Earticle

초록

영어

From the beginning of 2020, the crude oil prices have fallen significantly and its volatility has increased due to the decline in demand for crude oil caused by the COVID-19 pandemic while disputes on crude oil prices between oil producing countries such as Russia and Saudi Arabia. This has led to many investors who do not understand the profit and loss structure of crude oil-related ETPs are experiencing substantial losses. In this paper, we analyzed investment performance by investigating the operation method and cost structure of ETPs related to crude oil listed in Korea, and examining the correlation between each ETP and the WTI spot. There is the only one ETP which invests in the crude oil producing companies on the Korea Exchange, whereas a number of crude oil related ETPs are being traded in the same stock market. Crude oil futures ETPs incur rollover costs in contango, but crude oil producing company ETPs do not have the same costs while they are exposed to the inherent risks of the companies. As a result of the correlation between the crude oil producing company ETF and crude oil spot, and crude oil futures ETFs through an empirical analysis, it was confirmed that there was a statistically significant positive correlation. Furthermore, we found that the crude oil producing company ETF was inferior to the crude oil spot and crude oil futures ETFs based on examining the investment performance. These results were interpreted as the fact that the crude oil producing company ETF does not cost rollover, whereas the profit and loss were subject to the company’s inherent risks. In the first half of 2020, the magnified volatility of the crude oil market led to increased losses for leverage ETNs investors in the Korea Exchange. The management structure and investment performance of leverage ETNs were scrutinized together in the study. Based on the result of the study, it is possible to propose based on the result, an investment strategy which utilizes the characteristics of ETP gains and losses related to crude oil of pension funds and general investors. Moreover, it can present implications to policy makers and authorities to enhance the efficiency of the alternative investment strategy.

목차

Abstract
1. Introduction
2. Literature Review
3. Data and Methods
3.1 Data Description
3.2 Research Methods
4. Empirical Analysis
4.1 Correlation between crude oil spot and Crude Company ETF
4.2 Comparison of investment performance of Crude Company ETF and crude oil futures ETF
4.3 Analysis of Investment Performance of Leverage ETN
5. Conclusions
References

키워드

저자

• Jae-Seung Baek [ Hankuk University of Foreign Studies ]
• Sungkyu Kim [ Mirae Asset Consulting Co., Ltd. ]
• Myeonghoon Yoem [ Kiwoom Securities Co., Ltd. ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330