선물 시장 거래 활동과 주식 시장 변동성의 상호 작용 : 구조형 벡터 자기회귀 모형
한국재무학회 재무연구 제25권 제3호 2012.08 pp.325-355
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본 연구는 구조형 벡터 자기회귀 모형(SVAR: Structural Vector Auto-Regression)을 이용하여, 주식 시장의 변동성 및 선물 시장의 수익률과 선물 거래 활동의 상호 작용을 검증하였다. 기존 연구와 합리적 추론을 바탕으로 식별 문제를 해결하였고, 과도 식별을 이용하여 동시적인 효과, 시차 효과, 전체적인 효과의 유의성을 검증하였다. 분석 결과는 다음과 같다. 첫째, 주식 시장의 변동성 충격은 선물 거래량을 동시적으로 증가시켜, 선물 거래자들은 비대칭적 정보에 의거하여 포지션을 결정한다. 둘째, 각 충격에 대한 미결제 약정의 반응 분석은 비정보 거래자인 헤저의 수요 특성을 잘 보여주었다. 셋째, 선물 시장의 거래량 충격은 주식 시장의 변동성을 감소시키는 긍정적인 역할을 한다. 넷째, 가설 검증을 통해, 동시적인 효과의 중요성을 확인하고, 전체적인 효과에서 다양한 경로를 통한 시차 효과도 중요한 작용을 한다. 마지막으로, 분산 분해와 충격 반응 분석은 가설 검증 결과를 지지하였다. 본 연구는 SVAR 모형을 통해 변수 간 동시적인 관계가 매우 중요함을 보여주었고, 나아가 선물 시장 정책 및 규제의 근거가 될 수 있는 선물 시장과 현물 시장의 유기적 관계를 분석하였다는 데에 의의가 있다.
To understand the dynamics of futures trading and stock market volatility, this study examines the relationships among the salient endogenous variables: stock market volatility, futures return, trading volume, and open interest. We use a structural vector auto-regression (SVAR) model, which is identified based on the empirical results of previous studies and reasonable inferences about capital markets. To just-identify the SVAR model, first, we assume that futures return shock does not have a contemporaneous effect on stock market volatility. This does not mean that it has no effect at all on stock market volatility. In fact, we conjecture that it must have some effect on the stock market volatility through lagged relationships among the variables. Second, futures return and trading volume shocks are assumed to have temporary effects on each variable. For these restrictions, we follow the method of Blanchard and Quah (1989). Finally, we believe open interest shock does not have contemporaneous effects on stock market volatility, futures return and trading volume because open interest shock is generally viewed as a natural aftermath of trading. Given the above just-identification of our SVAR model, we investigate the contemporaneous, lagged, and overall effects by over-identifying restrictions. The overall effect is classified into two components: contemporaneous and lagged effects. As known, a contemporaneous effect is defined as a concurrent impact of each shock on each variable. Lagged effects are estimated from the reduced-form VAR. Observing these two types of effects, we study the nature of the dynamic relations that exist among endogenous variables. A graphical representation of dynamic relations could be seen from impulse-response function analysis. Variance decomposition is also done to evaluate relative importance of each shock. Our major empirical findings are as follows. First, the volatility shock of stock market increases futures trading volume concurrently. Futures traders are very sensitive to spot volatility shock. In the sense of Black (1986) and Hong (2000), informed and uninformed traders quickly adjust their futures positions based on asymmetric information; consequently, such behavior increases futures trading volume. Second, the responses of open interest to other shocks reflect demand characteristics of hedgers who are not informed. If open interest is determined by hedgers’ demand as mentioned by Bessembinder and Seguin (1993), the contemporaneous effects of various shocks on open interest show the demand characteristics of hedgers, i.e., uninformed traders. The positive effect of volatility shock on open interest implies that volatility shock increases hedgers’ open interest. This is interpreted as hedgers’ behavior to manage spot market volatility. Statistically insignificant is the effect of futures return shock on open interest, which is concurrent irrelevance of futures return with hedgers’ demand behavior. On the other hand, volume shock decreases open interest concurrently. We interpret this phenomenon as hedgers’ liquidation of open interest, which results in increases in the trading volume. Third, futures trading plays a positive role in decreasing stock market volatility. The negative effect of volume shock on stock market volatility is consistent with the fact that the stock market uncertainty may be decreased by noise traders’ behavior. This finding supports the results of Cox (1976), Danthine (1978), Kwon and Park (1997), and Ohk (2005). Fourth, the impulse response function analysis also supports the results of hypothesis tests. Responses of volatility to various shocks fade away much more slowly than those of other variables. Stock market volatility does not respond to open interest at all. Negative response of stock market volatility to volume shock disappears more than twenty days later. On the other hand, responses of futures return, trading volume, and open interest to various shocks quickly disappear within 2 days at most. This behavior is consistent with the results of reducedand structural-form VAR estimation. Fifth, variance decomposition results show relative importance of each shock. Stock market volatility is explained by its own shock (69.48%) and volume shock (24.08%), while most of both futures return and open interest are explained by their own shock (94.02%) in the long-run. Similar to the case of stock market volatility, trading volume is also explained by volatility shock (66.56%) and its own shock (32.09%). These results confirm the close relationship between stock market volatility and trading volume. Finally, test results of hypotheses re-confirm the importance of concurrent relationships and indirect lag effects among overall effects. The validity of reduce-form VAR, however, is not evinced by the fact that indirect lag effects are important, because the contemporaneous effects are too substantial to overlook. Hence, we conclude that the SVAR estimation, accompanied by impulse response function and variance decomposition analyses, is an appropriate method for studying the relationships among the stock and futures market variables. While many other studies have previously investigated the same issue, our study stands out from the rest in research methodology. Most of previous studies estimate the dynamic relationships among the same variables as in this paper, but they used reduced-form VAR. This means that they are not able to consider contemporaneous effects of each variable. Unlike them, this study investigates an important issue of the dynamic relationships among stock and futures market variables using structural VAR. In this way, this paper makes an important contribution to extant research by suggesting that contemporaneous effects should be considered.
7,200원
Convertible Bond Arbitrage and Short Sales : Evidence from the Korean Stock Market
한국재무학회 재무연구 제25권 제3호 2012.08 pp.357-407
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This paper tests if uninformed short sales affect stock prices by examining short selling activities and stock price movements surrounding convertible bond (CB) issuance dates. We assume that short sales associated with CB arbitrage are uninformed since CB arbitrage is a hedge strategy to pursue market-neutral profits. By examining tick -by-tick data containing information on short sales as well as normal trades, we are able to extract a sample of CB arbitrage from all Korean companies which issued CBs during our sample period from January 2004 to June 2006. We find that short sales increase dramatically around the issuance dates of CBs, which clearly demonstrates the existence of CB arbitrages in Korea. Moreover, we find that the foreign investors, more likely hedge funds, are the major players of CB arbitrage. Then, we investigate the impact of uninformed short selling on stock prices. To control the announcement effect of CB issuances we use CB issuers that are not associated with short-selling activities as a control sample. We find that CB arbitrage does not reduce stock prices beyond the level that is normally affected by CB issuance without short selling. This result implies that stock market is efficient enough to absorb unexpectedly large amounts of uninformed short sales.
10,200원
국내 주식형 뮤추얼펀드의 스타일, 성과 및 시장예측 능력에 대한 분석
한국재무학회 재무연구 제25권 제3호 2012.08 pp.409-450
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본 연구는 채권시장 요인이 포함된 Fama-French(1993) 5요인 모형을 사용하여 국내 주식형펀드의 스타일분석, 스타일에 따른 성과분석, 펀드매니저의 시장예측능력, 스타일의 지속성과 펀드성과 간의 관계를 분석하였다. 논문의 주요 실증분석 결과는 다음과 같다. 첫째, 2001년부터 2009년까지 생존한 펀드의 수익률을 바탕으로 추정한 결과, Fama-French 5요인 모형은 다른 모형에 비해 높은 적합도와 낮은 추적오차를 나타내고, Fama-French 5요인 모형에서 채권시장요인은 펀드 수익률 설명에 중요한 역할을 하였다. 둘째, 국내 시장에서 대형 및 성장형 펀드의 수익률이 소형 및 가치형에 비해 높고, 평균 자금흐름 규모도 큰 것으로 나타났다. 셋째, 대부분의 국내 펀드는 일반적인 시장 포트폴리오에 비하여, 가치형, 대형, 경기민감형 및 고신용형 전략에 집중하는 공격적 스타일 특성을 지니는 것으로 확인되었다. 넷째, 국내 시장에서 초과수익률이 존재하는 펀드가 일부 존재하였으나, 시장예측능력이 존재하는 펀드는 매우 적었다. 다섯째, 우수한 초과수익률을 보인 성장형 및 대형 펀드의 스타일 지속성은 가치형 및 소형 펀드보다 높은 것을 확인할 수 있었다. 여섯째, 국내 시장에서 자금흐름 증대로 펀드 성과 개선되는 ‘스마트 머니 효과’가 존재하지만, 동 효과의 지속기간은 3년 전후에 국한되는 것으로 분석되었다.
Since the introduction of the Act of Financial Investment Services and Capital Markets in 2009, the fund markets in Korea have enormously grown. In this study, we examine three salient composites: fund style, performance persistency, and market timing ability of fund managers. To this end we use all equity funds survived during the period of 2001 through 2009 (all 139 funds). In addition, we look into the relation between the persistency of fund style and the fund performance. We also study how the fund performance has been changed since the financial crisis in 2007. To classify fund styles and examine fund performance, we use a return-based style analysis as in Sharpe (1992). The return-based style analysis sort funds according to the magnitude of the coefficient estimates. Unlike Sharpe who uses simply a regression model comprised of several indexes, we use the Fama-French (1993) five-factor model composed of three equity factors and two bond market factors. The equity factors are the market factor and two factors related to size and book-to-market, namely SMB and HML, respectively; the bond market factors are term spread and default spread. The spread in yields between 5-year Korean Treasury Bonds (KTB) and 91-day Certificate of Deposit (CD) is used as term spread, and the spread in yields between BBB3-rated and AA3-rated corporate bonds is used as default spread. The reason we select the Fama-French 3 factor model to analyze equity funds in Korea is that, as recently reported by Kim, Kim, and Shin (2012), the Fama-French 3 factor model explains Korean stock returns best among many factor models considered. Our paper is the first paper that uses the bond market factors in analyzing equity mutual funds in Korea. Following Sharpe (1992), we classify fund style according to the estimated coefficients (or factor loadings) on each of the five factors. For example, if the magnitude of the factor loading of a fund on SMB is in the top (bottom) 30%, this fund is classified as small (large) fund. If the magnitude of the factor loading of a fund on HML is in the top (bottom) 30%, this fund is classified as value (growth) fund. If the magnitude of the factor loading of a fund on term spread is in the top (bottom) 30%, this fund is classified as business sensitive (insensitive) fund. If the magnitude of the factor loading of a fund on default spread is in the top (bottom) 30%, this fund is classified as high (low) credit risk fund. Of course, one fund can be classified into multiple funds. If the factor loading of a factor falls between top 30% and bottom 30%, this fund is not classified. The main results of this study are as follows: First, we confirm that the Fama-French 5-factor model shows the best goodness of fit and the lowest tracking errors for Korean equity mutual funds among many factor models considered, such as the Capital Asset Pricing Model (CAPM), the Fama-French (1993) three-factor model, and Carhart (1997) four-factor model. To compare the performance of the factor models, we estimated the models by observing the year-by-year rolling over for the three-year period for its monthly returns. We also find that the two bond factors are important for better understanding the performance of Korean mutual funds. In particular, since fund performance is affected by business cycles, the use of the bond factors would be essential in analyzing fund performance. Further, the bond factors are good proxies for business cycle. In fact, we confirm that mutual funds returns in Korea are significantly positively correlated with the Korea business-leading indicator and are sensitive to business cycles, which are also determined by the same indicator. Another important finding is that large and growth funds, rather than small, value funds, perform better and take more fund inflows in Korea. Also, Korean mutual fund managers tend to build their investment strategies toward value, large, business cycle-and creditsensitive fund styles. Fourth, only fund managers of a fraction of mutual funds show significant selection ability while most fund managers rarely show market timing ability. For some fund managers equipped with market timing ability, their market timing ability tends to be higher during the recent financial crisis (2007~2009) than during the other times. To analyze the market timing ability of fund managers, we use the conditional model on macroeconomic variables by following Ferson and Schadt (1996) to adjust for time-varying of the factor loadings. Fifth, while only a fraction of mutual funds show positive abnormal returns, they are shown to last just briefly. Rather, low performance (i.e., negative abnormal returns) tends to be strongly persistent. These results are somewhat consistent with the performance of U.S. mutual funds. Among the funds showing positive abnormal returns, growth and large funds show stronger persistence of good performance than do value and small funds. This result implies that the persistency of fund style could be related to good fund performance. Finally, there also exists in Korea the smart money effect, indicating that investors have an ability to identify superior fund managers and invest accordingly; this attests to the fact that fund inflows improve fund performance. Our study indicates, however, that this effect lasts only for three years.
8,800원
한국재무학회 재무연구 제25권 제3호 2012.08 pp.451-498
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본 연구는 사외이사를 독립적인 사외이사와 우호적인 사외이사로 구분하여 독립적인 (우호적인) 사외이사가 기업가치에 미치는 영향을 실증적으로 분석함으로써 사외이사 독립성 제고의 필요성을 강조하고자 하였다. 분석결과에 따르면 독립적인 사외이사의 비율이 높아 이사회 독립성의 수준이 높은 기업일수록 기업가치가 높게 나타났지만, 우호적인 사외이사 비율은 기업가치에 부정적인 영향을 미치거나 영향을 미치지 않는 것으로 나타났다. 그리고 기업특성에 따라 독립적인(우호적인) 사외이사가 기업가치에 미치는 영향을 분석한 결과에 따르면 일부 기업특성에서는 독립적인 사외이사의 비율 변수와 기업특성 변수 간의 교차변수가 통계적으로 유의한 양의 값으로 나타나 독립적인 사외이사 비율이 높아 이사회 독립성의 수준이 높은 기업일수록 기업가치가 높게 나타났지만, 반면에 일부 기업특성에서는 우호적인 사외이사의 비율 변수와 기업특성 변수 간의 교차변수가 통계적으로 유의한 음의 값으로 나타나 우호적인 사외이사 비율이 높아 이사회 독립성의 수준이 낮은 기업일수록 기업가치는 낮게 나타났다.
Many corporate governance literatures emphasize the importance of outside directors’ monitoring role and their independence. Theoretically, board of directors performs crucial roles in modern corporations where ownership and management are separated. As fiduciaries of shareholders, outside directors monitor managers who may pursue their own interests. Hence, as an internal governance mechanism, the independence of outside directors is a crucial factor in determining the effectiveness of monitoring and disciplining the management. In spite of this theoretical background, previous empirical studies failed to show consistent evidences in support of the effect of outside directors. Perhaps the lack of consistency in proving an effect of outside directors on performance can be interpreted as an indication that they have failed to distinguish “independent” and “friendly” outside directors. If researchers do not correctly distinguish independent outside directors from those who are not, the effects of outside directors on firm value cannot be clearly discerned as positive effects of independent directors may get cancelled out by the potential negative effects of non-independent directors may have on the firm value on average. Unlike prior studies, this paper, using hand collected data on the independence of outside director, examines how independent or friendly outside directors affect firm value as the directors would engage in monitoring and supervising a firm’s management. For the empirical analysis, we classify outside directors as ‘friendly’ or ‘independent’ by more refined and strict definition of independence of outside directors. Using this data classified into independent or friendly outside directors, first, we test the effect of independent (or friendly) outside directors on firm value. And then, we test whether the effect of independent (or friendly) outside directors on firm value varies with firm characteristics. Through these tests, we hope to verify that the value of outside directors depends on their independence alone. That is to say, the purpose of this paper is to provide new empirical evidence of the effectiveness of outside directors by focusing on the value of their independence in job performance. Our main finding supports that independent outside directors have a significant and positive effect on firm value. But friendly outside directors have either negative or no influence on the firm value. This result implies that independent outside directors play a pivotal role in enhancing firm value. We also explore how the relationship between the board independence and firm characteristics affect firm value. For this test, we run regression analysis using the interaction terms between board independence and the firm characteristics. According to the results about the effect of independent outside directors on firm value depending on firm characteristics, the firms with a longer corporate history, the higher level of capital expenditure, advertisement expenses, selling and management cost, the competitiveness in the industry, free cash flow and possibility of agency problems has more positive valuation effect of board independence. In other words, the interaction terms between the ratio of the independent outside directors variable and some of firm characteristics variables are positive and statistically significant in some firms’ characteristics. However, given the ratio of friendly board members who have school or business ties with management or with the firm, firm value is lower when firms have the higher level of leverage, sales growth rate, volatility of equity returns, and ratio of fixed assets. In other words, the interaction terms between the ratio of friendly outside directors variable and some of firm characteristics variables are negative and statistically significant in some others firms’ characteristics. This result implies that independent outside directors are very important on firm value in Korea regardless of firm characteristics. And finally, to mitigate the endogeneity problem and to check robustness of our previous results, we conduct additional tests as follows: First, to check robustness of our previous results, we run regression analysis using the alternative definition for independent outside director. The results using new definition are consistent with our previous results. Second, to deal with endogeneity problem, we run regression analysis using the data which show the change of the ratio of independent outside directors in board composition. By this regression, we are able to capture the importance of independence of BOD directly. This method can mitigate the endogeneity problem that has hampered previous attempts to estimate the effect of board independence. The results are consistent with our previous results. Third, to address the endogeneity problem caused by reverse causality, we run reverse regression by changing explanatory variables with dependent variables. According to the result, tobin’s Q doesn’t affect the level of board independence. Consequently, we confirm that our result is robust. In short, our results imply that the effectiveness of the boards’ monitoring role depends on their independence and the independence of outside directors is important for enhancing firm value. All in all, this empirical evidence suggests that Korean listed companies should reinforce the independence of board of directors by appointing independent outside directors to improve the firm value and correct the current problems with outside director system. As shown, our study contributes to the literature by promoting enhanced understanding about the crucial effect the independence of outside board members have on improving firm value.
9,700원
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