레버리지 ETF의 변동성 증폭 구조와 정책적 시사점

초록

This study analyzes the microstructural mechanisms through which the rapidly expanding single-stock leveraged ETFs in the Korean capital market impede the price discovery function and amplify endogenous volatility. Based on a dynamic simulation utilizing the actual market scales of large-cap semiconductor stocks, the results demonstrate that mechanical, pro-cyclical rebalancing concentrated at the market-on-close (MOC) induces directional distortion, systematically driving asset prices away from their fundamental values depending on market conditions. In particular, this study provides evidence that as the assets under management (AUM) of these linked products expand, the liquidity breakdown threshold of the limit order book declines steeply. Consequently, even minor illiquidity frictionscan cause mechanical selling pressure to escalate directly into tail risk. Drawing on these findings, this study offers policy implications to enhance macroprudential stability and prevent the transmission of microstructural risks into systemic risks. Specifically, we propose the introduction of dynamic AUM caps, the normalization of creation fees to mitigate structural conflicts of interest among Authorized Participants (APs), and restrictions on listing ultra-high leveraged products.

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