Earticle

본 연구에서는 국내 스마트 베타 ETF를 대상으로 추적오차, 샤프지수 및 가격괴리율 분석을 통해 스마트 베타 ETF의 성과와 가격효율성을 분석한다. 또한 코로나 19 발생 이전과 이후 기간에서의 성과와 가격효율성을 비교 분석한다. 연구의 주요 결과는 다음과 같다. 첫째, 추적오 차의 값은 매우 작았고 유의하지 않은 것으로 나타났다. 회귀분석에 의한 분석에서는 스마트 베타 ETF가 통계적으로 기초지수를 잘 추적하지 못하는 것을 보여주었으나 차이는 매우 작았으며, 코로나 19 이후 기간에서의 추적오차가 이전 보다 더 크게 나타났다. 둘째, 벤치마크 성과에 대한 회귀분석 결과 스마트 베타 ETF의 일부 종목에서만 초과수익률을 기록하였다. 셋째, 샤프지수 분석 결과 스마트베타 ETF는 전체기간에 서는 지수 ETF보다 낮았으나, 코로나 19 이후 기간에서는 코로나 19 발생 이전 기간보다 높았고 지수 ETF 보다도 높은 것으로 나타났다. 넷째, 스마트 베타 ETF의 가격괴리율은 전반적으로 작고 음(-)의 값으로 할인현상이 더 많이 나타났으며, 지수 ETF 보다 작았다. 또한 코로나 19 발 생 이후 기간에서의 가격괴리율이 이전 기간보다 더 큰 것으로 나타났다. 이를 통해 국내 스마트 베타 ETF는 코로나 19 발생으로 인한 시장의 변동성이 심한 시기에 성과가 상대적으로 우수하다고 볼 수 있으나 이러한 결과는 일부 스마트 베타 ETF 에서만 나타났다. 따라서 국내 스마 트 베타 ETF 투자를 통해 항상 초과성과를 얻을 수 있는 것은 아니라는 사실을 유추할 수 있었고, 투자 실행에 앞서 스마트 베타 ETF의 주요 특성에 대한 학습과 주의가 필요하다고 하겠다.

This study analyzes the performance and price efficiency of smart beta ETFs through an examination of their tracking error, Sharpe ratio, and price deviation rate. It also compares their performance and price efficiency before and after the onset of COVID-19. The main findings are as follows. First, tracking error values were very small and statistically insignificant. Regression analysis indicated that smart beta ETFs did not statistically track their underlying indices well, though the difference was very small, and tracking error was larger in the post-COVID-19 period. Second, regression analysis of benchmark performance showed that only some smart beta ETF holdings recorded excess returns. Third, the Sharpe ratio analysis revealed that smart beta ETFs had lower Sharpe ratios than index ETFs over the entire period. However, during the post-COVID-19 period, their Sharpe ratios were higher than both the pre-COVID-19 period and index ETFs. Fourth, the price deviation rate of smart beta ETFs was generally small and predominantly negative, indicating a greater tendency toward discounting, and the deviation rate was smaller than that of index ETFs. This suggests that domestic smart beta ETFs demonstrated relatively superior performance during periods of high market volatility caused by COVID-19. However, this result was only observed in some smart beta ETFs. Therefore, it can be inferred that investing in smart beta ETFs does not always guarantee excess returns. Learning about the key characteristics of smart beta ETFs is required before executing investments.

Financial regulators often react to certain crisis periods by restricting short-selling to stabilize the stock market. Recently, against the COVID-19 pandemic, the Korean government imposed a ban on short-selling in 2020 and has allowed a partial resumption only for larger stocks indexed in KOSPI200 and KOSDAQ150 since May of 2021. When the constituents of these indices are updated, newly indexed or excluded stocks experience exogenous shocks in short-selling regime. Using this quasi-natural experimental setting, we examine a pure impact of short-selling permission and ban. The results show that short-selling permission enhances stocks’ price efficiencies, while short-selling permission or ban does not strongly influence stock return and volatility. Overall, this paper supports the positive role of short-selling, by providing empirical evidence against arguments for banning short-selling.

본 연구의 목적은 중국 3대 전자상거래 플랫폼의 농산물 시장 효율성을 소비자 가격 공정성 인식의 관점에서 측정하고, 비효율적 브랜드의 품질과 가격 차이를 분석하여 농산물 판매 기업이 합리적인 가격 전략을 수립할 수 있도 록 하기 위함이다. 본 연구에서는 전자상거래 플랫폼에서 판매되는 농산물의 특성(품질, 원산지, 맛, 안전성 수준)을 산출 지표로 하고, 제품 가격을 투입 지표로 선정하여 DEA 분석을 통해 시장의 효율성을 평가하였다. 분석 결과 효율 적 브랜드의 비중은 JD몰이 가장 높고, YHD.com은 평균 시장 효율이 가장 높았으며, 동북 쌀은 3개 플랫폼에서 평균 효율성 차이가 가장 큰 것으로 나타났다. 이러한 결과는 가격 비효율성이 여전히 전자 시장에 존재한다는 것을 보여준 다. 농산물 온라인 시장의 발전을 위해서는 소비자 가격공정성에 주의하고 가격과 품질의 조화를 중시해야 한다. 이 논문의 한계점은 인터넷 시장에서 소비자 경험에 의한 입소문 마케팅의 영향력에 초점을 맞추지 않았다는 점이며, 이는 향후 연구 과제이다.

The purpose of this study is to measure the agricultural product market efficiency of the three e-commerce platforms from the perspective of consumer price fairness perception, analyze the quality and price gap of invalid brands, and help agricultural products enterprises to formulate reasonable price strategies. The characteristics of farm products sold in e-commerce platforms(quality, origin, taste, safety level) were selected as output indicators and the prices of products were selected as input indicators to evaluate the efficiency of the market through DEA analysis. According to the analysis, JD mall has the largest proportion of effective brands, while YHD.com has the highest average market efficiency, and northeast rice has the largest difference in average efficiency among the three platforms. The results show that price inefficiencies still exist in the electronic market. The development of online market for agricultural products should pay attention to consumer price fairness and pay attention to the coordination between price and quality. The limitation of this paper is that it does not focus on the influence of words of mouth marketing in internet market and consumer experience, which can be the future research direction.

본 연구는 2002년 10월 14일부터 2017년 6월 1일까지의 KOSPI200 추적 ETF의 추적오차, 가격오차, 괴리율과 펀 드특성 요인 및 시장특성 요인과의 관계에 대한 분석을 통해 ETF의 가격효율성을 검증하고, 가격효율성에 영향을 미 치는 요인을 분석하였다. 본 연구의 결과를 간략하게 제시하면 다음과 같다. 첫째, KOSPI200 추적 ETF가 KOSPI200 대비 소폭의 초과성과를 보였고, ETF는 NAV대비 저평가되는 경향이 보였다. 둘째, ETF 가격오차 분석에서도 ETF 저평가 현상을 확인하였다. 가격오차는 시간이 경과할수록 줄어들고 있지만 여전히 음(-)의 값을 보여 ETF 저평가 현 상은 최근에도 지속되고 있다. 셋째, 가격오차의 절대값인 괴리율은 대략 1% 수준으로 확인되었고, 최근에 괴리율은 점점 줄어드는 것으로 나타났다. 전체 ETF의 괴리율의 크기는 연도별로 유사하게 관측되어, 특정 ETF가 다른 ETF와 다르게 움직이는 경향은 없는 것으로 확인되었다. 마지막으로, 가격오차와 괴리율에 영향을 미치는 요인을 분석한 결 과 ETF 변동성이 가격오차에 유의하게 음(-)의 영향을 미치는 것으로 확인되었다. 한편 ETF 가격효율성의 대용치인 괴리율은 ETF 순자산 총액과 ETF 수익률과 음(-)의 관계를 보였고, 변동성과는 양(+)의 관계를 보였다. 따라서 ETF 의 가격효율성에 영향을 미치는 요인으로 펀드 특성인 순자산가치와 시장요인인 변동성과 수익률임을 본 연구에서 확인할 수 있다.

This paper examines Through the analysis of the relationship between the tracking error, price error, separation rate and fund characteristic factors and market characteristic factors of the KOSPI200 Tracking ETF from 14 October 2002 to 1 June 2017, this study studied the factors affecting price efficiency through the verification of the price efficiency of ETF and the regression analysis between its determinants. The tracking error is defined as the difference between NAV and benchmark, and the price differential rate is defined as the discount or premium between NAV and ETF price. By analyzing the existence and sustainability of tracking errors in domestic ETFs, the results of looking at price efficiency are as follows. First, the KOSPI200 tracking ETF outperforms the KOSPI200, and ETFs tend to be undervalued compared to NAVs. Second, the undervaluation of the ETF is also confirmed in the ETF price error analysis. Price errors have been declining with the recent trend, but still has negative values which suggests that the ETF price is lower than NAVs. Third, the price differential rate, which is the absolute value of the price error, has been confirmed to be about 1%, and has been decreasing recently. The magnitude of the price differential rate across ETFs is similarly observed for each year, confirming that no particular ETF tends to move differently from other ETFs. Finally, the analysis of the factors affecting the price error and the price differential rate reveals that the ETF volatility has a significant negative effect on the price error. Meanwhile, the price differential rate, a proxy for ETF price efficiency, is negatively correlated with the ETF net asset value and the ETF return, and is positively correlated with the volatility. Thus, the study can confirm that the factors affecting the price efficiency of the ETF are the net asset value of the fund, the volatility, and the return of ETF.

본 연구에서는 가격효율성이 유동성과 연관되어 있다는 점을 고려해 가격괴리율에 대한 유동성의 영향을 실증분석하였다. ETF 가 격괴리율과 유동성 간의 관계를 파악하기 위해 본 연구에서는 미국 뉴욕증권거래소(NYSE)에 상장된 6개의 아시아 국가 ETF(한국, 중 국, 인도, 인도네시아, 말레이시아, 필리핀)를 선정하였으며, 표본기간은 2015년 1월 2일부터 2023년 2월 28일까지이다. 분석 결과 아시아 국가 ETF의 가격괴리율 정도가 전반적으로 작은 상황에서 유동성은 가격괴리율과 음(-)의 관계를 가지는 것으로 나타났으며, 펀드 프리미엄 및 디스카운트 각각에 대해서는 각각 양(+)과 음(-)으로 추정되었다. 그리고 ETF의 가격괴리율에 대해 모멘텀 (momentum)은 양(+)의 관계, 회전율은 음(-)의 관계를 가졌으며, 변동성(VOL)을 의미하는 모수는 4개 국가 ETF(인도, 인도네시아, 말레이시아, 필리핀)에서 음(-)으로 추정되었다. 이처럼 미국 시장에서 거래되는 아시아 ETF의 경우 가격괴리율 현상은 유동성, 변동 성, 회전율과 관련이 있으며, 방향은 프리미엄 또는 디스카운트에 따라 다를 수 있다는 사실을 발견하였다.

Considering that price efficiency is related to liquidity, this study empirically analyzed the effect of liquidity on the differentials defined by the relationship between ETF prices and the net asset value (NPV) of underlying assets. In order to understand the relationship between differentials and liquidity in ETF, this study selected six Asian countries ETFs (Korea, China, India, Indonesia, Malaysia, and the Philippines) listed on the New York Stock Exchange (NYSE), and the sample period is from January 2, 2015 to February 28, 2023. As a result of the analysis, liquidity was estimated to have a negative (-) relationship with differentials in Asian countries, and positive (+) and negative (-), respectively, for fund premiums and discounts. In addition, the momentum was positive (+) and the rotation rate was negative (-) for the ETF's price distortion rate, and the parameter, which means volatility (VOL), was estimated to be negative (-) in the four countries ETFs (India, Indonesia, Malaysia, and the Philippines). In the case of Asian ETFs traded in the U.S. market, it was found that differentials phenomenon is related to liquidity, volatility, and turnover, and the direction may vary depending on premium or discount. In addition, although the ETF's in-kind creation and redemption functions contribute to efficient pricing, it can be seen that in the country ETF market, prices are formed inefficiently due to continuous price errors due to arbitrage restrictions. Therefore, if arbitrage trading is possible indefinitely, it can be suggested as a practical implication that the deviation from the net asset value may be reduced.

본 논문은 코스피 및 코스닥 상장기업을 대상으로 하여, 동 기업의 신용등급이 동종산업내 여타 경쟁사보다 우수할수록 동 종목의 주식가격 결정이 과연 더욱 효율적으로 이루어지는지 실증적으로 고찰한 연구이다. 특히 코스닥 기업은 정보비대칭을 줄이는 데에 있어 신용등급 정보 이 외의 수단이 코스피 기업보다는 상대적으로 부족하므로, 양호한 신용등급이 주식가격결정의 효율성에 미치는 긍정적 효과는 코스피 기업에 비 하여 코스닥 기업이 더 클 것으로 예측할 수 있다. 이 때 신용등급 우수함의 정도는 KIS-VALUE에서 제공하는 신용등급 지수를 기초로, 동종산업 신용등급의 평균값보다 우수하면 1, 그렇지 않으면 0을 설정한 더미변수로 측정한다. 그리고 주식가격결정의 효율성에 대한 대용변수로서 분산비율(variance ratio; LoandMacKinlay, 1988) 및 가격결정 비효율성 지표(Hou andMoskowits, 2005)를 설정하였다. 실증분석 결과, 신용등급이 우수할수록 분산비율(variance ratio)은 1에 접근하였고, 가격결정의 지연정도는 감소하였다. 또한 고유위험 및 주 가수익률의 왜도를 종속변수로 사용한 패널분석 결과, 신용등급이 우수할수록 고유위험과 왜도 모두 감소하였다. 이는 주식가격의 안정성이 증 가 및 복권성향(lottery) 투기의 감소를 시사한다. 이러한 결과는 특히 정보비대칭이 상대적으로 심한 코스닥 기업에서 더욱 성립하였고, 반면 정 보비대칭이 상대적으로 작은 코스피 기업에서는 일부만 성립하였다. 요컨대, 본 연구는 정보비대칭이 존재하거나 심각할 경우, 특히 엄격한 신용평가의 필요성을 피력해 온 선행연구들과 그 맥을 같이 한다.

In this study, we investigate whether firm’s good credit rating would improve the efficiency of stock pricing using firm level data in both KOSPI and KOSDAQmarket in Korea. Since firms in KOSDAQmarket tend to have a relatively limited information to firms in KOSPI market, credit ratingwould play amore import role in stock pricing efficiency in KOSDAQthen in KOSPImarket. For the credit rating variable, we set a dummy variable that is equal to 1 if company have a better rating than the average rating in similar industry, and 0 otherwise. Also we use a variance ratio(Lo and Mackinlay(1988)) and the degree of delayed stock pricing(Hou and Moskowits(2005)) to proxy the efficiency of stockmarket pricing, Our estimation results suggest that better credit rating derives the variance ratio to one(unity), reduce the degree of delay in stock pricing. When we use idiosyncratic volatility and skewness as a dependent variable for the robustness check, we find that better credit rating would reduce the idiosyncratic volatility and the skewness of individual stock returns. These results imply that credit rating would enhance stock pricing efficiency. Lastly, these features are found to bemore robust in KOSDAQfirms than in KOSPI firms. Therefore, this study supports the idea that objective and transparent credit rating systemshould be set up.

본 연구는 기업이란 무엇이며 무엇이어야 하는가 하는 본질적인 과제에 대한 고민에서 시작되었다. 전통적으로 기업은 생산 활동의 주체로서 좋은 제품이나 서비스를 경제적으로 만들어서 시장에 제공하는 것을 그 역할과 본질로 여겨왔다. 하지만, 기업의 규모와 비중이 커지면서 사회 에 미치는 영향력이 높아지고 이에 따라 사회적 역할의 기대와 요구가 점점 증가하고 있다. 오늘날 기업의 소극적인 측면에서 사회적 역할 뿐만 아니라 보다 적극적 측면에서 다양한 사회적 과제에 대한 해결 노력과 대응을 요구하고 있다. 더불어 기업 측면에서도 사회적 책임을 적극적으 로 수행하는 것이 기업의 새로운 비즈니스 모델로서 전략적으로 대응하려는 시도가 나타나고 있다. 이를 위해서는 사회적 과제에 대한 기업의 관점 변화가 수반되어야 하며 이는 기업의 경영의사결정과정에서 사회적 과제를 보다 적극적으로 고려하는 매커니즘이 만들어져야 한다. 즉 기 업의 지배구조 측면에서 사회적 과제를 적극적으로 반영하는 체계의 구축이 필요하다는 것이다. 이러한 문제의식을 바탕으로 본 연구에서는 기 업의 사회적 책임과 지배구조 그리고 가치의 관계를 선행 연구를 중심으로 이론적으로 살펴보고 이를 바탕으로 전략적 실천을 위한 기본적인 제 안을 위한 탐색을 시도하였다. 그 결과, 기업을 이해관계자 중심의 다원적 관점에서 접근해야 하며 전통적인 주주수탁자 책임에서 사회수탁자 책임으로 확대할 필요성을 주장하였다. 그리고, 기업의 사회적 책임의 필요성과 범위의 확대와 더불어 ISO26000, SDGs와 같은 글로벌 수준의 기 준과 행동규범의 강화를 실천하기 위해 기업의 지배구조와의 통합의 필요성을 주장하였다. 마지막으로 기업의 지배구조 측면에서 사회적 책임 활동을 체계화하고 기업의 성과와 가치 증대로 연결시키기 위한 방안을 제시하였다. 본 연구는 최근 급속하게 관심이 높아지고 있는 ISO26000이 나 SDGs에 기반하여 이것이 기업의 사회적 과제에 대한 노력과 대응에 관한 다양한 개념의 통합 가능성과 이것을 실천하려는 기업에게 명확한 지침을 제시할 수 있다는 점에서 큰 의의가 있다.

In this study, we investigate whether firm’s good credit rating would improve the efficiency of stock pricing using firm level data in both KOSPI and KOSDAQmarket in Korea. Since firms in KOSDAQmarket tend to have a relatively limited information to firms in KOSPI market, credit ratingwould play amore import role in stock pricing efficiency in KOSDAQthen in KOSPImarket. For the credit rating variable, we set a dummy variable that is equal to 1 if company have a better rating than the average rating in similar industry, and 0 otherwise. Also we use a variance ratio(Lo and Mackinlay(1988)) and the degree of delayed stock pricing(Hou and Moskowits(2005)) to proxy the efficiency of stockmarket pricing, Our estimation results suggest that better credit rating derives the variance ratio to one(unity), reduce the degree of delay in stock pricing. When we use idiosyncratic volatility and skewness as a dependent variable for the robustness check, we find that better credit rating would reduce the idiosyncratic volatility and the skewness of individual stock returns. These results imply that credit rating would enhance stock pricing efficiency. Lastly, these features are found to bemore robust in KOSDAQfirms than in KOSPI firms. Therefore, this study supports the idea that objective and transparent credit rating systemshould be set up.

본 연구는 아직까지 국내에서 시도된 바가 없는 라디오 광고의 방송사별 실증적 가치를 분석하기 위한 것으로, 우선 라디오 방송사 12개국의 청취율과 광고요금을 조사하고, 커버리지 인구수를 추정한 후 각 라디오 방송사의 비용효율성을 산출하였다. 또한 전체 라디오 방송사의 비용효율성에 기초하여 각 방송사별 광고의 적정요금을 제안하였으며, ‘취약매체’인 종교 라디오 방송사의 경우 광고매출액의 변화폭도 제시하였다. 지상파 라디오 방송사의 평균 청취율은 0.306% ~ 2.626%, 종교 방송사의 청취율은 0.052% ~ 0.464%로 방송사별 특성에 따른 시청자 규모의 차이가 발견되었으며, 전반적으로 CBS-FM과 극동방송을 제외하면 지상파 라디오 방송사의 효율성이 종교 라디오 방송사보다 우수하였다. 방송사별 적정광고요금을 통해 종교 라디오 방송사의 매출액 변화를 추정한 결과, 불교, 평화, 원음방송의 광고매출액은 큰 폭으로 감소하였다. 이러한 결과는 효율성이 낮은 방송사들은 독자적 가치 확보를 위해 노력해야 한다는 점과 정책적인 차원에서 지원방안의 마련도 필요하다는 것을 시사한다.

This study analyzed the empirical value of radio advertisement broadcasted by 12 radio stations in Korea. Even though radio is one of the most frequently used advertising media, the empirical value analysis has neither been attempted nor compared the inefficiency in Korea. Therefore, this study tried to probe the audience and advertising rates, estimate the coverage population, and compute the cost-efficiency of each station. Based on the efficiency analysis of overall stations, the results offered a reasonable price of each advertisement and also offered a variation width of sales for so-called ‘weak media’ religious broadcasting companies. Study results also showed that depending on each nature of stations, the size of audience were quite different. The average terrestrial radio program ratings were relatively high (0.3~2.6%) compared with the religious radio station ratings which were 0.05~0.46%. The efficiency of terrestrial radio advertising was greater than the religious ones' except CBS-FM and FEBC. As a result of estimating religious broadcasting sales variation based on the fair advertising rates, a heavy necessary decrease on sales on BulGyo, PyungHwa, and WBS-FM were found.

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.

This paper examines how a link between efficiency wages and price indexation can arise in a multisector economy. We show that, the more elastic the worker's effort is with respect to real wages, the looser the optimal linkage of nominal wages to the price level is. This is simply because, as the worker's effort becomes more sensitive to real wages, the output-stabilizing indexing scheme has to make nominal wages less dependent on the price level, thereby delegating firms more flexibility for adjusting the output level. Our result may help explain the recent decline in the share of U.S. union contracts for price indexation.

본 연구는 소비자가 구매결정 시 관찰 불가능한 제품속성들을 추론하기 위해 어떠한 추론 전략을 사용하는지 알아보았다. 실험 1의 결과, 가격정보이용가능성의 주효과와 시장효율성과 가격정보이용가능성의 이원상호작용효과가 유의하였다. 즉 소비자는 시장이 효율적으로 지각되는 경우 가격유사성 정보가 제시될 때 보상추론 전략을 가장 많이 사용함을 알 수 있으며, 가격정보이용가능성이 소비자 추론에서 시장효율성의 영향을 중재하므로 시장이 효율적으로 지각되어도 가격유사성 정보가 이용 불가능하면 시장이 비효율적으로 지각될 때보다도 보상추론 전략을 덜 사용한다는 것을 알 수 있다. 실험 2의 결과, 속성 간 상관에 대한 주효과만이 유의하였다. 따라서 소비자는 결정 시에 속성 간 상관이 존재할 때는 확률적 일관성 추론전략을 많이 사용하나, 속성 간 상관이 존재하지 않을 때에는 많은 소비자가 평가적 일관성 전략만큼 보상추론 전략을 많이 사용한다는 것을 알 수 있었다. 이러한 결과들이 소비자 추론에 대한 연구 중 일관성 전략뿐만 아니라 보상추론 전략까지 폭넓게 밝혀냈다는 점에서 의의가 있다.

This study examines consumer inferences about product attributes that are unobservable at the time of the decision. The purpose of this study is that consumers use their knowledge of market efficiency, the availability of the price information, interattribute correlation, and product type to make inferences about the unobservable attributes when a certain attribute of the alternatives is unavailable. The results of experiment 1 are the following. First, main effect about the availability of price information was significant. Second, two way interaction of market efficiency × price parity information was significant. Therefore, the availability of price information moderates the impact of perceived market efficiency on consumer's inference strategy. According to the result of experiment 2, only interattribute correlation was significant to consumer inference among three of them. Thus in the presence of attributes that were perceived to be correlated, a significant number of subjects made compensatory inferences. But in the absence of interattribute correlation, compensatory inferences were significantly stronger and comparable in strength to evaluative consistency inferences. In a series of two experiments, we showed that compensatory inferences were more pronounced when price information was available, compared with when price information was not provided. And this study showed that for equally priced brands, the brand that is superior on the available attributes was more likely to be perceived as inferior on the unobservable attribute in the presence of efficiency cues. Also, in presence of cues for probabilistic inference, consumers are more likely to draw compensatory inferences.

본 연구는 개별 국채현·선물만을 대상으로 단기측면에서의 가격발견기능을 분석한 기존연구와 달리 우리나 라 국채현·선물시장 전체를 대상으로 장·단기 측면에서의 가격발견 효율성을 분석하였다. 이를 위해 거래가 전 무한 5년국채현·선물은 제외하고 3년 및 10년국채·현선물의 최근월물(2011년 3월물-2016년 9월물) 일별데이터 를 구성하여 단위근검정과 공적분검정으로 시계열의 안정성과 장기균형관계를 파악한 후, VECM의 추론방법 인 그랜저인과관계검정, 충격반응함수분석, 분산분해분석을 통해 다음의 주요 연구결과를 얻었다. 첫째, 3년국채현·선물과 10년국채현·선물간에는 서로 장기인과관계가 없어 장기적으로 서로 영향을 미치지 못하였다. 단기인과관계에서는 3년국채선물은 3년국채현물과 10년국채현·선물을, 10년국채현물은 3년국채현물 과 10년국채선물을 각각 단일방향으로 선도하는 것으로 나타났다. 둘째, 3년국채선물 한 단위 변화에 대한 3년 국채현물, 10년국채현·선물의 충격반응은 모두 양(+)의 충격반응을 나타내었고, 10년국채현물 한 단위 변화에 대한 3년국채현물은 거의 반응을 보이지 않은 반면 10년국채선물은 양(+)의 반응을 나타내었다. 셋째, 모든 다 른 변수에 3년국채선물이 81%상의 크기로 가장 큰 영향을 미치고 있고 그 다음으로 10년국채현물이 다른 변수 에 영향을 주는 것으로 추론된다. 전체적으로 볼 때, 국채현·선물간의 장기적인 인과관계는 없는 것으로 나타났 다. 다만, 단기적으로는 홍정효(2006)와 서상구(2011)의 연구결과와 달리 3년국채선물가격이 모든 국채현·선물 가격을 그랜저인과하여 가격발견 역할을 가장 잘 하는 것으로 추론된다.

This study explores the efficiency of short-and long-term price discovery in KTB spot and KTB futures markets. This paper employs Granger causality test, impulse response function and variance decomposition in VECM to analyze price discovery for the period from December 22, 2010 to September 20, 2016, using daily data on 3-years KTB spot and futures and 10-years KTB spot and futures. The results show that first, there is no long run causality among 3-years KTB spot and futures and 10-years KTB spot and futures. But there is short run causality running from 3-years KTB futures to 3-years KTB spot, 10-years KTB spot and futures. Also, there is short run causality running from 10-years KTB sport to 10-years KTB futures and 3-years KTB spot. Second, when there is one standard deviation shock to 3-years KTB futures and 10-years KTB spot, responses of lag variables are positive. Third, all other variables are most affected by 3-years KTB futures. Overall, 3-years KTB futures provide much more price discovery than do other variables.

To explore more reasonable GHG mitigation policies, more accurate information on the company's energy performance indicators are needed. Generally, energy intensity is frequently used as an indicator for energy performance. Although the indicator has the advantage of being intuitive and simple, it is also true that many other statistical factors are not taken into consideration. At this time, energy efficiency based on Stochastic Frontier Analysis (SFA) technique or Data Envelopment Analysis (DEA) technique can be used as an alternative indicator to energy intensity. The techniques can drive more accurate performance by considering more information than energy intensity. Despite the importance of measuring the energy efficiency of the enterprise unit, study on the energy efficiency measure at enterprise unit or business unit in Korea has rarely been studied so far. The reason for the lack of research on the issue is probably because the data of the enterprise energy consumption is not generally publicized. The purpose of this study is to measure the energy efficiency of the energy consumption industry in Korea based on the internal data of the Korea Environmental Industry & Technology Institute. We estimate energy efficiency of facilities in Energy Intensive Industries of Korea by Stochastic Frontier Model. Considering information and degree of freedom of the dataset, sophisticated model is not available. Therefore, this study benchmarked Stochastic Frontier Model proposed by Herrala & Goel (2012) which us one of the very simple model for greenhouse gas efficiency. The benchmarked part from Herrala & Goel (2012) is the functional form and variable selection of the regression equation. It is another matter to decide the technical way to estimation. In this study, time variable panel SFA modeling technique of Battese & Coelli (1992) is used for estimation. Energy Intensive Industries can be influenced by oil price shock; however, the time span of dataset of the study, 2013-2015, was a period in which the oil price fell sharply. If each firm's sensitivity to exogenous shocks such as oil price shocks, is different, time varying heterogeneity can be included in efficiency measure. Therefore, we control the oil shock heterogeneity using by oil price fluctuation as a proxy variable with facility specific coefficient based on the time varying panel SFA model of Battese & Coelli (1992). As a result, it was found that there were significant energy inefficiencies of firms in iron & steel, nonmetal, and chemical industries. However, there was no significant difference in energy efficiencies in firms in paper industry. The presence of inefficiency means that more energy is used under the same output. Although existence of a energy inefficiency is a negative sign, but it also means that there can be a chance to improve overall energy performance by improving inefficiency. The contribution of this study is in terms of statistical technique rather than finding a specific policy alternative. In particular, the time varying heterogeneity problem presented in this study is newly suggested in the efficiency related study. Policy implications can be found in that it serves as an important intermediate part of many analyzes, as is the case with energy intensity. The energy efficiency indicator proposed by us needs to be combined with a lot of information from individual companies in order to bring on a substantial policy implication; thus, a lot of follow-up research is needed.

This paper provides the first direct evidence of the impact of enforcing insider regulations on the informativeness of insider trades and stock price efficiency across 44 countries with varying levels of insider trading regulations. Results suggest that insider purchases earn abnormal profits, especially in countries with active enforcement of insider trading regulations. We further show that while insiders trade less before earnings announcements in countries with active enforcement, their stock prices react more to earnings news than those in countries without active enforcement. Overall, our results support the view that effective insider trading regulation promotes price efficiency.

We examine the relative efficiency of price discovery between the new market (KOSDAQ) and the main board (KOSPI) in the Korean stock markets that have the same trading mechanism(i.e. electronic limit-order book), focusing on the comparisons of each market’s efficiency of price discovery in three aspects: speed, degree, and accuracy. We find that, for our entire firm sample, price discovery on KOSDAQ is less efficient than on KOSPI. However, the price discovery of the most liquid group (top 40 stocks) on KOSDAQ turns out to be as efficient as the lowest group (top 160th?200th stocks) among the top 200 liquid stocks on KOSPI. These two quintiles are comparable in terms of their firm characteristics, so it appears that the greater overall efficiency of price discovery on KOSPI is due to the characteristics of its listed firms, rather than any inherent difference between a main board and a new market. We also find evidence that the speed of price discovery is mainly determined by turnover, whereas the accuracy of price discovery is mainly determined by turnover and intraday volatility. All together, our results provide some policy implications for developing or even developed countries eager to establish a viable new market. First, price discovery in a successful or viable new market in an emerging economy behaves as predicted in the market microstructure literature, even though that literature is based primarily on main boards in advanced stock markets. Second, price discovery in the most liquid group in a new market is more accurate, although slower, than in the lowest group among the liquid stocks on a main board; on balance, the main board and new market are comparable. Finally, the accuracy of price discovery is more (less) impacted by turnover (intraday volatility) on the new market than on the main board.

We examine the issues of market efficiency and price discovery in the China’s metal futures market. Our findings suggest that none of the metal futures contracts examined here are priced according to the cost-of-carry model, but futures contracts studied here form a stable long-run relationship with the spot price, and hence act as adequate risk mitigation instruments. The bivariate ECM models with BEKK GARCH process are applied to testing price discoveryand volatility spillovers. According to results of aluminum futures markets, we find bi-directional causality between the futures price and the spot price, but for copper futures markets we find that price discovery occurs in the spot. In contrast with these results, the volatility spillover tests suggest that there are clearly statistically significant volatility transfers from spot to futures price in ARCH and GARCH termsfor aluminum, but for copper futures markets there are clearly statistically significant volatility transfers from futures to spot price in ARCH and GARCH terms.

This paper examines how a link between efficiency wages and price indexation can arise in a simple nominal wage contracting model. We show that, the more elastic the worker’s effort is with respect to real wages, the looser the optimal linkage of nominal wages is to the price level. This is simply because, as the worker’s effort becomes more sensitive to real wages, the output-stabilizing indexing scheme has to make nominal wages less dependent on the price level, thereby delegating firms more flexibility for adjusting the output level. As long as efficiency wages as an incentive device work well in the economy, our result may help explain the recent decline in the share of U.S. union contracts adjusting to a cost of living index.

This study investigates the impact of high-intensity short-selling regulations on the Korean stock market during the COVID-19 pandemic. Focusing on four key market aspects?liquidity, price valuation, information efficiency, and market stability?the analysis compares pre-ban and ban periods using data from all KOSPI and KOSDAQ listed stocks. Contrary to conventional concerns, market liquidity improved after the short-selling ban, largely due to increased retail investor participation. However, stock prices-particularly those with previously high short-selling activity?tended to be overvalued during the ban period, as reflected in rising PER and PBR levels. Regarding information efficiency, the post-earnings announcement drift (PEAD) did not show clear signs of mitigation through short-selling, nor did the ban significantly hinder negative information reflection. On market stability, the short-selling ban contributed to more frequent recovery or overshooting patterns after abnormal price plunges, implying a stabilizing effect. These findings suggest that while the ban fostered short-term market stability and liquidity, it also raised the risk of valuation bubbles. The results offer important policy implications for financial regulators when balancing market efficiency with investor protection during periods of heightened uncertainty.

This paper examines the weak-form efficiency of the Korean stock exchange market under the substantially relaxed daily price movement limit system which has been in operation in this market since June 2015. Within the framework of a random walk model, we have carried out a detailed empirical examination of the daily data of the overall market index, as well as, 30 stocks with different market capitalizations over the sample period from August 2015 to August 2017. We have found that while the autocorrelation and unit root tests appear to confirm the lack of autocorrelation and existence of unit roots in 23 and 25 stocks, respectively, the GARCH-M(1,1) test results do not confirm the assumption of homoscedasticity required by a random walk model specification in all cases, and in this respect, the market has remained inefficient. Overall, the market index and 16 stocks out of 30 appear to pass the conditions of a weak-form market efficiency set out by a random walk specification, while the remaining 14 stocks appear to have behaved differently, as it is indicated by their non-constant price variances during the sample period.

중국에는 상장지수펀드(ETF)와 함께 상장개방형펀드(LOF)라는 특유의 펀드 형태가 존재한다. LOF는 증권거래소에 상장되어 거래된다는 점에서 ETF와 비슷하지만, 지수 추종과 더불어 적극적 운용이 가능하다는 점에서 차이가 있다. 본 연구는 2012년 1월부터 2020년 6월까지 중국의 CSI300지수를 추종하는 ETF와 LOF를 대상으로 가격 효율성을 분석한다. 실증분석 결과는 다음과 같다. 첫째, 시장가격과 순자산가치(NAV)의 상대적 차이(괴리율)는 ETF보다 LOF에서 크게 나타난 반면, 펀드 유동성은 ETF보다 LOF에서 작게 나타났다. 둘째, ETF와 LOF의 일별 가격 괴리율은 자기상관을 보여 ETF 혹은 LOF의 가격과 NAV 차이를 이용한 차익거래 기회가 단시일 안에 해소되지 않고 있다는 점을 시사한다. 셋째, ETF와 LOF의 비유동성은 괴리율의 자기상관성과 펀드 규모, 가격 변동성, 모멘텀 등을 통제하고 난 뒤에도 가격 괴리율에 유의한 양(+)의 영향을 미치는 것으로 나타났다. 연구에 강건성을 확보하기 위해 2단계 GMM(Generalized Moment of Method)을 적용하여도 결과는 일치했다. 본 연구는 유동성이 ETF 및 LOF 가격 효율성의 중요한 결정요인이 된다는 점과 더불어 ETF 대비 낮은 가격 효율성이 LOF 시장의 성장을 저해하는 요인으로 작용한다는 점을 시사한다.

There are two types of exchange-traded funds in China: ETF itself and listed open-ended funds(LOF). LOF is similar to ETF in that it can be traded on the stock exchange but differs in that it can be actively managed along with index-tracking. This study investigates the price efficiency of ETFs and LOFs that track China’s CSI300 index from January 2012 to June 2020. The empirical results are as follows. First, price deviation from net asset value(NAV) of LOFs is larger than that of ETFs, whereas liquidity of LOFs is lower than that of ETFs. Second, the daily price deviations show autocorrelation in both ETFs and LOFs, suggesting that arbitrage opportunities exist in a short period of time. Third, the illiquidity of ETFs and LOFs is positively associated with the price deviation after controlling for the autocorrelation of the deviation, fund size, price volatility, and momentum. For the robustness check, I apply the two-step Generalized Moment of Method(GMM), and the results are not changed. Overall, this study suggests that liquidity is an important determinant of price efficiency in ETFs and LOFs and that the lack of price efficiency may hinder the growth of LOF market in China.