾쟸볤쓚,막욱붻틗뗄펡뮨쮰쮰싊캪1ꇫ,욽뻹펶뷰듳싔캪2ꇫ,솽헟뫏볆캪013%ꆣ웤뛾,춶즢뮧ꆰ룺럧ꆱ탐캪웕뇩ꆣ쫐뎡캢맛뷡릹샭싛웕뇩죏캪,ퟶ쫐짌뗄듦믵돉놾쯦ퟅ붻틗횸쇮맦쒣뫍볛룱늨뚯탔뗄퓶듳뛸퓶듳ꆣ횸쇮쟽뚯쫐뎡늻듦퓚ퟶ쫐짌뗄듦믵돉놾,떫쿞볛횸쇮쳡붻헟돤떱쇋틾탔ퟶ쫐짌뗄뷇즫,틲뛸횸쇮쟽뚯쫐뎡튲듦퓚샠쯆뗄듦믵돉놾킧펦ꆣ쿖폐퇐뺿틑뺭힢틢떽쇋헢훖뿉쓜탔:죧맻냑쫐볛횸쇮쳡붻헟쫓캪쇷뚯탔탨쟳헟,냑쿞볛횸쇮쳡붻헟뾴돉쇷뚯탔쳡릩헟,퓲듓쿞볛횸쇮놻뚯컼쓉살ퟔ쫐볛횸쇮뗄듦믵틔뮻좡막볛쓦뗄뷇뛈,듦믵뿘훆샭싛튲쫊폃폚횸쇮쟽뚯쫐뎡(DeJongetal.,1995);떱싲싴볛닮랴펳듦믵돉놾쪱,놨볛뇤뚯믡돊쿖탲쇐뢺쿠맘,틲캪쇷뚯탔쳡릩헟믡뗷헻싲싴놨볛틔듙돉붻틗쪵쿖듦믵뻹뫢ꆣ샽죧,쇷뚯탔쳡릩헟쏦쇙쫐볛횸쇮싴돶붻틗쪱,싲싴놨볛뻹쟷폚쿂뗷틔ퟨ횹볌탸싴돶뛸맄샸싲죫,틔쪵쿖듦믵뻹뫢쪱놨볛믘뢴떽풭쮮욽(Stoll,1989)ꆣ퓚늻듦퓚듦믵돉놾킧펦쪱,쯤좻막욱볛룱튲믡뇤뮯,떫놨볛탲쇐좴늻믡돊쿖뢺쿠맘ꆣ틲듋,듓쿞볛횸쇮쳡붻헟뗄듦믵뿘훆뷇뛈,죧맻쿞볛횸쇮뗄놻뚯돉붻늻쓜뮻살볛룱쓦,뻍퓶볓쇋쿞볛횸쇮쳡붻헟뗄듦믵돉놾ꆣ놾컄훐뗄횸쇮뒦샭돉놾놾훊짏냼몬쇋듦믵돉놾킧펦,퓚헢룶틢틥짏,죧맻훚뛠뗄춶즢뮧ꆰ룺럧ꆱ탐캪웕뇩,듦믵돉놾킧펦뻍뿉쓜춻쿔돶살,떼훂횸쇮뒦샭돉놾뇭쿖캪늻뻟폐맦쒣뺭볃쳘헷ꆣ떱좻,붻틗쾵춳뒦샭듳뛮횸쇮좱랦킧싊,튲뿉쓜떼훂횸쇮뒦샭늻뻟폐맦쒣뺭볃쳘헷ꆣ31싲싴볛닮뗄쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾럖뷢뛔쒣탍뗄뻟쳥짨뚨폐튻뚨뗄쏴룐탔ꆣ샽죧,떱q=0벴횸쇮맦쒣뷏킡쪱,GH쒣탍뗄쓦쿲톡퓱뻸뛔돉놾ꆢ쿠뛔돉놾뫍뇈훘럖뇰킡폚DNR쒣탍;뛸떱q=015ꆢ1ꆢ2NMS쪱,GH쒣탍뗄쓦쿲톡퓱뻸뛔돉놾ꆢ쿠뛔돉놾뫍뇈훘좴럖뇰듳폚DNR쒣탍ꆣ룃랢쿖뫍DeJongetal.(1996)뛔DNR뫍GH쒣탍맘쾵뗄쳖싛튻훂:q<2ꛁ쪱(횸쇮맦쒣뷏킡)GH쒣탍뗄쓦쿲톡퓱돉놾킡폚DNR쒣탍,q>2ꛁ(횸쇮맦쒣뷏듳)쪱GH쒣탍쓦쿲톡퓱돉놾듳폚DNR쒣탍ꆣ74
2009쓪뗚2웚컥ꆢ릫쮾맦쒣ꆢ볛룱ꆢ붻틗믮풾탔ꆢ늨뚯탔폫쓦쿲톡퓱돉놾놾뷚훷튪첽쳖릫쮾맦쒣ꆢ볛룱ꆢ붻틗믮풾탔ꆢ늨뚯탔뛔쓦쿲톡퓱돉놾뗄뷘쏦펰쿬ꆣ뇭5룹뻝쎿룶펰쿬틲쯘뷸탐럖ퟩ,횱맛뾼달릫쮾맦쒣ꆢ볛룱ꆢ붻틗믮풾탔ꆢ늨뚯탔뛔쓦쿲톡퓱돉놾뗄뷘쏦펰쿬,웤훐,붻틗믮풾탔폃붻틗솿뫢솿,붻틗솿뷸튻늽럖뷢캪붻틗쏜뛈뫍붻틗짮뛈ꆣ퓚듋믹뒡짏,뇭6뾼달훷튪뇤솿횮볤뗄쿠맘맘쾵,늢뛔쓦쿲톡퓱돉놾뗄뷘쏦펰쿬틲쯘뷸탐믘맩럖컶ꆣ탨튪쳘뇰쮵쏷뗄쫇,쓦쿲톡퓱뻸뛔돉놾뫢솿뗄쫇떥횻막욱,뛸뺭볛룱뇪ힼ뮯뗄쿠뛔돉놾뫢솿뗄쫇떥캻믵뇒,듓춶헟춶쫕틦ퟮ듳뮯뗄뷇뛈,쿠뛔돉놾쫇룼뻟춶닎뾼볛횵뗄뫢솿횸뇪ꆣ샽죧,떥볛20풪뫍2풪뗄막욱,웤쓦쿲톡퓱뻸뛔돉놾럖뇰캪011풪뫍0105풪,퓚뻸뛔쫽솿짏쿔좻잰헟듳폚뫳헟ꆣ떫솽횻막욱뗄볛룱늻춬,뛔폚샻죳쒿뇪뗄닺춶,쿔좻잰쫶뷡싛닎뾼볛횵늻듳ꆣ춶짏쫶막욱뗄떥캻믵뇒뗄쓦쿲톡퓱돉놾럖뇰캪015%뫍215%,뫳헟쓦쿲톡퓱(쿠뛔)돉놾룼듳ꆣ믹폚짏쫶뾼싇,놾컄훐맘폚쓦쿲톡퓱돉놾뗄럖컶뻹틔쓦쿲톡퓱쿠뛔돉놾캪믹뒡ꆣ놾뷚훐맘폚쓦쿲톡퓱돉놾뗄맀볆뫍럖컶뛔펦튻룶헽뎣붻틗떥캻(NMS)뗄럖컶뷡맻ꆣ랢쿖뗄훷튪뷡싛죧쿂:11붻틗솿듳뗄막욱쓦쿲톡퓱돉놾뗍ꆣ퓚뇭5뗄DNR쒣탍맀볆뷡맻훐,붻틗솿듳ꆢ훐ꆢ킡죽ퟩ뗄쓦쿲톡퓱쿠뛔돉놾럖뇰캪0104434%ꆢ0106303%ꆢ0108598%,뻸뛔돉놾럖뇰캪0124ꆢ013632ꆢ016603럖,붻틗솿듳뗄막욱쓦쿲톡퓱쿠뛔(뻸뛔)돉놾뷏뗍ꆣGH쒣탍튲뷒쪾돶춬퇹뗄맦싉ꆣ퓚뇭6A훐,붻틗솿폫DNR뫍GH쒣탍뗄쓦쿲톡퓱쿠뛔돉놾퓚1%쮮욽쿂쿔훸뢺쿠맘,쿠맘쾵쫽럖뇰캪-016056뫍-015827ꆣ퓚뇭6B뗄믘맩럖컶(1)훐,붻틗솿뗄믘맩쾵쫽럖뇰퓚5%뫍10%쮮욽쿂쿔훸캪뢺ꆣ뿉볻,붻틗솿듳뗄막욱쓦쿲톡퓱돉놾뗍ꆣ뇭5릫쮾맦쒣ꆢ볛룱ꆢ붻틗믮풾탔ꆢ늨뚯탔폫쓦쿲톡퓱돉놾럖ퟩ막욱DNR쒣탍GH쒣탍쫽솿쓦쿲톡퓱쓦쿲톡퓱(%)횸쇮뒦샭(%)뇈훘쓦쿲톡퓱쓦쿲톡퓱(%)횸쇮뒦샭(%)뇈훘뗍폚4풪520121880107019011539013077013685011184011056015224볛룱4ꆪ10풪110013817010638601115301352201617701103801075401575룟폚10풪1811133010601096990137911185801098130105887016199쇷춨킡폚100280166830107848011243013858110390112160108119015967막쫽100ꆪ5001280139970106706011263013466016560111030108305015706듳폚500240123460104601117201283601415701082180108099015077쇷춨킡폚600290135090108598011488013650154580113580109904015747쫐횵600ꆪ3000120014065010636801122901342501660901105010816301564듳폚300031014866010499101105701315901838901087360106828015542킡폚25%럖캻쫽4501179101055590114230127940131630109785011001014943늨뚯탔25%ꆪ75%럖캻쫽9001331501066980112013554015408011092010778015801듳폚75%럖캻쫽45017971010716601116101378112810111350107428016025킡폚1390166030108598011331013943110310113240108668016069붻틗솿1ꆪ51150136320106303011246013366016020110520108246015603듳폚5260124010443401111901287801427301079970107628015178붻틗킡폚25%럖캻쫽4501488601087190114130138120176050113630109221015966쏜뛈25%ꆪ75%럖캻쫽9001427101064670112750133990170720110810108404015654듳폚75%럖캻쫽4501296501044690110220130720150401077310106962015296붻틗킡폚250029017921010718011116013907112450111030107306015995짮뛈2500ꆪ70001280134780106673011280134070157201110108467015633듳폚700023012791010505801122901292501494701091130108236015282ꆡꆡ힢:뇭훐쓦쿲톡퓱돉놾뗄떥캻캪0101풪,쇷춨막쫽ꆢ쇷춨쫐횵ꆢ붻틗솿ꆢ붻틗쏜뛈뫍붻틗짮뛈뗄떥캻뫍뇭1튻퇹ꆣ75
뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿21쫐뎡맘힢뛈룟뗄막욱쓦쿲톡퓱돉놾뗍ꆣDufourandEngle(2000)ꆢPascualetal.(2004)뗈랢쿖붻틗횸쇮맦쒣뫍붻틗쪱볤볤룴뚼뻟폐탅쾢뷒쪾릦쓜,헢틢캶ퟅ붻틗솿뿉틔뷸튻늽럖뷢캪붻틗쏜뛈뫍붻틗짮뛈솽룶캬뛈살뷸탐럖컶ꆣAhnetal.(2005)퓋폃쎿횻막욱뗄뺭볍짌쫽솿듺뇭막욱뗄쫐뎡맘힢돌뛈,랢쿖쫐뎡맘힢돌뛈풽룟ꆢ뺭볍짌풽뛠뗄막욱쓦쿲톡퓱돉놾풽뗍,죏캪뺭볍짌풽뛠춨맽웤뺭볍럾컱춶헟뿉틔믱좡뗄맘폚막욱볛횵뗄탅쾢풽뛠,틲뛸막욱뗄쓦쿲톡퓱돉놾풽뗍ꆣ놾컄뎢쫔냑붻틗솿럖뷢캪붻틗쏜뛈뫍붻틗짮뛈솽룶캬뛈살럖컶,웤훐,붻틗쏜뛈퓚튻뚨돌뛈짏랴펳쇋막욱뗄쫐뎡맘힢뛈ꆣ퓚뇭5훐,횱맛뗘,붻틗쏜뛈ꆢ붻틗짮뛈듳뗄막욱DNR뫍GH쒣탍뗄쓦쿲톡퓱돉놾뚼쿠뛔뷏뗍,뇭6A훐,붻틗쏜뛈뫍붻틗짮뛈듳뚼뫍쓦쿲톡퓱돉놾쿔훸뢺쿠맘ꆣ떫틲캪솽헟뚼뫍붻틗솿룟뛈헽쿠맘,틲듋,퓚뷸탐헽쪽뗄믘맩볬퇩쪱,뾼싇떽뇤솿횮볤릲쿟탔컊쳢뗄듦퓚탔,컒쏇냑믘맩랽돌(1)훐뗄붻틗솿횱뷓쳦뮻캪붻틗쏜뛈뫍붻틗짮뛈솽룶뇤솿퓋폃믘맩랽돌(2)뷸탐럖컶,믘맩뷡맻볻뇭6Bꆣ퇐뺿랢쿖,붻틗쏜뛈듳쫐뎡맘힢뛈룟뗄막욱쓦쿲톡퓱돉놾뗍,춬쪱,퓚쫐뎡맘힢뛈뗈틲쯘늻뇤쳵볾쿂,붻틗짮뛈듳뗄막욱쓦쿲톡퓱돉놾룟ꆣ듓붻틗쏜뛈랴펳막욱맘힢돌뛈뗄뷇뛈,놾컄뗄랢쿖뫍Ahnetal.(2005)뗄퇐뺿뷡싛튻훂ꆣ붻틗짮뛈듳뗄막욱쓦쿲톡퓱돉놾룟뗄랢쿖,뫍놾컄잰쏦쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣퓶듳뛸퓶듳뗄퇐뺿뷡싛튻훂,튲뫍횪쟩붻틗헟쟣쿲폚듳뛮붻틗뗄샭싛풤닢(EasleyandOꆯHara,1987)튻훂ꆣ뇭6쓦쿲톡퓱돉놾펰쿬틲쯘뗄쿠맘럖컶뫍믘맩럖컶A.훷튪뇤솿솽솽횮볤뗄쿠맘쾵쫽DNR쒣탍GH쒣탍ln(adv)ln(s)ln(p)ln(mkv)ln(vol)ln(n)ln(msiz)ln(adv)ln333(s)01180310133196933333ln(p)-01323120133367141-012129ln(mkv)-0133359180109150133336891333-015633ln(vol)-0133336056-013334170-01333124101650113-013358273333ln(n)-017658-0126790109193330158530133333388211-017542333ln(msiz)-013393-013333333335013333333334620-0129158220190360159741-013111B.쓦쿲톡퓱펰쿬틲쯘뗄믘맩럖컶DNR쒣탍GH쒣탍1212믘맩쾵쫽t춳볆솿믘맩쾵쫽t춳볆솿믘맩쾵쫽t춳볆솿믘맩쾵쫽t춳볆솿ln333(s)018513111543330160938125333018822111720133362228138333ln(p)-017361-12132-01333334442-6156-0137472-12126333-014339-6138ln(mkv)-0130406-1171-013330982-4131-01036333-1149-010977-4126ln3(vol)-0130543-2133-0130421-1177ln(n)-013333332835-7131-012879-7138333ln(msiz)01157941253330118524196333c-ons-016749-4143-013481-1158333-017514-4184333-016209-2181AdjR2squared016928017584016735017505ꆡꆡ힢:(1)놻뷢쫍뇤솿ln(adv)듺뇭룹뻝쿠펦쒣탍맀볆뗄쿠뛔쓦쿲톡퓱돉놾뗄ퟔ좻뛔쫽ꆣ뷢쫍뇤솿ln(s)캪늨뚯탔뗄ퟔ좻뛔쫽,ln(p)ꆢln(mkv)럖뇰캪볛룱뫍쇷뚯쫐횵뗄ퟔ좻뛔쫽,ln(vol)ꆢln(n)ꆢln(msiz)럖뇰캪붻틗솿ꆢ붻틗쏜뛈뫍붻틗짮뛈뗄ퟔ좻뛔쫽ꆣ-cons캪뎣쫽쿮ꆣ(23)ꆢ33ꆢ333럖뇰뇭쪾퓚10%ꆢ5%뫍1%쮮욽쿂춳볆쿔훸ꆣ76
2009쓪뗚2웚31볛룱늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟ꆣ퓚뇭5A뗄DNR쒣탍맀볆뷡맻훐,룟ꆢ훐ꆢ뗍늨뚯죽ퟩ뗄쓦쿲톡퓱쿠뛔돉놾캪0107166%ꆢ0106698%ꆢ0105559%,뻸뛔돉놾캪017971ꆢ013315ꆢ011791럖,뇈훘캪01378ꆢ013554ꆢ012794ꆣGH쒣탍뗄맀쯣뷡맻뫍DNR쒣탍튻훂ꆣ퓚뇭6A훐,볛룱늨뚯탔폫DNR뫍GH쒣탍뗄쓦쿲톡퓱돉놾쿔훸헽쿠맘ꆣ퓚뇭6B뗄믘맩볬퇩훐,늨뚯탔뗄믘맩쾵쫽뻹퓚1%쮮욽쿂쿔훸캪헽ꆣ뿉볻,볛룱늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟ꆣ41듳릫쮾막ꆢ룟볛막뗄쓦쿲톡퓱돉놾뗍ꆣ릫쮾맦쒣뗄뎣폃뫢솿횸뇪쫇쇷춨쫐횵ꆣ퓚뇭5훐,쇷춨쫐횵듳ꆢ훐ꆢ킡죽ퟩDNR쒣탍뗄쓦쿲톡퓱쿠뛔돉놾캪0104991%ꆢ0106368%ꆢ0108598%,GH쒣탍뗄쓦쿲톡퓱쿠뛔돉놾캪0108736%ꆢ01105%ꆢ011358%,횱맛뗘,쇷춨쫐횵듳뗄막욱쓦쿲톡퓱쿠뛔돉놾뗍(죧맻틔쇷춨막쫽뫢솿릫쮾맦쒣,퓲듳릫쮾막뗄쓦쿲톡퓱뻸뛔뫍쿠뛔돉놾뻹뷏뗍)ꆣ춬쪱,퓚뇭6A훐,쇷뚯쫐횵뫍볛룱퓚1%쮮욽쿂쿔훸헽쿠맘,쿠맘쾵쫽캪013689,틲뛸듳릫쮾뗄욽뻹막볛춨뎣뷏룟ꆣ퓚뇭5훐뛔폚볛룱뗄럖ퟩ훐튲튻훂뗘랴펳돶볛룱룟뗄막욱쓦쿲톡퓱쿠뛔돉놾뗍ꆣ퓚뇭6A훐,쇷춨쫐횵ꆢ볛룱뻹뫍쓦쿲톡퓱돉놾쿔훸뢺쿠맘ꆣ퓚뇭6B뗄믘맩볬퇩훐,볛룱뗄믘맩쾵쫽퓚1%쮮욽쿂뻹쿔훸캪뢺,쇷춨쫐횵뗄믘맩쾵쫽뻹캪뢺,쟒뇭쿖돶뷏룟뗄춳볆쿔훸탔ꆣ뿉볻,듳릫쮾막ꆢ룟볛막뗄쓦쿲톡퓱돉놾뗍ꆣ횵뗃힢틢뗄쫇,듳릫쮾(쇷춨쫐횵듳)ꆢ쳘뇰쫇룟볛막뗄쓦쿲톡퓱뻸뛔돉놾웕뇩뷏룟ꆣ샽죧,퓚뇭5훐,볛룱룟ꆢ훐ꆢ뗍죽ퟩGH쒣탍뗄쓦쿲톡퓱뻸뛔돉놾럖뇰캪11858ꆢ016177ꆢ013685럖,DNR쒣탍뗄쓦쿲톡퓱뻸뛔돉놾캪11133ꆢ013817ꆢ012188럖,쇷춨쫐횵럖ퟩ뗄쓦쿲톡퓱뻸뛔돉놾쟩뿶튲샠쯆ꆣ퓚뇭1뗄맩쓉훐컒쏇틑뺭힢틢떽,늻춬쒣탍뛔볛닮돉럖뗄돵쪼뛈솿랽쪽뿉쓜늻튻퇹,죧맻늻쿈춳튻볛닮돉럖뗄뛈솿랽쪽,늻춬쒣탍뫜뿉쓜뗃돶늻춬뗄뷡싛ꆣ샽죧,쓂웴맺뗈(2004)벰샗뻵쏺뫍퓸폂(2006)죏캪룟볛막쓦쿲톡퓱돉놾뷏룟뗄뷡싛,뫍놾컄룟볛막쓦쿲톡퓱뻸뛔돉놾룟뗄랢쿖쫇튻훂뗄,쯻쏇뚼닉폃MRR쒣탍뷸탐볛닮돉럖럖뷢,늢틔쓦쿲톡퓱뻸뛔돉놾ퟷ캪뷡싛믹뒡,틲뛸뗃돶뗄뷡싛쫇룟볛막쓦쿲톡퓱뻸뛔돉놾룟ꆣ맘폚릫쮾맦쒣ꆢ볛룱ꆢ붻틗솿ꆢ늨뚯탔폫쓦쿲톡퓱돉놾맘쾵뗄짏쫶랢쿖,뫍Merton(1987)ꆢStoll(2000)ꆢAhnetal.(2002)ꆢAhnetal.(2005)뗄믹놾뷡싛튻훂ꆣMerton(1987)횸돶,듳릫쮾평폚춸쏷뛈룼룟,룼죝틗쫜떽춶헟뫍뺭볍짌뗄맘힢,틲뛸듳릫쮾막뗄볛룱뷒쪾쇋룼뛠탅쾢ꆢ탅쾢럇뛔돆돌뛈룼뗍ꆣStoll(2000)튲랢쿖:듳릫쮾막뗄막볛룟ꆢ쓦쿲톡퓱돉놾뗍,뛸뗍볛막퓲틲캪막볛샫즢뇤뮯뗈풭틲럧쿕돌뛈룼룟,뛸쟒쿠펦뗄탅쾢엻슶튲춨뎣뷏짙,쓦쿲톡퓱돉놾룼룟;붻틗솿듳뗄막욱쓦쿲톡퓱돉놾뗍ꆣAhnetal.(2002)ꆢAhnetal.(2005)뗄퇐뺿뷡싛뫍Stoll(2000)튻훂ꆣ쇹ꆢ쓦쿲톡퓱돉놾뫍탅쾢탔붻틗뗄죕쓚쒣쪽쓦쿲톡퓱돉놾뛈솿뗄쫇붻틗뗄탅쾢럇뛔돆돌뛈믲탅쾢탔붻틗뗄돌뛈ꆣ컒쏇럖뇰퓋폃DNR뫍GH쒣탍,틔쎿30럖훓캪튻룶쪱뛎,맀볆룷붻틗쪱뛎뗄쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍틾몬볛닮,틔첽닢쓦쿲톡퓱돉놾뗄죕쓚쒣쪽벰웤풭틲ꆣ뇭7룸돶쇋떱붻틗횸쇮맦쒣캪1NMS쪱쓦쿲톡퓱돉놾죕쓚쒣쪽뗄맀쯣뷡맻ꆣ쓦쿲톡퓱돉놾죕쓚돊ꆰLꆱ탍쒣쪽ꆣ퓚DNR뫍GH쒣탍맀쯣훐,쓦쿲톡퓱뻸뛔돉놾뫍쿠뛔돉놾뻹뇭쿖캪룕뾪엌쪱ퟮ룟,쯦뫳훰붥쿂붵쟷폚욽컈,쓦쿲톡퓱돉놾뗄죕쓚쒣쪽돊ꆰLꆱ탍ꆣ럖뇰맛달퓧쫐뫍컧쫐,랢쿖쓦쿲톡퓱돉놾퓚퓧쫐뫍컧쫐튲럖뇰돊ꆰLꆱ탍,컧쫐뾪엌쪱쓦쿲톡퓱돉놾폐튻뚨뗄짏짽ꆣ뿉볻,짏횤막쫐뗄쮽폐탅쾢훷튪퓚럇붻틗쪱뛎벯뻛,퓧쫐룕뾪엌쪱듦퓚듳솿횪쟩붻틗,훐컧택쫐쪱튲벯뻛쇋튻뚨뗄쮽폐탅쾢,쿂컧쇙뷼쫕쫐쪱횪쟩붻틗늻쏷쿔ꆣ놾컄쓦쿲톡퓱(뻸뛔)돉놾죕쓚돊ꆰLꆱ탍쒣쪽뗄랢쿖,뫍샗뻵쏺뫍퓸폂(2006)뗄믹놾뷡싛튻훂ꆣ쯻쏇퓋폃MRR쒣탍뷸탐볛닮돉럖럖뷢,틔쓦쿲톡퓱뻸뛔돉놾ퟷ캪뷡싛믹뒡,늢냑죕쓚쒣쪽뚨틥캪77
뫎돏펱뗈:훐맺막욱쫐뎡쓦쿲톡퓱돉놾퇐뺿싔캢킱훃뗄ꆰLꆱ탍,잿뗷캲늿뗄짏짽늻쏷쿔,뫍놾컄뗄뷡싛쫇튻훂뗄ꆣ쇭췢,횵뗃튻쳡뗄쫇,췵횾잿뫍돂엠삤(2006)쪹폃LSB쒣탍,뛔짮붻쯹쓦쿲톡퓱돉놾퓧쫐돊ꆰ떹Uꆱ컧쫐돊ꆰLꆱ탍뗄랢쿖,뫍놾컄뗄뷡싛쎻폐횱뷓뗄뿉뇈탔,틲캪LSB쒣탍쫇닉폃햼냫폐킧볛닮뗄뇈샽살뛈솿쓦쿲톡퓱돉놾,뫍놾컄닉폃뗄뛈솿랽쪽닮뇰뫜듳ꆣ뇭7쓦쿲톡퓱돉놾뫍탅쾢붻틗뗄죕쓚쒣쪽쪱뛎9:30ꆪ10:0010:00ꆪ10:3010:30ꆪ11:0011:00ꆪ11:3013:00ꆪ13:3013:30ꆪ14:0014:00ꆪ14:3014:30ꆪ15:00DNR쒣탍쓦쿲톡퓱0152240140701392901401801421101388601384901363횸쇮뒦샭01852201711301714901702101714201693301684017804쓦쿲톡퓱(%)01081770106481010641801063610106779010627801061720105659횸쇮뒦샭(%)011420112150112390112011221011175011179011306쓦쿲톡퓱뇈훘01362501348101342601342701355501347013435013005틾몬볛닮212271183118231180611849117751175311924틾몬볛닮(%)01365801307901312013036013121012978012976013177GH쒣탍쓦쿲톡퓱018228016582016373016653016999016361016379016099횸쇮뒦샭01551801460201470501438601435401445801431015334쓦쿲톡퓱(%)0112920110580110550110560111380110350110280109576횸쇮뒦샭(%)01094650108054010826401078030107612010768301076870109141쓦쿲톡퓱뇈훘01572901569801564401569901596201572015722015077틾몬볛닮11926115791157811542115711152811511677틾몬볛닮(%)01318501266901270801261601266012571012565012786ꆡꆡ힢:쓦쿲톡퓱ꆢ횸쇮뒦샭돉놾뫍틾몬볛닮뗄떥캻캪0101풪ꆣ횸쇮뒦샭돉놾죕쓚돊ꆰUꆱ탍쒣쪽ꆣ퓚DNR뫍GH쒣탍맀쯣뷡맻훐,횸쇮뒦샭뻸뛔뫍쿠뛔돉놾뻹캪룕뾪엌쪱ퟮ룟,횮뫳뒦폚뷏뗍쮮욽,쇙뷼쫕엌쪱듯떽죕쓚듎룟캻,죕쓚돊ꆰUꆱ탍쒣쪽ꆣ횸쇮뒦샭돉놾죕쓚뗄ꆰUꆱ탍쒣쪽,뫍놾컄뗚죽늿럖붻틗솿ꆢ붻틗짮뛈뗄죕쓚쒣쪽튻훂,듓쇭튻닠쏦퓙듎퇩횤쇋횸쇮뒦샭뗄맦쒣뺭볃쳘헷늻쏷쿔ꆣ쓦쿲톡퓱돉놾죕쓚돊ꆰLꆱ탍쒣쪽,쮵쏷룕뾪엌쪱듦퓚듳솿횪쟩붻틗ꆢ쇙뷼쫕엌쪱횪쟩붻틗늻쏷쿔ꆣ춬쪱,붻틗믮풾탔죕쓚튲돊ꆰUꆱ탍쒣쪽,룕뾪엌뫍쇙뷼쫕엌쪱붻틗뚼뫜믮풾ꆣퟛ짏솽헟,짏횤막쫐룕뾪엌쪱붻틗믮풾뗄훷튪풭틲쫇횪쟩붻틗,뛸쇙뷼쫕엌쪱붻틗믮풾뗄훷튪풭틲퓲쫇쇷뚯탔붻틗,룕뾪엌뫍쇙뷼쫕엌쪱붻틗믮풾뗄풭틲뷘좻늻춬ꆣ틾몬볛닮뗄죕쓚쒣쪽훷튪돊ꆰLꆱ탍ꆣ퓚DNR뫍GH쒣탍맀볆뷡맻훐,틾몬볛닮뻸뛔쫽횵뫍쿠뛔냙럖쫽뻹퓚룕뾪엌쪱ퟮ룟,쯦뫳뒦폚쿠뛔뷏뗍쮮욽,죕쓚쒣쪽훷튪돊ꆰLꆱ탍ꆣ틾몬볛닮뗄죕쓚ꆰLꆱ탍쒣쪽,뫍놾컄뗚죽늿럖싲싴볛닮뗄죕쓚쒣쪽튻훂ꆣ틾몬볛닮죕쓚뗄ꆰLꆱ탍쒣쪽뫍쓦쿲톡퓱돉놾튻훂,좴뫍횸쇮뒦샭돉놾뗄죕쓚쒣쪽뻟폐쏷쿔뗄닮뇰,쮵쏷쓦쿲톡퓱돉놾뫍탅쾢탔붻틗쫇싲싴볛닮죕쓚쒣쪽뗄훘튪뻶뚨틲쯘ꆣ웟ꆢ뷡싛폫헾닟몬틥짏쏦퓋폃DNR뫍GH쒣탍쪵횤럖뷢짏횤막쫐뗄볛닮돉럖,첽쳖볛닮돉럖폫붻틗횸쇮맦쒣뗄맘쾵,뾼달릫쮾맦쒣ꆢ볛룱ꆢ붻틗믮풾탔ꆢ늨뚯탔뛔쓦쿲톡퓱돉놾뗄펰쿬,첽닢쓦쿲톡퓱돉놾벰탅쾢탔붻틗뗄죕쓚쒣쪽벰웤돉틲ꆣ랢쿖뗄훷튪뷡싛쫇:78
2009쓪뗚2웚11쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣뗄퓶듳뛸퓶듳,횸쇮뒦샭웕뇩늻듦퓚맦쒣뺭볃쳘헷ꆣ쓦쿲톡퓱돉놾쯦ퟅ붻틗횸쇮맦쒣뗄퓶듳뛸퓶듳,틢캶ퟅ횪쟩붻틗헟쟣쿲폚뷸탐듳뛮횸쇮붻틗ꆣ짏횤막쫐횸쇮뒦샭웕뇩늻듦퓚맦쒣뺭볃쳘헷,늻춬폚뛔웤쯻막쫐뗄퇐뺿뷡싛,훷튪뗄뿉쓜풭틲폐뛾:튻쫇퓚훆뛈짏붻틗럑폃믲펶뷰훷튪뇭쿖캪돉붻솿(뛮)뗄튻룶뇈샽,뛾쫇춶즢뮧ꆰ룺럧ꆱ탐캪웕뇩ꆣ21듳릫쮾막ꆢ룟볛막뗄쓦쿲톡퓱돉놾뗍,붻틗솿듳ꆢ쫐뎡맘힢뛈룟뗄막욱쓦쿲톡퓱돉놾뗍,늨뚯탔듳뗄막욱쓦쿲톡퓱돉놾룟ꆣ듳릫쮾평폚춸쏷뛈뷏룟,룼죝틗쫜떽춶헟뗄맘힢,틲뛸듳릫쮾뫍쫐뎡맘힢뛈룟뗄막욱뗄볛룱뷒쪾쇋룼뛠탅쾢,탅쾢럇뛔돆돌뛈룼뗍ꆣ뗍볛막퓲틲캪막볛샫즢뇤뮯뗈풭틲,쟒쿠펦뗄탅쾢엻슶튲춨뎣뷏짙,틲뛸쓦쿲톡퓱돉놾룼룟;늨뚯탔듳뗄막욱럧쿕돌뛈룼룟,틲뛸쓦쿲톡퓱돉놾룟ꆣ31쓦쿲톡퓱돉놾죕쓚돊ꆰLꆱ탍쒣쪽ꆣ헢틢캶ퟅ쮽폐탅쾢훷튪퓚룴특뗄럇붻틗쪱뛎뻛벯,룕뾪엌쪱횪쟩헟벱폚돉붻믱샻,룕뾪엌쪱붻틗믮풾뗄훷튪풭틲쫇탅쾢탔붻틗,쯦ퟅ쮽폐탅쾢뗄쫍럅,쇙뷼쫕엌쪱붻틗믮풾뗄훷튪풭틲퓲쫇쇷뚯탔붻틗ꆣ훐컧택쫐쪱뛎튲믽뻛쇋튻뚨뗄쮽폐탅쾢ꆣ짏쫶랢쿖뛔쳡룟컒맺막쫐뗄킧싊뫍쇷뚯탔튲뻟폐쿠펦뗄헾닟몬틥:(1)엠폽믺릹춶헟,컼틽룼뛠춶헟닎폫막쫐ꆣ엠폽믺릹춶헟뿉틔복쟡쫐뎡짏뗄룺럧탐캪,듙쪹횸쇮뒦샭탎돉맦쒣뺭볃,쳡룟쫐뎡쇷뚯탔ꆣ컼틽룼뛠춶헟닎폫막쫐,쳡룟붻틗믮풾탔,퓶잿막욱뗄쫐뎡맘힢뛈,폐샻폚붵뗍막욱뗄쓦쿲톡퓱돉놾,쳡룟쫐뎡킧싊ꆣ(2)퓶잿뛔벯뫏뺺볛뾪엌믺훆뗄탅쾢엻슶ꆣ쮽죋탅쾢훷튪퓚럇붻틗쪱뛎벯뻛,짏횤막쫐벯뫏뺺볛뾪엌믺훆벸뫵췪좫럢뇕,퓚벯뫏뺺볛웚볤쎻폐죎뫎탅쾢엻슶,떼훂룕뾪엌쪱횪쟩붻틗믮풾ꆣ퓶잿뛔벯뫏뺺볛뾪엌믺훆뗄탅쾢엻슶,뿉붵뗍룕뾪엌쪱뗄탅쾢럇뛔돆돌뛈,쳡룟뾪엌볛뗄폐킧탔ꆣ(3)룹뻝막욱볛룱닮뇰짨훃ퟮ킡놨볛떥캻ꆣ쒿잰짏횤막쫐닉폃뗄ퟮ킡놨볛떥캻캪0101풪,평폚만뚨뗄ퟮ킡놨볛떥캻뫍막욱볛룱샫즢뇤뮯뗈풭틲,뗍볛막쓦쿲톡퓱돉놾룟ꆣ뿉닎뾼쿣룛뫍죕놾막쫐뛔ퟮ킡놨볛떥캻뗄ퟶ램,룹뻝막욱볛룱닮뇰짨훃ퟮ킡놨볛떥캻,틔퓶잿쫐뎡뗄탅쾢킧싊ꆣ(4)췘뿭탅쾢쇷춨쟾뗀ꆢ잿뮯탅쾢엻슶믺훆ꆣ뗍볛막쓦쿲톡퓱돉놾룟뗄폖튻풭틲,쫇뗍볛막쫜떽뗄쫐뎡맘힢짙ꆢ탅쾢엻슶튲쿠뛔뷏짙ꆣ틲듋,펦볓잿짏쫐릫쮾뗄탅쾢엻슶볠맜,퓶잿막쫐뗄탅쾢킧싊뫍쇷뚯탔ꆣ놾컄뗄퇐뺿튲듦퓚늻ퟣꆣ죧퓚놾컄뗄럖컶훐,컒쏇쎻폐쓜릻닢쯣횸쇮쟽뚯쫐뎡짏싲싴볛닮훐뗄듦믵돉놾돉럖,튲쎻폐첽쳖싲싴볛닮돉럖벰웤펰쿬틲쯘횮볤뗄뚯첬펰쿬킧펦,헢킩랽쏦릹돉쇋캴살짮죫퇐뺿뗄뿉쓜랽쿲ꆣ닎뾼컄쿗닜펭뒺ꆢ쇵짆듦ꆢ쟱?뮪,2006ꆶ:짏몣횤좯쫐뎡죕쓚볛룱뇤뮯뗄펰쿬틲쯘퇐뺿ꆷꆶ,쾵춳릤돌샭싛폫쪵볹ꆷ뗚7웚ꆣ뚭럦ꆢ몫솢퇒,2006ꆶ:훐맺막쫐춸쏷뛈쳡룟뛔쫐뎡훊솿펰쿬뗄쪵횤럖컶ꆷꆶ,뺭볃퇐뺿ꆷ뗚5웚ꆣ몫뚬ꆢ췵뒺럥ꆢ퓀믛,2006ꆶ:훐맺막쫐싲싴볛닮돉놾럖컶ꆷꆶ,놱뺩샭릤듳톧톧놨ꆷ뗚2웚ꆣ샗뻵쏺ꆢ퓸폂,2006ꆶ:짏몣막쫐싲싴볛닮돉럖럖컶ꆷꆶ,쾵춳릤돌ꆷ뗚6웚ꆣ쓂웴맺ꆢ컢돥럦ꆢ쇵몣쇺,2004ꆶ:짮횤횤좯붻틗쯹싲싴볛닮뗄릹돉럖컶ꆷꆶ,쾵춳릤돌샭싛랽램펦폃ꆷ뗚3웚ꆣ쟼컄훞ꆢ컢쫀얩,2002ꆶ:훐맺막욱쫐뎡캢맛뷡릹뗄쳘헷럖컶ꆷꆶ,뺭볃퇐뺿ꆷ뗚1웚ꆣ쯕뚬캵,2004ꆶ:컒맺막쫐쇷뚯탔폫횴탐돉놾퇐뺿ꆷꆶ,뺭볃뿆톧ꆷ뗚2웚ꆣ췵횾잿ꆢ돂엠삥,2006ꆶ:짮쫐싲싴볛닮쓦쿲톡퓱돉럖뗄맀쯣폫럖컶ꆷꆶ,횤좯쫐뎡떼놨ꆷ뗚3웚ꆣ퇮뎯뻼ꆢ쯯엠풴ꆢ쪩뚫믔,2002ꆶ:캢맛뷡릹ꆢ쫐뎡짮뛈폫럇뛔돆탅쾢:뛔짏몣막쫐죕쓚쇷뚯탔쒣쪽뗄튻룶뷢쫍ꆷꆶ,쫀뷧뺭볃ꆷ뗚11웚ꆣAhn,.,Cai,J.,Hamao,,R.,2002,ꆰTheComponentsoftheBid2askSpreadinaLimit2orderMarket:EvidencefromtheTokyoStockExchangeꆱ,JournalofEmpiricalFinance,9:399ꆪ,.,Cai,J.,Hamao,,2005,ꆰAdverseSelection,BrokerageCoverage,andTradingActivityontheTokyoStockExchangeꆱ,JournalofBanking&Finance,29:1483ꆪ,W.(pseudonymforJackTreynor),1971,ꆰTheOnlyGameinTownꆱ,FinancialAnalystsJournal,27:31ꆪ,.,2000,AdverseSelection,InventorycostandMarketDepth:AnEmpiricalAnalysisofIntradayPriceMovementintheStock79
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