파생상품 양도소득세 도입과 세율인상이 시장의 유동성과 변동성에 미치는 영향 ―KOSPI200 선물시장을 중심으로―

On January 1, 2016, the Korean government started to impose a capital gains tax of 5% on KOSPI200 stock futures. Since then, from April 1, 2018, the capital gains tax rate on the futures has increased from 5% to 10%. Meanwhile, capital gains tax is not levied on individual stock futures. These policy experiments provide a unique opportunity to empirically estimate the effects of capital gains tax on trading activities, liquidity, and volatility in the future market. Using the daily data of KOSPI200 futures and stock futures from June 1, 2015, to the end of September 2018, the DID methodology was implemented to estimate the effect of the introduction of capital gains tax and the tax rate increase on the trading activity, liquidity, and volatility of the KOSPI 200 futures market. The results show that when taxed at the capital gains tax rate of 5%, there was no effect on trading volume and trading value. However, after the tax rate was raised, the trading volume and values of KOSPI200 Futures decreased by about 28% and 24%, respectively. At the same time, the volatility fell or was unchanged. Therefore, the policy implication of this study is that it is necessary to increase the tax rate gradually in order to reduce the market shock and impose taxation because the transaction volume or transaction value can be greatly reduced according to the increase in the tax rate on the capital gains tax on derivatives.