Impact of Alternative Trading System(ATS) Launch on KRX: Evidence from Price Discovery and Liquidity Spillover

After the launch of Korea’s first alternative trading system (ATS) on March 4, 2025, this study examines its impact on the Korea Exchange (KRX) by analyzing consolidated order book and transaction data for 800 KOSPI and KOSDAQ stocks dually listed on both markets from March to June 2025. The results show that prices formed in the ATS pre-market have a statistically significant positive effect on KRX opening prices, with this effect being particularly strong for KOSDAQ stocks, indicating that the ATS pre-market is perceived as an important investment signal. Significant interactions are also identified among returns during KRX trading hours, ATS main market returns, and individual stock futures returns, although the price discovery linkage between the ATS main market and the futures market is relatively weak for KOSDAQ stocks. Liquidity is found to transfer smoothly between the ATS main market and KRX trading hours for concurrently traded stocks. Furthermore, the ATS main market exerts a lagged negative effect on KRX closing prices, especially for stocks favored by retail investors. This study is the first empirical analysis of the Korean ATS, providing foundational evidence on enhanced price discovery and liquidity linkage while highlighting the need for regulatory oversight to address potential unfair trading risks.