Earticle

본 연구는 국제경영리뷰에 실린 기존 국제재무 관련 연구들 중에서 다양한 국제재무 요인들이 기업가치에 미치는 영향을 다룬 논문들을 중점적으로 분석하였다. 연구의 주요 분석결과는 다음과 같다. 첫째, 환율변화와 수출비중이 기업가치에 미치는 영향과 관련하여 기업규모가 크고 수출비중이 높은 기업군의 경우 환율변화가 주가 변동에 유의한 영향을 미치는 것으 로 나타났다. 둘째, 국제경영 활동이 기업가치에 미치는 영향 측면에서는 크게 세 가지 요인으로 사업다각화, 인수합병과 해외직접투자를 들 수 있다. 먼저 사업다각화의 경우 물리적 자원, 광고비와 외부자금이 많은 기업이 기존사업과 관련사업으로 다각화를 할 경우, 주식시장 의 반응이 기존사업과 관련이 없는 비관련다각화 기업보다 긍정적인 것으로 나타났다. 국내기 업이 해외기업을 인수합병할 경우 인수기업의 재무적 부담이 높을수록, 인수지분이 50% 이상으로 높을수록 기업가치에 부정적인 영향을 미치는 것으로 나타났다. 그리고 해외직접투자를 하는 국내기업의 현지법인과의 내부거래는 기업가치와 유의한 음(-)의 관계를 보여 해외직접 투자 기업의 현지법인과의 내부거래는 기업가치 감소에 기여한다. 셋째, 주식연계채권 발행과 관련한 실증분석 결과는 1992년 자본시장 자유화 이전에는 국내기업이 국제자본시장에서 주식연계채권의 발행을 공시하는 경우 주가는 긍정적으로 반응하였다. 그러나 자본자유화 이후 에는 공시일 전후로 유의한 초과수익률이 나타나지 않았다. 특히 국내기업의 DR 발행은 공시일 이전부터 공시일 당일 그리고 공시일 이후까지 지속적으로 주가에 부정적인 영향을 미치 는 것으로 나타났다. 넷째, 지배구조가 기업가치에 미치는 영향을 살펴보면 지배주주의 소유- 지배 괴리도와 기업가치는 유의한 음(-)의 관계를 나타냈다. 다섯째, 외국인지분율의 증가는 기업가치의 상승을 가져오는 것으로 나타났다. 여섯째, 주식시장 움직임의 국가간 전이 (spillover) 경로의 경우 아시아의 한 국가의 충격이 다른 국가로 전이될 수 있으며 미국시장의 충격이 아시아 국가간 전이경로를 통해 아시아 주식시장 전체로 확대재생산되어 전이되는 것으로 나타났다.

For the literature review on the international finance papers published by the Korean Academy of International Business Management, we focus on papers which analyze the impacts of international financial factors on firm values and stock prices for Korean firms. We summarize the main empirical results of the literature as follows. First, as for the impact of exchange rate changes and export ratio to sales on firm value, stock prices of large companies as well as firms with high proportion of export have been affected significantly. Second, international business activities may have an impact on firm value through three factors, i.e., business diversification, mergers and acquisitions and foreign direct investments. For companies with adequate material resources. advertising expenditures and external funds which diversify into existing and related businesses, the stock market reacted more favorably to such diversification efforts, compared with companies which diversify into new and unrelated businesses. When Korean firms diversify into related foreign businesses, the stock market response was more favorable compared to those diversifying into unrelated foreign businesses. In the case of domestic companies taking over foreign companies in a merger and acquisition deal, those with more financial burden and takeover equity ownership greater than 50% had firm value impacted more negatively. Domestic investors seem to be risk-averse in the overseas merger. As far as foreign direct investments are concerned, the internal transactions between Korean parent firms and their foreign subsidiaries had a significantly negative relationship with the firm value. Third, when Korean firms made public announcement of issuing equity-linked bonds in the international capital market before the Capital Market Liberalization in 1992, stock prices would react positively. However, after the Liberalization, they could not find any statistically significant abnormal return before and after the companies' public disclosure of equity linked bond issuances. In contrast, the DR issuances of domestic companies had continuous negative impact on stock prices before, on, and after the public disclosures. The negative impact of excess supply of stocks in the market seems to depress stock prices. Fourth, from the perspective of corporate governance structure, the wedge between controlling stockholders' ownership and stockholders' control right has statistically significant negative relationship with firm value. It implies that when controlling shareholders have more control right than their equity ownership, they are likely to expropriate corporate assets for the private benefit. Fifth, a rise in foreign stock ownership resulted in increase in firm value. Moreover, when foreigners announced stock purchase for the purpose of management participation, stock prices went up. Sixth, the spillover effect across stock markets of emerging and developed countries was significant. A shock in an Asian country's stock market would spread to another Asian country market. A shock from the U. S. stock market would also spread across stock markets of Asian countries and be amplified along the way to impact the whole Asian region. In the future, both economic and financial globalization will continue to advance, and therefore international business and financial variables are expected to affect the value of Korean firms to a greater extent. As a consequence, researchers in the international finance field should monitor changes in the global economy and financial markets as well as global business strategy of Korean firms, thereby studying further to contribute to better business performance and higher firm value of Korean firms.

본 연구의 목적은 서울외환시장에서 주문흐름(order flow)과 원/달러 환율의 동태적 관계를 분석하는 것이다. 주문흐름이 사적정보의 대리변수라는 최근 미시적접근법의 주장에 따라 사적정보가 일별 원/달러 환율의 절상/절하율과 변동성에 통계적으로 유의한 영향을 끼쳤는지 분석한다. 또한 주문흐름의 변화 없이 환율만 변하는 공적정보의 유입이 환율에 미친 동태적 특징도 함께 살펴본다. 통계적 방법론은 다변량 비모수접근법과 비선형충격반응함수를 사용하였다. 분석결과 원화절하 관련 사적정보는 환율에 1일 정도 영향을 미쳐 비대칭성이 존재하였다. 원화 절하 충격은 정보의 속성과 관계없이 원/달러 환율의 변동성을 높였으나, 절상 충격은 변동성에 통계적으로 유의한 영향을 미치지 못하였다. 사적정보와 공적정보 충격은 원/달러 환율의 변동성에 각각 일주일, 3일 정도 영향을 미쳐 정보의 속성에 따라 지속기간이 상이하였다. 반면 변동성의 절대적 크기는 공적정보가 2배 이상 컸다.

Based upon daily KRW/USD exchange rate and order flow, this paper attempts empirically to disentangle the effects of the private and public information shocks on the rate. To setup private information shocks, the paper uses the change in the order flows accompanying large perturbations in the exchange rate. The public information shocks are constructed as the change in the exchange rate without changing in the flows. We use nonlinear impulse response function by Gallant, Rossi and Tauchen (1993). Empirical results show two prominent features in the Seoul foreign exchange market. Private information shocks affect the exchange rate asymmetrical way: appreciation shocks do not affect on the rate and deprecation shocks do on the contrary. Both private and public information affect commonly on the rate's volatility with different duration. The first shocks affect the volatility approximately one week but the latter have only three days persistence.

For the period from January 2000 to August 2021, we show that changes in the swap basis for Korean won and U.S. dollar predict changes in the exchange rate between the two currencies at weekly frequencies. More precisely, when the basis drops and becomes more negative, the exchange rate rises (i.e., dollar appreciates) subsequently, after controlling for their contemporaneous relation, the serial correlation in the exchange rate movements, and the global financial cycles. The swap basis has a factor structure and its first (level) and the second (slope) factors are useful in predicting the exchange rate, especially when used together. Based on the findings, we propose simple prediction rules that market participants can use in real time.

In this paper, we estimate several measures of a firm’s ‘exposure to exchange rate risks’ —hereafter ‘F/X exposure’—, and analyze how these exposures are affected by different firm characteristics including foreign ownership. By using the foreign ownership and stock return data of 571 Korean firms from 2000 to 2006, we find that foreign ownership is an important factor affecting the F/X exposures. In particular, during a month of home currency depreciation, the stock returns of firms with a higher ownership experience a greater negative shock, but during a month of increased exchange rate volatility, those firms with a lower ownership that experience a greater negative shock. Overall, various firm characteristics are found to affect F/X exposures in different directions, weakening the statistical significance of the exposure measures. This finding helps explain the previously documented weak association between exchange rates and stock returns.

In this paper, we estimate several measures of firm’s ‘exposure to exchange rate risks’ --hereafter ‘F/X exposure’--, and analyze how these exposures are affected by different firm characteristics including foreign ownership. By using the foreign ownership and stock return data on 571 Korean firms from 2000 to 2006, we find that foreign ownership is an important factor affecting the F/X exposures. In particular, during a month of home currency depreciation, stock returns of firms with a higher ownership experience a greater negative shock, but during a month of increased exchange rate volatility, it is the firms with a lower ownership that receive a greater negative shock. Overall, various firm characteristics affect the F/X exposures in different directions, weakening the significance of them. This finding helps explain the previously documented weak association between exchange rates and stock returns.

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. 'But, long-term & short-term interest rate is affected by Hanbo & Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge fund were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea.

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. But, long-term ＆short-term interest rate is affected by Hanbo ＆ Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge md were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea. But if external factors from depreciation of yen and China's renminbi are instable, interest rate is expected to increase from capital's outflows. Third, if it is to decrease instability of foreign exchange rate from increase in surplus of future current account, credit rating's upwardness, stability of yen and renminbi, foreign exchange rate is expected to be stable. It is expected to have continuous stability from short-term interest rate to long-term interest rate in this empirical test.

This study investigates the asymmetric effects of US–China tariff shocks on exchange-rate volatility and dynamic co-movements in East Asian foreign-exchange markets. Particular attention is given to whether major tariff-policy regime changes generate heterogeneous volatility responses across currencies and whether exchange-rate relationships differ between the Chinese renminbi (CNY), Korean won (KRW), and Japanese yen (JPY). While previous studies have largely focused on trade policy uncertainty, exchange-rate pass-through, and bilateral trade effects, relatively limited evidence exists regarding how large-scale tariff shocks influence volatility transmission and dynamic exchange-rate linkages across East Asian currencies operating under different exchange-rate regimes. The analysis employs 2,046 daily observations from January 3, 2018 to May 7, 2026, covering the first US–China trade war, the COVID-19 pandemic, the post-pandemic monetary tightening cycle, and the Trump 2.0 extreme-tariff regime. To examine volatility dynamics and exchange-rate interconnectedness, this study adopts a two-stage empirical framework combining an AR(1)-EGARCH-X(1,1)-GED model and a DCC-GARCH(1,1) model. The first stage estimates conditional exchange-rate volatility while accounting for asymmetric shock responses and fat-tailed return distributions. The second stage evaluates the effects of tariff-related events and global risk factors on volatility behavior and examines time-varying conditional correlations among currencies. In addition, the JPY–KRW correlation is employed as a benchmark reflecting global risk-aversion effects, allowing the analysis to assess whether the CNY–KRW relationship exhibits distinct characteristics beyond common regional factors. The empirical results reveal a pronounced sign-reversal pattern following the introduction of the Trump 2.0 extreme-tariff regime. Conditional volatility of the renminbi declines significantly, whereas volatility in both the Korean won and Japanese yen increases. These findings are consistent with the possibility that exchange-rate stabilization policies may have contributed to lower observed volatility within the managed renminbi regime, while higher volatility was observed in the Korean won and Japanese yen during the same period. Dynamic-correlation analysis further shows that the persistence of the CNY–KRW correlation is substantially lower than that of the JPY–KRW pair, suggesting that the CNY–KRW relationship is more sensitive to policy events and regime shifts, whereas the JPY–KRW relationship is more closely associated with persistent global risk-aversion factors. Event-study and structural-break analyses provide additional evidence consistent with asymmetric volatility adjustments across currencies following major tariff-policy changes. This study contributes to the literature in three ways. First, it provides a comprehensive examination of exchange-rate volatility dynamics across both phases of the US–China trade conflict, including the recently emerging Trump 2.0 extreme-tariff regime. Second, it integrates asymmetric volatility modeling and dynamic-correlation analysis within a unified empirical framework to jointly examine volatility behavior and exchange-rate co-movements. Third, by comparing the CNY–KRW and JPY–KRW relationships, the study documents evidence consistent with China-related spillover effects and discusses the possible role of exchange-rate management in shaping volatility patterns under heightened trade and geopolitical uncertainty. Overall, the findings suggest that major trade-policy regime shifts can alter both exchange-rate volatility and regional currency-market linkages across East Asia.

This paper aimed to review the structural change in the foreign exchange market and to explores the stabilizing policies of exchange rate. The foreign exchange market in Korea is experiencing three important changes in the post-crisis period, which deserve special attentions for their implications on the government exchange rate policy. First, with the adoption of the free floating exchange rate system, exchange rate volatility has increased in the market. Accordingly, ensuring stable exchange rates has emerged as one of the top priorities for the exchange rate policy. The foreign exchange intervention is a useful policy instrument for reducing exchange rate volatility. The vocal intervention is an useful policy if the foreign market is a high level of transparency and confidence. Second, the capital account liberalization in Korea introduced by the government in 2005: the overseas investment promotion plan and the expiration of sunset clauses for capital account transactions. These two liberalization measures are expected to mitigate the excess supply of the U.S. dollar in the domestic foreign exchange market, which would in turn lessen policy burdens of the Korea government in managing the macro-economy. In addition, the would enhance the convertibility of the Korean won and the credibility of th Korean Economy in the global financial market. Due to these measures, however, the Korean economy may become more susceptible to speculative attack and a sudden reversal of capital inflow. Furthermore, monitoring and supervision of foreign exchange transactions are likely to be weakened. Third, like ECU of EMS, the common currency basket composed of currencies of East Asian countries should be taken as key currency for the sake of stability of regional exchange rate. The exchange rate ban should be enlarged so that we can change basic exchange speculation on the currency market. In addition, the intramarginal intervention is desirable in order to keep stable exchange under the enlarged exchange rate band.

본 연구는 보험요율, 수출액, 환율, 환율변동성이 환변동보험의 인수에 미치는 영향에 대한 실증분석이다. 보험수요함수에 대한 기본적인 이론을 바탕으로 우리나라의 수출환변동보험인수 에 대한 계량분석모형을 설정하고, 2000년부터 2013년까지의 월별자료를 사용하여 회귀분석 을 실시하였다. 설명변수와 종속변수의 시계열특성을 고려하여 수준변수와 차분변수를 사용한 선형-로그 형태의 회귀방정식을 추정하였다. 실증분석결과, 보험요율, 환율, 환율변동성은 수출 환변동보험의 인수액에 통계적으로 유의한 영향을 미치는 것으로 나타났다. 특히 환율의 영향이 환율변동성의 영향보다 훨씬 큰 것으로 추정되었는데, 원-달러 환율이 1% 하락 시 환변동보험의 인수액은 약 8% 증가하는 것으로 분석되었다. 이러한 분석결과는 최근과 같이 환율하락폭이 급격 히 커지면 수출기업의 환변동보험의 수요가 크게 증대된다는 사실을 반영하며, 특히 앞으로도 환율이 급락하는 동향을 주의 깊게 관찰하여 환변동보험의 수요를 미리 예측하고 관리하는 선제적 인 정책적 대응 노력이 필요하다는 점을 시사한다.

This paper presents empirical evidence for the influence of economic variables on foreign exchange rick insurance. Using monthly data on Korea trade from 2000 to 2013, the effects of premium rate, exports, exchange rate and exchange risk on the volume of export foreign exchange risk insurance were investigated. Results show that the level and the volatility of exchange rate have significant effect on the volume of the insurance. More importantly, the effect of the level is significantly stronger than that of the volatility of the exchange rate. This work presented in the paper has profound implication for the policy authority to consider the role of exchange rate movement in the appropriate strategy for managing and forecasting the demand of foreign exchange risk insurance.

본 연구에서는 정확한 글로벌 금융위기 국면과 지속기간 등을 확률적으로 파악하고 금융위기 기간 동안 주식시장과 외환시장의 위험을 추정하며 그 위험의 속성을 포괄적으로 분석하기 위하 여 보다 정교한 재무 계량 분석모형을 도입하고자 하였다. 이를 위하여 Heteroscedasticity를 고려 한 Jump-Diffusion GARCH모형과 Markov Switching ARCH 모형, 즉 SWARCH(k,q) 모형이 사용 되었고 환율변동성의 정교한 분석을 위하여 heteroscedasticity를 고려한 Blanchard-Quah Decomposition 기법이 도입되었다. 본 연구의 결과에 의하면 평상시로 분류된 2000년 1월 4일부 터 2007년 6월 29일 까지 한국주식시장에는 통계적으로 유의할 만한 jump behavior가 추정되지 않은 반면 글로벌 금융위기기간으로 분류된 2007년 7월 2일부터 2010년 3월 31일까지 기간 동 안에는 약 7일 만에 한번 씩 시장에 통계적으로 유의한 급등락 위험이 발생하는 것으로 보고되었 다. 한편 한국주식시장은 구조적인 위험국면확률이 매우 뚜렷하여 주식시장의 위험을 일반적인 이분산모형으로 추정할 경우 한국주식시장의 위험구조를 아주 정확하게는 파악하지 못할 수 있는 가능성도 배제할 수 없음이 시사되었으며 한국의 원/달러 외환시장에서 실질충격의 변동성이 과 거 30여 년 동안 글로벌 금융위기 기간 중에 가장 크게 변동한 기록이 존재함을 알 수 있었고 특 히 최근 금융위기 기간 동안 실질충격크기의 상대적 중요성이 IMF기간 중 보다 훨씬 더 커지고 있는 것으로 추정되었다.

조선산업은 전방산업효과 및 후방산업효과가 상당히 큰 산업이며, 노동집약적인 산업의 속성을 가지면서도 기술집약적인 성격을 동시에 가지는 산업이다. 이러한 조선산업은 우리나라의 전략산업으로서 경상수지에 커다란 영향을 미치는 산업이므로 국제경쟁력의 확보 및 유지가 매우 중요하다. 따라서 본 연구에서는 우리나라 선박수출에 대한 외생적인 변화요인인 환율과 선박의 주요 원자재인 후판가격의 변화가 우리나라의 선박수출에 끼치는 영향을 계량적으로 분석하였다. 분석 결과에 의하면, 선박수출에 대해 환율과 후판가격의 영향력은 유의한 것으로 나타났으며, 환율의 변화가 조선산업의 수출에 더 큰 영향을 미치는 것으로 분석되었다. 이는 개방에 따른 금융환경의 변동성이 그 어느 때보다 큰 오늘날 조선산업에서의 국제경쟁력의 확보 및 유지를 위해서는 환헷지 등의 기능을 더욱 강화할 필요성이 요구된다는 것을 의미한다.

Shipbuilding industry is generally of considerably great forward- and backward-effects and belongs to one of the most labor-intensive as well as technology-intensive industries. This industry is strategic to the Korean economy, especially to the maintenance of its current account balance so that the Korean government is very much concerned on improving and maintaining the international competitiveness of shipbuilding. This study focuses on how much the Korean prices of thick steel plate and the foreign exchange rates affect statistically on the export of the Korean shipbuilding. My statistical analysis shows that the prices of thick steel plate and the foreign exchange rates are significant to the Korea's shipbuilding export. This study also shows the latter is more important than the former in the Korea's shipbuilding export. These results imply that the volatility of the Korea's financial system increases greatly because of its opening to the international financial markets and that the Korean government should intensify and diversify foreign exchange hedges to maintain the international competitiveness of its shipbuilding industry.

본 연구의 목적은 제조업의 업종별 생산과 환율이 어떤 관계가 있는지를 주기별로 분석하는 것이다. 이 를 위해 통계청의 제조업 국내공급동향을 재구성하여 대표적 24개 업종의 생산지수를 파악하였다. 이때 제조업의 업종 분류는 2017년 9차 개정된 통계청의 한국표준산업분류표에 따른 것이다. 본 연구에서 2017년 10차 개정된 한국표준산업분류표에 따르지 않는 이유는 본 연구의 시간적 범위가 2000년부터 코로나 팬더믹 이전까지인 2018 년까지이기 때문이다. 이를 연도별 환율 변동추이와 연계하여, 벡터자기회귀 모형(VAR : Vector Autoregressive Model)을 활용하여 소파동 분석을 한다. 분석결과, 생산과 환율의 관계가 업종별로 각각다른 것으로 검증되었다. 즉, 중공업, 경공업을 제외한 업종들이 환율과 생산과의 균형관계가 존재하는 것을 확인할 수 있었다. 이러한 결과 는 경제정책수단 및 민간 투자자들의 투자지표로 활용될 수 있을 것으로 기대한다.

The purpose of this study is to analyze the relationship between production and exchange rate by industry in the manufacturing industry by cycle. To achieve the purpose of the study, the production indices of 24 representative industries were identified by reconstructing the domestic manufacturing supply trends of the National Statistical Office. In this case, the classification of the manufacturing industry is based on the Korea Standard Industrial Classification Table of the National Statistical Office, which was revised nine times in 2017. The reason why this study does not apply the Korean Standard Industrial Classification Table, revised 10 times in 2017, is that the time range of this study is from 2000 to 2018, before the corona pandemic. For analysis, the production indices of 24 representative industries are identified by reconstructing the domestic manufacturing supply trends of the National Statistical Office. Then, after linking this with the exchange rate change by year, wavelet analysis is performed using a vector autoregressive model (VAR). As a result of the analysis, it was verified that the relationship between production and the exchange rate was different for each industry. In other words, it was confirmed that there is a balanced relationship between the exchange rate and production in industries except heavy industry and light industry. These results are expected to be utilized as economic policy tools and investment indicators for private investors.

환노출의 변화가 환노출관리활동의 변화와 갖는 관계 분석을 통하여 환노출과 환노출관리활동 간의 관계를 분석하였다. 분석결과 기업 환노출이 크기는 물론이고 방향까지도 분석 기간에 따라 변하는 것을 확인할 수 있었다. 전체적으로 기업들은 기본적인 영업활동에서 발생한 환노출을 관리하고 있었으며, 특히 환율이 상승(하락)하면 기업가치가 증가(감소)하는 방향의 환노출에 대해 적극적으로 환노출관리를 하고 있음을 확인할 수 있었다. 이 연구의 결과는 환노출관리를 위험의 관리라는 측면에서 접근할 때 환율상승이 기업가치의 하락을 초래할 수 있는 가능성에 대한 관리에 좀더 유의할 필요가 있다는 시사점을 주고 있다. 또한, 환노출을 효율적으로 관리하기 위해서는 기업의 규모나 부채의 규모와 같은 기업의 기본적인 특성에 대한 고려가 전제되어야 함을 시사하고 있다. 즉, 기업의 최적 헤지비율은 기업이 처한 외화포지션의 특성과 기업의 규모나 기업내부의 현금흐름의 특성을 고려하여 결정되기 때문에 외화노출포지션에 따른 최적 헤지비율의 규모는 일반화할 수 있는 변수라기보다는 기업 특유의 고유한 변수로 접근하여야 하는 것으로 이해하여야 한다. 파생상품사용의 변화가 환노출관리효과와 일관성 있는 관련성을 보여주지 않고 있는 것은 기업이 환노출 관련 특성변화를 고려하여 파생상품거래를 민첩하게 조정하지 못하고 있음을 의미하는 것으로 파생상품의 효율적인 사용을 위해서는 기업이 자신의 외화포지션뿐만 아니라 기업 전반적인 특성을 적극적으로 고려할 필요가 있음을 시사하는 결과이다.

This study relates foreign exchange rate exposure to its risk management. Both the magnitude and direction in the foreign exchange rate exposure have contemporarily changed during the period of 2000 to 2010. As a whole, the Korean firms have managed their foreign exchange exposure originated from operational activities. Particularly, they had a tendency to manage the positive exposure that a depreciation of won against dollar has a positive impact on stock returns of Korean firms. However, the Korean firms haven't actively managed negative exposure. This suggests that the Korean firms need to enhance their managerial efforts to manage the negative exposure in order to reduce the risk of foreign exchange exposure. The analyses on the changes of foreign exchange exposure show that firms' optimal hedge ratio could be different depending on their characteristics such as the size and debt ratio. This result suggests that firms should consider their specific features in deciding their hedge ratio. This study also shows that firms haven't effectively used foreign currency derivatives for managing their foreign currency exposure. One of the plausible reasons is that firms haven’t adjusted their derivatives positions properly, considering the changes in their circumstances.

외환위기를 전후하여 한국의 제조기업을 대상으로 환율의 상승 및 하락에 따를 환노 출의 비대칭성을 측정하고 이의 결정요인을 분석하였다. 분석결과 달러표시 부채비율과 비대칭적 환노출 간의 관계를 확인할 수 있었다. 특히, 외환위기 이후 기간에 달러표시 부채는 달러화에 대한 환노출의 비대칭성 확대와 관련이 있는 것을 확인할 수 있었다. 이러한 결과는 주가수익률의 비대칭적 변동성을 설명하는 레버리지효과가설을 외화표시 부채에 적용한 외화표시부채효과가설을 지지하는 것이다. 달러표시 부채가 환노출의 비 대칭 계수 값의 감소와 관계가 있다. 수출비율은 환노출 비대칭 계수 값의 증가와 관련 이 있는 데 이것은 달러표시 부채의 영향과는 반대 방향의 영향이다. 이 연구의 결과는 달러표시 부채가 수출에 의해 발생한 비대칭적 환노출을 관리할 수 있는 자연적 헤지 (natural hedge) 방법이 될 수 있음을 시사한다. 한편, 해외직접투자는 외화표시 부채와 동일한 유형으로 환노출의 비대칭성과 관련이 있는 것으로 나타난다. 그러나 해외직접투 자와 환노출 비대칭성 간의 관계는 환노출의 비대칭성이 큰 기업들의 영향에 의해 나타 난 결과라고 할 수 있었다. 환노출의 비대칭 계수가 큰 기업들을 제외한 분석결과나 과 거 환율 변동에 의한 환노출의 비대칭성을 분석한 결과도 외화표시부채효과가설을 지지 하는 결과를 보여 준다.

외국인 투자자들의 투자행태를 분석한 결과 거래량에 비해서 거래금액이 차지하는 거래비 중이 크고 90% 이상의 거래가 대형주 위주로 구성되어 있다. 또한 외국인 투자자들의 순매수량과 시장 변수간의 상관관계를 분석한 결과 외국인 투자자들의 순매수량은 환율과는 양(+)의 상관관계를 그리고 환율변동율과는 음(-)의 상관관계를 갖는 것으로 나타났다. 이와 같은 외국인 투자자들의 투자행태를 기초로 투자성과를 분석한 결과 전체 표본기간 동안 전반적으로 유의한 양(+)의 투자성과가 나타났고 암묵적 거래비용에서도 전체적으로 낮은 거래비용이 나타남으로써 양(+)의 투자성과에 대한 결과를 지지하였다. 그러나 전체 투자 성과는 대부분 탁월한 거래시점선택에 의해 얻어진 투자성과로 종목선택에 의한 투자성과에 서는 오히려 음(-)의 투자성과가 나타났다. 또한 외국인 투자자들의 투자성과와 환율의 관계를 살펴보고자 우선 상관관계를 분석한 결과 투자기간에 무관하게 외국인 투자자들의 투자성과는 환율과는 양(+)의 상관관계를 나타내고 환율변동율과는 음(-)의 상관관계를 나타냈다. 또 한 환율 및 환율변동율에 따라 각기 두 그룹으로 나누어 그룹 간 차이를 살펴본 결과 환율이 높을수록 그리고 환율변동율이 낮을수록 외국인 투자자의 투자성과는 높게 나타났으며 각기 두 그룹 간에는 유의한 차이가 있었다.

Generally, foreign investors and exchange rates are closely related because foreign investors have to exchange their profits to currency of their home country after trading. So, this paper investigated what relations exist between the trading performance of foreign investors in the Korean stock market and the exchange rate after the active involvement of foreign investors. And trading performance of foreign investors is observed by dividing it into profits from their stock selections and those from market timing in this study. Finally, trading terms are varied ranging terms from short-term such as 5 days to long-term such as 1 year. The main results of this study are as follows. First, the author found that the proportion of profit from stock selection is very small or negative profit and that the total trading profits from the Korean stock market is comprised mainly of profits from market timing. Our results are robust in sub-period analyses. Second, when the exchange rate is high and volatility of exchange rate is low, foreign investors have higher trading profits.