Trends and relationship analysis of the Composite Stock Price Index, Investor Deposits, Credit Loan Balances and Derivatives Transaction Deposit
Authors:   Asia-Europe Perspective Association, Yang Seung Kwon , Choi Jeong Il 
Published: December 2024

The In this study, investors’ deposits, credit loan balances, and derivatives transaction deposits were selected with the expectation that funds around the stock market would have an effect on the KOSPI. And the extent to which funds around the stock market are affecting the KOSPI is analyzed. The data used in this study were retrieved from ECOS of the Bank of Korea and organized. The analysis period is a total of 257 monthly data from January 2000 to May 2021. And this study calculated the rate of change from the previous month for each variable.
To invest in stocks, investors must open an account at a securities company and deposit money. We call this money the investor’s deposit. An increase in investor deposits means that investors wait for the time of purchase to buy stocks. By examining whether investor deposits increase or decrease, investors can predict whether the stock market will rise or not.
The credit loan balance is a measure of how much credit investors have invested with a certain level of collateral. The credit loan balance means that the securities company lends the transaction amount for stock trading after depositing a certain margin to the investor. Therefore, the increase or decrease of the credit loan balance is recognized as an important indicator to understand the trend of the stock market.
Derivatives trading is a transaction made in the derivatives market, and the investment risk is very high, and sometimes large losses can occur in a short period of time. The amount of loss caused by derivatives trading is not limited to the deposit, and in some cases, the entire amount may be lost or may exceed the deposit.
Looking at descriptive statistics, volatility is relatively large in investor deposits and derivatives trading deposits, and relatively small in credit loan balances and KOSPI. All variables show high density around the mean. In the correlation analysis, the KOSPI maintains a certain level of correlation with the credit loan balance and investor deposits. On the other hand, it appears that there is no relationship between the KOSPI and derivatives trading deposits. In the regression analysis where the KOSPI was an independent variable, the credit loan balance and investor deposits were statistically significantly calculated. Also, each variable was found to fluctuate independently of each other.
The increase rate was the highest in the order of 3,882% of credit loan balances, 1,020% of derivatives transactions deposits, 681% of investors deposits and 339% of KOSPI. Since April 2020, the growth rate of the credit loan balance has rapidly increased from 1,100% to 3,882%, leading to the stock market’s rise. In the Scatter analysis, the distribution of credit loan balances with respect to the KOSPI is generally upward-sloping, indicating a relatively high synchronization phenomenon. On the other hand, the distribution of the KOSPI and derivatives trading deposits show very low synchronization with each other.
On the Q-Q chart and the Box-Box chart, it seems that the KOSPI has often seen a temporary plunge. In addition, investor deposits and credit loan balances seem to have exhibited more relatively temporary surges. In the shock response, “credit loan balance to the KOSPI” had a relatively large impact. However, “derivatives trading deposits to the KOSPI” appeared to have little effect.
In previous studies, it was expected that investor deposits would have a significant impact on the rise and fall of the KOSPI. However, in this study, it was found that the credit loan balance had a greater effect on the KOSPI, confirming somewhat unexpected results. Therefore, it seems that it may be considered to predict the direction of the KOSPI by examining the trend of future credit loan balances and investor deposits.