부채와 자산간 듀레이션을 일치시키는 투자전략을 사용하는 보험투자자는 대표적인 장기투자자이다. 유동성 제고, 리스크관리 측면에서 고빈도 알고리즘 매매(High Frequency Trading, 이하, HFT)가 확산되는 상황에서 보험투자자도 이러한 HFT 전략을 활용하는지 분석하였다. 분석 결과에 따르면, 일부 보험투자자는 단기추세의 지속성을 예측하고 반복적 단주주문으로 매수한 물량을 익일에 반복적 단주주문으로 매도하는 HFT 스윙트레이딩 전략을 사용하였다. 또한, HFT 생명보험 투자자와 HFT 손해보험 투자자간 유사한 알고리즘 전략을 사용함에도 불구하고 개별종목의 유동성, 변동성 및 효율성에 미치는 영향력이 상이하게 나타났다. 이러한 원인들 중에 하나로 호가 전략의 차이가 있음을 확인하였다. 본 연구는 장기투자자인 보험투자자도 HFT 전략을 사용하며, 생명보험 투자자와 손해보험 투자자의 매매가 개별종목에 미치는 영향력에 차이가 있음을 확인했다는 점에서 기여하는 바가 크다고 하겠다.

Insurance investors who use investment strategies that match the duration between debt and assets are representative long-term investors. In terms of liquidity and risk management, it was analyzed whether insurance investors also use these short-term strategies in a situation where high frequency trading is spreading According to the analysis results, some insurance investors used a swing trading strategy to predict the continuity of the short-term trend and sell the quantity purchased by repeated short-term orders as repeated short-term orders the next day.

In addition, despite the use of similar HFT algorithmic strategies between HFT life insurance investor and HFT non-life insurance investor, the impact on the liquidity, volatility, efficiency of individual stocks was different.

As one of these causes, it was confirmed that there was a difference in the submitting order strategy. The algorithm used by HFT life insurance investor is an active submission strategy that reduce spreads formed in the market. but it is a passive trading strategy that is non-initiated by the other traders’s orders. On the other hand, the algorithm used by HFT non-life insurance investor directly submits buying order to the lowest selling price or selling order to the highest buying price. If the order exhausts the remaining amount of the lowest price, it can expand the spread formed in the market and is an active trading strategy to initiate the other traders’ orders Unlike general insurance investors who use contrarian strategies and act as market stabilizers, HFT insurance investors used momentum strategies to increase liquidity, reduce volatility and contribute to market efficiency. However, it was also confirmed that although similar algorithms are used between HFT life-insurance investors and HFT non-life insurance investors, they show different results in influence on individual stocks price and the prediction of stock price.

This study can find its contribution in that HFT insurance investor, who recognized as long-term investor, also use a HFT strategy and confirm that there is a difference in market influence between HFT life insurance investor and HFT non-life insurance investor.