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KOSPI200 선물과 KOSPI200 현물의 관계에 대한 KOSPI200 과거수익률 적률의 영향력 분석
김서경(Suhkyong Kim) 한국증권학회 2018 한국증권학회지 Vol.47 No.6
본 논문은 KOSPI200 선물이 내재하는 내재현물지수를 이용하여 괴리율을 구한 다음, KOSPI200 선물지수와 KOSPI200 현물지수 간의 관계에 KOSPI200 현물지수의 과거수익률 적률이 영향을 미치는가를 분석하였다. 자료는 2004년 1월 초부터 2017년 12월 말까지 14년간의 일별자료를 이용하였으며 최근월물과 차근월물을 대상으로 분석하였다. 내재현물지수와 현물지수의 괴리율의 분석결과는 선물은 평균적으로 저평가되어 거래되었으며 차근월물의 저평가 정도가 최근월물의 저평가 정도보다 크게 나타났다. 전체기간에 대한 분석결과는 과거 60거래일간의 누적수익률, 표준편차 및 왜도는 괴리율에 일관적이고 유의한 결정요인이었으며 월물별 구분하여도 과거수익률 적률은 괴리율의 일관적으로 유의한 결정요인임을 보여주었다. 전체표본에 대해서 전반기와 후반기로 나누어 분석한 결과도 과거수익률의 적률의 괴리율에 대한 영향은 시간변화에 강건함을 보이고 있다. 실증결과는 선물시장의 참여자들과 현물시장의 참여자들이 다르다면 더 나아가 과거수익률에 대한 정보를 달리 해석하여 실제시장가격에 반영한다면 과거수익률 적률이 괴리율의 결정요인이라는 가설을 지지해준다. This paper investigates the determinants of KOSPI200 futures mispricing by calculating implied spot price. The analysis was centered on the effect of KOSPI200 past return, volatility and skewness on the mispricing. The sample period spans the beginning of 2004 to the ending of 2017. Evidence indicates that KOSPI200 futures-implied spot prices were underpriced, relatively to KOSPI200 spot prices, during the sample period, and the 60 day cumulative past return, volatility and skewness are consistently and statistically significant determinants of KOSPI200 futures mispricing for the nearest and second nearest futures contracts. The results are robust after dividing the sample into two sub-periods. Empirical results lend support to the hypothesis that the past returns’ moments exert effect on the relationship between spot and futures prices, rejecting the joint hypothesis that two markets are weak-form efficient and are integrated.
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오피스 임대료 하락기 및 상승기의 임대료 결정모형 회귀모수의 변화 - 서울시 강남과 도심권역을 중심으로 -
최종근,김서경,Choi, Jonggeun,Kim, Suhkyong 한국지역학회 2018 지역연구 Vol.34 No.1
본 논문은 임대료시장의 주기변화에 따른 헤도닉 모형의 임대료 결정요인의 영향력 변화를 분석하였다. 임대료지수를 구축하여 분석한 결과 금융위기가 전환점이 되어 서울시 임대료 시장이 하락기와 상승기로 구분됨을 밝혔으며 주기에 따른 헤도닉 모형의 특성변수의 회귀모수 변화를 고찰하였다. 분석은 강남오피스와 도심오피스로 구분하여 실시하였으며 권역에 상관없이 일관된 변화를 보인 개별회귀모수로서는 토지가격, 지하철역에서의 거리, 건물규모, 건물연한 및 전환이율로 밝혀졌다. 상승기에는 건물의 규모가 클수록 임대료가 높아지는 경향이 있으며 건물이 오래될수록 임대료 하락요인으로의 영향이 커지는 경향이 있는 것으로 나타났다. 전환이율 역시 임대료에서 차지하는 비중이 상승기에 높아짐을 보여준다. 토지가격의 영향은 줄어들고 교통편의성의 장점은 약해지고 있어 상승기에는 지리적 이점의 영향력이 감소하고 건물 특성의 영향력이 상대적으로 커지는 실증적 증거를 제시하였다. This paper empirically investigates time-varying regression parameter of hedonic price model for Seoul office rental market in distinct periods of a market cycle. Office rental index is constructed and the index indicates that the global financial crisis differentiates the analysis period into decline stage and recovery stage. Pre-crisis period is classified into decline stage and post-crisis is classified into recovery stage. Structural break-point test suggests structural change of hedonic model of rent determinants occurred in 2008. Evidence indicates that individual regression parameters of hedonic price model for decline stage are significantly different from those for recovery stage. Changes in the regression parameters of land price, distance to metro, building size, building age, and conversion rate are consistent. In recovery stage, the effect of locational advantage on office rent decreases whereas the effect of building characteristics on the rent increases.
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이건호(Kun-Ho Lee),김서경(Suhkyong Kim),이태규(Taekyu Lee) 한국경제연구원 2004 한국경제연구원 연구보고서 Vol.2004-22 No.-
Since the outbreak of the financial crisis in 1997, an important implicit policy goal of the Korean government with respect to the financial system has been the transformation of the traditional bank-based system into a market-based one. The regulation on debt ratio imposed on large corporations is an important reflections of this goal. Following substantial policy efforts, the soundness of the corporate and the financial sectors has been largely improved. In this paper, however, we argue that the financial system might still be premature as an efficient intermediation for corporate activities. The following points support our doubts about the current system: First, the low debt ratio of the corporate sector is a more or less a direct consequence of the strongly enforced debt regulation, and as such, it is too early to say that this debt ratio is sustainable in the long run. In addition, the dramatic fall in the debt ratio has largely been driven by a decrease in firms' demand for investment funds. Moreover, blue-chip companies have been holding excessive cash and continues to play a role as the main supplier of funds, with the household sector as the main consumer of these funds, which is, in a sense, a reversal of the traditional intermediation process. The capital markets still remain somewhat fragile to exogenous shocks and their role as an efficient resource allocations still needs to be strengthened. Corporate financing through capital markets remains less vigorous and the relative dependence of corporate financing on the banking system is again on the rise. However, the size of funds from banks as of 2003 is almost the same as the size in 1997, which implies that the banks' financial support for the corporate sector is still dwindling. At the same time, long-term corporate financing for large-scale investments has almost disappeared. Based on these observations, we argue that the government's attempts to build a market-based financial system, despite improvements in the soundness of the corporate and financial sectors, is still far from building an efficient financial system for corporate activities. A major reason for this failure, we believe, is that the system transformation has not been concomitant with a well-functioning financial infrastructure. We argue that achieving an efficient corporate financing system should start from strengthening financial infrastructure that includes enhancing efficiency in the creation and circulation process of financial information, deregulation of financial services, elimination of unnecessary regulations, development of a junk-bond market, diversification of bond maturities, amongst others. At the same time, efforts to enhance a firm's transparency as well as strengthening market discipline should be continuously made. Considering the fact that the capital markets are not functioning well and remain fragile to exogenous shocks, it is important to increase the efficiency of resource allocation through bank or bank-like financial institutions. In order to do this, unnecessary government intervention should be mitigated in the loan markets, and rather, fostering financial institutions that specialize in corporate loans and which reduce the pro-cyclicality of the BIS capital regulations should be emphasized as important policy objectives.
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