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본 논문은 원/달러 외환시장에서 형성된 일중 가격발견의 효율성을 속도, 정도, 정확성의 세 측면에서 종합적으로 고찰하였다. 보다 구체적으로 WPC(weighted price contribution), WPCT(WPC per trade) 등 가격형성 공헌도 관련 지표를 통해 일중 가격발견의 속도와 정도를, 그리고 분산비율 검정(variance ratio test)을 통해 일중 가격발견의 정확 성을 각각 분석하였다. 서울외국환중개(주)를 통해 체결된 딜러간 원/달러 거래의 실시간 체결자료 및 2분 단위 호가자료를 이용하여 분석한 결과는 다음과 같다. 첫째, 전일 종가 [당일 시초가] 대비 약 75.3%[44.5%]의 가격발견이 개장 후 첫 90분 동안 이루어지고, 이러한 가격발견은 이후 감소하다 종장 직전 다소 높아지는 가파른 역-J자형 패턴을 보였 다. 둘째, 원/달러 환율은 적어도 개장 후 점심시간이 시작될 무렵까지는 가격발견이 효율 적으로 이루어지는 것으로 나타났으며, 그 사이 발생하는 수익률의 자기상관은 시장미시 구조에 의한 마찰적 요인이 아니라 부분가격조정에서 비롯된 것으로 확인되었다. 이상의 결과는 서울 원/달러 딜러간 외환시장에서는 일중 가격발견이 상당히 신속하고 정확하게 이루어져 가격발견의 효율성이 매우 높은 시장임을 시사한다.
This paper examines the efficiency of intraday price discovery in the Seoul won/dollar FX market. More specifically, we investigate three aspects of the efficiency of price discovery: the speed of price discovery, the degree of price discovery per trade, and the accuracy of price discovery in the market. The speed and degree of intraday price discovery are measured by WPC (weighted price contribution) and WPCT (WPC per trade), which are devised by Barclay and Warner (1993) and Barclay and Hendershott (2003), respectively. The accuracy of intraday price discovery is measured by VR (variance ratio) proposed by Lo and MacKinlay (1988). We use the real- time transaction data and two-minute-interval quotes data of inter-dealer trades, brokered through Seoul Money Brokerage Services Ltd. from April 1 to May 30, 2003. Price discovery is defined as the dynamic process by which prices incorporate new information in financial markets including FX market. Since price discovery is generally the most important function in financial markets, its efficiency has become a very valuable public good. Despite the importance of its economic implications, the studies on the efficiency of intraday price discovery on FX market are very limited. Previous studies can be generally classified into two categories: those that belong to the first category indirectly analyze the efficiency of intraday price discovery by comparing it with that of other FX markets, while those of the second category directly analyze an aspect of the efficiency of intraday price discovery on an FX market. Rosenberg and Traub (2006) and D’Souza (2007) fall into the first category. Rosenberg and Traub (2006) examines the relative information shares of spot and futures FX markets using the methodology of Hasbrouck (1995) for two sample periods: May-August 1996 and March-May 2006. D’Souza (2007) investigates information content of order flows in inter-dealer brokered markets during two years from October 2000 to September 2002 using real-time transaction data. He reports that trades are more informative when they are initiated in a local country rather than in major foreign exchange centers like London and New York. Kaul and Sapp (2009) is the only existing study that falls into the second category. The study analyzes the accuracy of inter-dealer Euro-USD and CAD-USD FX markets for the year of 2000 through the VR test and GARCH analysis, and reports that the relative accuracy of price discovery is the greatest when trading activity is high and dealer concentration reaches its peak. The distinct features of our paper from the previous domestic and international studies on the efficiency of intraday price discovery are summarized as follows. First, this is domestically the first paper to directly examine the efficiency of intraday price discovery. Our paper provides another angle for the second category in the field, which currently includes the only paper by Kaul and Sapp (2009). Second, as far as we know, this is domestically and internationally the first paper to study all the dimensions of the efficiency of price discovery. Kaul and Sapp (2009), the only existing study of the second category, on the other hand, has a limitation of examining only accuracy out of three dimensions of efficiency of price discovery. Third, this paper provides an answer to the following question: “To what degree is the efficiency of intraday price discovery in the Seoul FX market attained during a trading day?” The answer is yet to be provided by the existing domestic literature. Eom et al. (2008) finds that the autocorrelation of daily won-dollar exchange rates disappeared after January 2001. This result indicates that the efficiency of price discovery has been achieved in the market at least in the frequency of daily since then. There has not been any further study which investigates the degree of intraday efficiency of price discovery is attained. The overall results of this study can be summarized as follows. First, the intraday pattern of price discovery exhibits an inverse J-shape. In addition, most of intraday price discovery is attained during the first 90 minutes just after the market opening. To be more specific, during the close-to-close (open-to-close) time span, about 75.3% (44.5%) of price discovery occurs during the first 90 minutes just after the market opening. After that, the speed and degree of price discovery decrease up to the last 60 minutes before the market closing, from which they increase again. Second, the efficiency of intraday exchange rates, after the market opening, is attained up to lunch break. During the period from the market opening to lunch break, there exists the autocorrelation in won/dollar exchange rates. When the short horizon is expanded from 30 minute to 120 minute with the long horizon fixed at a trading day, the computed VRs are significantly greater than 1. This result indicates that won/dollar exchange rates under-react to information in the short horizon, and thus there exists a positive autocorrelation in exchange rate returns. Meanwhile, if the short horizon is expanded to 150 minute i.e. the entire morning session, then the computed VR is not significantly greater than 1, indicating that positive autocorrelation does not exist. Overall, our findings imply that the efficiency of price discovery in the Seoul won/dollar FX market is very high; the process of price discovery occurs very quickly with great accuracy.
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신용시장(credit market)은 負의 외부성(negative externality)으로 금융위기가 초래된 다. 따라서 시장의 왜곡을 교정할 수 있는 pricing이 요구된다. 본 논문에서는 Merton (1974) 모형을 일반균형모형으로 확장하여 예금보험의 체계적 위험을 pricing 하였으며, 금융기관의 체계적 위험프레미엄은 1) 부채/자산의 상대위험비율, 2) 자산 베타계수, 그리 고 3) 투자가의 상대위험회피계수(relative risk aversion coefficient)에 의하여 결정됨 을 보여 주었다. 우리나라 은행과 상호저축은행을 대상으로 실증 분석을 한 결과, 로짓분 석에 의한 예상부도 손실은 상호저축은행이 은행보다 높았던 반면, 체계적 위험프레미엄 은 은행이 상호저축 은행보다 높았다. 그 이유로는 은행의 베타계수가 상호저축은행의 베 타계수 보다 높아 그 자산이 훨씬 경기순응적(procyclical)이기 때문으로 풀이된다. 또한 기존의 Merton(1974) 모형의 경우, 예금보험료가 지나치게 낮게 추정되는 문제점이 드러 난 것에 반해 본 논문에서 사용한 예금보험 pricing 방법은 이러한 저평가(低評價) 문제를 어느 정도 해결할 수 있는 가능성을 제시하였다. 따라서 금융시장안정을 위하여 체계적 위 험프레미엄을 반영한 예금보험료 차등화에 대한 검토가 필요한 것으로 보인다.
A financial crisis is often triggered by negative external factors in the credit market. In case of the recent global financial crisis, the trigger was the sudden collapse of Lehman Brothers. Hence, it can be a reasonable notion to reflect the cost of externality on a fair deposit insurance premium in order to absorb consequential market distortion. This is akin to correcting the market distortion by taxing air pollution. Pedersen and Roubini (2008) is the first paper to address this issue by proposing the idea as a viable way to restore financial stability. In this paper, we reframe Merton’s (1974) credit risk model based on a general equilibrium context and price the systematic risk for deposit insurance which is considered to be the cost of the negative externality. For that purpose, we make use of the general equilibrium models such as Cox, Ingersoll and Ross (1985), Ahn and Thompson (1988) and Bates (1991). The model assumes that the return dynamics on the firm value process follows a geometric Brownian motion. This kind of stochastic dynamics is made possible by an economy’s random technological change over time. Park, Ahn and Kim (2009) has derived the risk-neutral dynamics for the firm value process using the Ahn and Thompson’s model (1988). The risk-neutral dynamics allows us to price a risky debt in a general equilibrium setting. Applying Ito’s lemma to the equilibrium relationship between the firm (asset) value and its debt value, we derive an equilibrium return dynamics on the debt. From this equilibrium return dynamics, we obtain an equilibrium relationship between the asset risk premium and the debt risk premium for a firm. Particularly, we show that the systematic risk premium depends upon the following variables: 1) the relative riskiness of debt (deposit) to asset, 2) asset beta, and 3) the investor’s relative risk aversion. The relative riskiness of debt to asset is largely associated with the bank’s financial risk represented by the leverage (debt to asset) ratio. The asset beta is determined by the asset return covariance with the economy’s total wealth. According to Merton (1977), the fair deposit insurance premium per dollar is defined as a present value of the expected default loss (per dollar deposited) under Martingale (Q) measure. Deposit insurance premium is, henceforth, computed as a sum of the present value of the expected loss to depositors from their bank default and its systematic risk premium; the risk-neutral default probability under Q measure accounts for the risk premium beyond its expected default loss. The expected default loss is, in turn, estimated using the classical logit model. In order to estimate the debt premium, we impute the firm asset return (unobservable) from its stock return (observable) by employing the iterative procedure used by Vassalou and Xing (2004). This procedure is similar to the KMV’s procedure outlined in Crosbie (1999). The procedure is based on the Merton’s notion (1974) that a firm’s stock is, as a matter of fact, a call option on the firm’s asset with the book value of the firm’s liability being the strike price. We first estimate the stock return volatility from the daily stock prices and use it as an initial value for the asset return volatility. Using the Merton’s relationship, we compute daily asset values for each trading days. We then compute the asset return volatility for the next iteration. The procedure is repeated until it converges. A striking difference of our model from the traditional option based model such as Merton (1977) and Marcus and Shaked (1984) is that our model allows us to estimate the expected default loss and the systematic risk premium explicitly and separately. Our model also differs markedly from that of Cooper and Davydenko (2004),which derives a relationship between the equity risk premium and the debt risk premium, in that ours is, in nature, a general equilibrium model while theirs is not. An empirical analysis is done for the Korean commercial banks and the mutual savings banks and is compared to the results obtained by the prior studies such as Marcus and Shaked (1984), and Duffie, Jarrow, Purnanandam and Yang (2003). Our model generally produces a higher premium than what one would obtain from the Marcus and Shaked’s (1984), which tends to underestimate it. We, furthermore, find that the expected default losses are higher for the mutual savings banks than the commercial banks, but the systematic risk premia are the opposite. We think that the commercial banks tend to be more procyclical as evidenced by their higher beta coefficients. The systematic risk premia varied over the business cycle, and reached the peak in the year of 2008. They are negatively related to the degree of financial stability. We recommend that the deposit insurance premia should be charged at the rates reflecting the differences in the systematic risk premia.
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본 연구는 간접투자시장에서 적립식투자 전략과 거치식투자 전략의 성과를 시뮬레이션 및 실제 투자계좌 데이터를 가지고 분석하여 보다 우월한 투자전략을 찾는데 목적이 있다. 주요 분석결과는 다음과 같다. 첫째, 역사적 시뮬레이션과 몬테카를로 시뮬레이션 결과, 1년 미만의 단기에서는 거치식투자 전략이 우월한 반면, 3년 이상의 장기에서는 적립식투자 전략이 우월한 전략인 것으로 나타났다. 둘째, 실제 투자자의 계좌를 분석한 결과, 적립식투자가 거치식투자에 비해 우월한 성과를 나타내는 것으로 확인되었다. 특히, 위험조정 성과를 기준으로 볼 때 투자기간이 길고 투자금액이 클수록, 적립식투자가 우월한 결과를 나타냈다. 셋째, 적립식투자에 있어서 최종 납입 이후 1개월 후에 기계적으로 환매한 경우와 투자자의 판단에 의해 환매한 경우를 비교해 보면 성과의 유의적인 차이가 없어 적립식 투자자들의 환매시점 선정능력은 없는 것으로 보인다. 넷째, 신규가입 및 환매의 주가에 대한 민감도를 분석해 본 결과 투자자들은 환매보다 신규가입 시 주가에 민감하게 반응하며 거치식투자자가 적립식투자자들 보다 주가에 민감하게 반응하는 것으로 나타났다. 본 연구결과는 개인투자자의 경우 적립식 펀드를 이용해서 장기간에 걸쳐 기계적으로 투자하고 환매하는 전략이 상대적으로 높은 성과를 낼 수 있는 방법임을 시사하고 있으며 이를 실제 투자계좌를 통해 확인하였다는 면에서 의의가 있다.
The Korean fund market has experienced a tremendous growth in the past several years. Especially, the growth in the equity type fund has been phenomenal; for instance, its balance grew from 6.5 trillion won in March 2005 to 127.7 trillion won as of November 2008. While low interest rate and steady growth trend in the world stock market have driven the increase in the market size, the introduction of systematic monthly fund investment method, which is virtually the dollar cost averaging investment, has also played a significant role. In fact, since its introduction, fund distributors often advise individual investors in favor of the dollar cost averaging method, asserting that it generates higher returns with lower risks compared to the lump sum investment strategy; accordingly, many individual investors have participated in equity-type fund investment. This study aims to compare the performance of the lump sum (LS) investment strategy and dollar cost averaging (DCA) investment strategy in the Korean mutual fund market to check whether the DCA method really outperforms the LS method. Thus far numerous debates have followed over which of these two investment strategies is better since Constantinides (1979) which suggests that the LS investment strategy outperforms the DCA investment strategy. Prior to his paper, it was generally accepted that DCA is better than LS due to the dollar cost averaging effect. However, many theoretical and empirical researches since Constantinides (1979) have suggested that LS actually outperforms DCA. Most of the literature on this issue, regretfully, has been solely based on theoretical analysis or simulation methods only. Even empirical analysis has relied on hypothetical accounts rather than actual investment accounts. In this regard, this paper is different from the past literature in that we used not only the conventional simulation methodologies, but also individual investors’ actual account data to effectively compare the performance of LS and DCA investment strategies. The data for this paper are comprised of: i) KOSPI stock index and bond yields from January 1988 to December 2008 for the historic simulation; ii) KOSPI stock index and bond yield from January 2001 to December 2008 for Monte Carlo simulation; and iii) 36,890 individual accounts (of which 22,449 using DCA strategy and 14,441 using LS strategy) from December 2004 to November 2008 for the real investor data analysis. Our major findings are as follow. First, the historic simulation shows that LS investment strategy provides better return for short-term investment horizon (1 year) while DCA investment strategy outperforms for the long-term investment horizon (3 year and 5 year). This result holds robust whether we use simple return, Sharp measure, or Jensen’s alpha to measure the fund account performance. The Monte Carlo simulation shows similar results: the LS investment strategy gives better return for the 1 year investment horizon. For the 2 year investment horizon both strategies are comparable while DCA starts to outperform LS when the investment horizon is longer than 3 years. Second, we use individual fund investment account data to compare DCA and LS strategies and find that DCA outperforms LS during our study period which is divided into bullish period and bearish period. We find that the marginal effect of DCA on the risk adjusted return (Jensen’s alpha) is positive even after controlling for the market conditions. It is also found that DCA becomes a better investment strategy than LS when the investment term is longer and the investment capital is larger. Third, we compared two different methods to close down DCA investment account. Fund investors with DCA account can either choose automatic sell-off when their monthly saving contract matures or wait to select the better time to sell-off his or her fund even after the contract term expires. We find that investors who choose different sell-off time other than automatic contract expiration time do not perform better, and this indicates that investors as a group do not have ability to choose better investment exit time. Finally, we conduct the sensitivity analysis for the fund investment in response to the changes in the stock prices. We find that both fund purchase and fund sell-off are sensitive to stock price movements. Both purchase and sales of fund increase when the stock price (KOSPI index) rises, and they decrease when the stock price falls. Between the purchase and sales, fund purchase activity is more sensitive to the stock price movements than fund sales activity is while LS investors are more sensitive than DCA investors are. Our study result suggests that individual equity type fund investors are better off when they invest with DCA strategy and for a longer time horizon. This paper makes a meaningful contribution to the fund and investment literature as it is the first paper to examine the actual investors’ account to compare the DCA and LS fund investment methods. Nonetheless, we acknowledge that some part of the result may be sensitive to the study period.
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