In this research, we studied the characteristics of the member firms on the Korea Exchange. The member firms intermediate between the market participants and the exchange, and all the participants trade stocks through members. To identify the characteristics of member firms, we categorized all member firms in terms of the type of investor into three groups, domestic members similar to individuals (DIMs), domestic members similar to institutions (DSMs), and foreign members (FRMs). We examined the dynamics of the member firms, and the trading characteristics of members was revealed through the directionality and trend. While FRMs tend to trade one-way and move with the price change, DIMs are the opposite. In the market, DIMs and DSMs do herd, and the herding moves in the opposite direction of the price change. One the other hand, FRMs do herd in the direction of the price change. The network analysis supports that the members are clustered into three groups similar to DIMs, DSMs, and FRMs. Finally, random matrix theory and a cross-sectional regression showed that the inventory variation of members possessed significant information about stock prices and that member herding helped to price the stocks.

中文翻译：

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韩国交易所会员企业的交易特点

在这项研究中，我们研究了韩国交易所成员公司的特征。成员公司介于市场参与者和交易所之间，所有参与者都通过成员进行股票交易。为了识别成员所的特征，我们根据投资者类型将所有成员公司分为三类，类似于个人的国内成员（DIMs）、类似于机构的国内成员（DSMs）和外国成员（FRMs）。我们考察了成员公司的动态，通过方向和趋势揭示了成员的交易特征。虽然 FRM 倾向于单向交易并随着价格变化而移动，但 DIM 则相反。在市场上，DIMs 和 DSMs 做羊群，羊群与价格变化的方向相反。另一方面，FRM 会朝着价格变化的方向羊群。网络分析支持将成员聚类为类似于 DIM、DSM 和 FRM 的三组。最后，随机矩阵理论和横截面回归表明，成员的库存变化具有关于股票价格的重要信息，成员羊群有助于为股票定价。