연구논문 : 통화선물의 가격예시 기능과 변동성 전이효과

김석진 ( Seok Chin Kim ),도영호 ( Young Ho Do ) 한국재무관리학회 2006 財務管理硏究 Vol.23 No.1

분리공모를 통한 구조조정의 성과: 추가분석

김석진 ( Seok Chin Kim ),변현수 ( Hyun Soo Byun ) 한국재무관리학회 2003 財務管理硏究 Vol.20 No.1

We investigate long-run relationships between industry relatedness, operating performance, and stock performance after equity carve-outs(CEO). For homo-industry CEOs, 12-month CAR of subsidiary firms is 26.52% and significantly positive at the 5% level and BHAR is 22.19%. For hetero-industry CEOs, subsidiary 12-month CAR and BHAR are 35.14% and 39.64%, respectively, which are significant at the 1% level. On the other hand, long-run performance of parent firms is insignificant for any sub-sample. Excess operating performance of subsidiaries is significantly positive at the first year and insignificant thereafter. The lower the offering ratio is and the better the operating performance is, the better the subsidiary stock performance is. Unlike IPOs and CEOs, shareholders of subsidiaries benefit from ECOs and parent stocks do not under perform. Hetero-industry CEOs improving corporate focus are more effective restructurings than homo-industry CEOs.

중국동선물의 헤지성과

김석진(Seok Chin Kim),김향화(Xiang Hua Jin),도영호(Young Ho Do) 한국경영학회 2008 經營學硏究 Vol.37 No.6

Copper futures has the second largest trading volume in the world after aluminum futures in the futures markets of nonferrous metals. China is the world`s largest consumer of copper and the trading volume of Chinese copper futures of SHFE (Shanghai Futures Exchange) was 22% of that of LME (London Metal Exchange) in 2004. The economy of China is the second largest in the world after the US. China has been the fastest growing major nation for the past quarter of a century with an average annual GDP growth rate above 10%. Consumption of copper in China has increased rapidly. Chinese copper demand will remain strong in future because copper is used mainly for electric generation systems. Accordingly, hedging with Chinese copper futures is becoming a more significant subject to researchers as well as companies that consume copper directly. Many of the participants in futures markets aim to reduce or eliminate a particular risk that they face. Since risk is usually measured as the volatility of portfolio returns, the hedgers may be interested in the hedge ratio that minimizes the variance of the returns. The purpose of this paper is to find a compatible hedging model on the hedging with the Chinese copper futures. We investigate the hedging performance of the Chinese copper futures. We establish the conventional OLS (ordinary least square), VECM (vector error correction model) and bivariate GARCH (generalized autoregressive conditional heteroscedasticity) model as hedging models and analyze their hedging performances. The sample period covers from January 2, 2001 to June 30, 2006. The optimal ratio is calculated as a ratio of the conditional covariance between spot and futures to the conditional variance of futures. The hedge ratios are estimated by a time-varying hedging model (bivariate GARCH) as well as naive or time-invariant (OLS, VECM) models. To compare the performances in each type of hedge, we divide the sample period into in-sample and out-of-sample and measure hedging performances for each period. In-sample period is from January 2, 2001 to June 30, 2005, and out-of-sample period is from July 1, 2005 to June 30, 2006. Our main results are summarized as follows. First, in ADF (augmented Dickey-Fuller) test and PP (Phillips-Perron) test, both the spot and futures prices series are non-stationary, while two return series are stationary. In Engle and Granger cointegration test, there is a cointegration relationship between the two prices series. Second, the conditional variances and covariances vary over time. In case of in-sample, the variance of portfolio returns in the OLS model is smallest. The variance of returns in the naive model is higher than those in the other hedging models. And the F test shows that the differences between the variance of returns in the naive model and in other hedging models are significant. Third, it turns out that the bivariate GARCH model performs better than other models in case of out-of-sample. Our results indicate that investors in the Chinese copper futures markets are encouraged to use the bivariate GARCH model to hedge the volatility of copper price. But the variance of portfolio returns in the bivariate GARCH model is not lower significantly than those in other hedging models. Forth, if investors take into account profits and losses due to the changes of the exchange rate between yuan and won, the in-sample variance of portfolio returns in the VECM is smallest and the bivariate GARCH model performs better than other models in case of out-of-sample. The out-of-sample variance of portfolio returns in the bivariate GARCH model is lower significantly than those in other hedging models. In sum, our results indicate that the naive hedging model is not a poor choice for hedging the risk with the Chinese copper futures compared to much more complex models. However, time-varying hedging models as GARCH perform better for the Korean firms which are exposed to the exchange rate risk. This study w

중국 기업 M&A의 지급방식별 공시효과

김석진(Seok-Chin Kim),임정대(Jeong-Dae Yim),주초(Chou Zhou) 한국무역연구원 2017 무역연구 Vol.13 No.1

Using the Brown and Warner (1985) and Kolari and Pynnenon (2011)’s methodologies, we examine the announcement effects of mergers and acquisitions (M&A) categorized by the payment methods. The sample data consist of 381 acquiring firms listed in Sanghai Stock Exchange over the period 2004-2013. Main results are as follows: First, acquiring firms receive significantly positive average abnormal returns (AR) from day -2 to 0. Second, in the cash payment sample, significantly positive AR are found for the event window of (-3,0), while AR for that of (-1, +1) are detected in the non-cash payment sample. Third, when the non-cash payment sample is further divided, significantly positive AR are found for the event window of (-1, 0) in the stock and mixed payment sub-samples, while AR are not found in the asset payment subsample. Unlike prior studies, cumulative abnormal returns (CAR) of the stock payment are significantly positive and higher than those of other payments in the Chinese stock market.

자금부족분을 이용한 자본조달순서이론 검정

김석진(Seok Chin Kim),박민규(Min Kyu Park) 한국경영학회 2005 經營學硏究 Vol.34 No.6

금융에 관한 철학적 소고

김석진 ( Seok Chin Kim ) 한국금융학회 2014 금융연구 Vol.28 No.4

본고는 금융의 근본적 현안에 대해 고찰한다. 금융은 실물경제가 보다 완전해지게 하며 시장경제의 영역을 확장시켜준다. 자본이 노동을 착취하거나 노동이 자본을 독재해서는 지속가능하지 않기에 자본과 노동이 상생하는 구조가 필요하다. 자본이동이 거시안정성이나 균형을 저해하지 않고 보다 효율적이고 생산적인 배분으로 윈-윈 상황이 되도록 자본의 책무성 있는 행동규약이 마련되어야 한다. 금융은 외부효과와 체제위험이 크고, 남의 돈을 중개, 관리, 운용한다. 따라서 금융인은 청렴성, 전문성, 책임성 등을 갖추어야 한다. 금융시스템의 안정성과 건전성을 보호하고 금융시장의 실패를 방지하기 위하여 규제와 감독은 하되, 시장 경쟁력과 금융산업 발전을 저해하는 규제를 완화 내지 제거하고 금융소비자 보호, 개인정보 보호, 금융회사 건전성과 관련된 규제는 강화하는 ``스마트 규제``가 필요하다. 한국 사회에서 기득권의 지대가 갈수록 확대되어 기업가 정신과 혁신이 위축되고 있다. 낙하산 인사를 막고 노블레스 오블리주를 고양하기 위해 보상보다는 자신의 평판을 중시하는 시스템, 보상으로 주식 또는 스톡옵션을 주어 대리문제를 줄이는 방안, 가진 자에게 벌금을 더 많이 부과하는 누진벌금제도 등을 검토할 필요가 있다. 거래세는 가급적 폐지하고 자본이득세의 광범위한 도입이 필요하다. 부채선호를 줄이기 위해 일정 부채비율을 초과하는 부채에 대해서는 이자비용의 세금공제를 부분적으로만 인정하거나 배당금의 세금공제를 부분적으로라도 인정하는 대안을 검토할 필요가 있다. 접대비 등의 비용을 부분적으로만 세금공제를 인정하고 각종 기부나 성금도 소득세를 감면하게 하여 개인 차원에서 장려되어야 한다. GDP(잠재)성장률은 기업대출비중과 유의한 정(+)의 관계를 가졌다. 기업대출비중은 크게 떨어지고 비기업부문의 빚이 크게 늘어나 성장 동력이 떨어지고 있다. 금융은 실물경제에 창의적인 해결책을 제시하며, 산업으로서 부가가치와 고용을 창출하고, 금융의 혜택을 모두가 누리는 금융의 민주화를 이루고, 금융정의를 구현하는 사회적 책임을 인식해야 한다. 무엇보다도 자본대리인들이 단기적 성과에 치중하는 대리문제를 극복하고 장기적 시야에서 더불어 함께하는, 인간을 중시하는 ``인애(人愛) 자본주의`` 내지 ``상생자본주의``를 지향해야 한다. 승자독식과 양극화의 차가운 자본주의에서 성과를 나누는 따뜻한 자본주의를 구현하도록 해야 한다. 금융이 기회의 창과 자유와 민주주의를 더 확장시키고 인간을 더 자유롭게 하도록 기여하여야 한다. Financial industry in Korea undergoes crisis. It is high time to agonizein order to make finance become a growth locomotive and work for humanbeings and society. This paper ponders over fundamental issues of financephilosophically such as finance and market economy, capital and labor,opening of financial markets, financial regulation and control, finance andcompensation scheme, financial tax system, finance and corporations, socialresponsibility of finance, and finance and capitalism. As finance exists and develops, real economy becomes less imperfect,resources are allocated more efficiently, the realm of market economyexpands, and thus economy grows further. Managing time mismatch andrisk associates with cash inflows and cash outflows is the main task offinancial business and human resources are the most crucial to financialcompanies. Since it has been affected by supervisory authorities, Koreanfinance is less autonomous. Financial business needs long-term managementbased on trust. Those who are aware of finance and management shouldbecome top managers and try innovative changes. Gigantic capital, especiallyfinancial capital threatens capitalism and democracy. Capital and labor shouldbe mutually beneficial. Labor may be upgraded by capital and more capitalmay be accumulated by higher labor productivity. It is not sustainable ifcapital exploits labor or labor dictates capital. obility of capital should be considered together with mobility of laborsince advanced countries may exploit economic growth fruits of less developedcountries based on lower labor wages. In particular, drastic movement ofspeculative capital may distort prices and thus enable exploitation. Freecapital flows may jeopardize financial stability or even democracy as wellas monetary autonomy. Accountable code of conducts for capital shouldbe implemented for the world economy to be sustainable. Flows of capitalmay be justified in win-win situations where resources are allocated moreefficiently and productively without impeding macro stability or balance. Finance is a license business since it has huge externality and systemicrisk. It also intermediates, manages, and operates money of others. Therefore,people in finance should have integrity, responsibility, professionality, etc. Regulations and monitoring of governments are inevitable to protect thestability and soundness of financial systems and to avoid the failure offinancial markets. Yet, we need ``smart regulation``which reduces or eliminatesregulation impeding market competitiveness or development of financialindustry and strengthens regulation regarding financial consumer protection,personal information protection, and the soundness of financial companies. In the Korean society, the principle of ``high risk, high rewards``doesnot hold. Instead, economic rents of the privileged are expanding anddeepening. Such a compensating paradigm subsides entrepreneurship orinnovative mind. In order to prevent ``parachute appointment,``designationenforced by above or outside power, the level of compensation for outsidedirectors should be low enough and the system should be upgraded withfocus on reputation rather than compensation. Also, it would be more desirableto grant stocks or stock options as compensation in order to reduce agencyproblems. A progressive penalty scheme levying larger fines on haves needbe considered, which would enhance noblesse oblige of haves. Taxes ontransactions need be phased out for active trades and taxes on capital gainsneed be implemented extensively for income redistribution and counterbusiness cyclical adjustment. Corporations prefer debt to equity due to taxshields of interest payments. Too much debt increases financial distressand bankruptcy risk of firms and results in a higher interest rate. Accordingly,we need consider various alternatives such as partial tax deduction of interestsbeyond a certain level of leverage, partial tax deduction for dividends,lowering corporate income tax rates, and so on. The results of OLS regressions of GDP growth rates or potential GDPgrowth rates on the proportion of corporate loans to total bank loans showa positive relationship at the 1% significance level. As the proportion ofcorporate loans declines and the debt of non-business sectors increasessharply, it reduces growth momentum and becomes a threat to the Koreaneconomy. The social responsibility of finance is to provide innovative solutionsfor firms or households, to improve the efficiency of resource allocation,to create value added and employment as an industry, to achieve thedemocratization of finance so that financial services may benefit all thepeople, and to establish the financial justice so that any financial fraudcan not breathe. Above all, we should overcome ``agents capitalism``in whichcapital agents focus on short-term achievements and thereby get enormouscompensation. I propose ``humanitarian capitalism``or``mutually beneficialcapitalism``which focuses on human beings and communities with long-runsightedness. Cold capitalism with ``winner takes all``and the polarizationof wealth need be replaced by warm capitalism in which winners share thefruits with losers and the weak. Finance should not alienate human beingsand should not be either monopolized nor imperialized. Finance shouldcontribute to expand the window of opportunity and democracy and to makehuman beings more free.

은행산업집중화가 중소기업 은행차입금에 미치는 영향

김석진(Seok Chin Kim),김지영(Ji Young Kim) 한국경영학회 2007 經營學硏究 Vol.36 No.7

구조조정의 성공요인에 관한 연구

김석진 ( Seok Chin Kim ),변현수 ( Hyun Soo Byun ) 한국금융학회 2004 金融學會誌 Vol.9 No.1

한국, 중국 및 미국 주식시장의 동조화

김석진 ( Seok Chin Kim ),포영영 ( Ying Ying Bao ),도영호 ( Young Ho Do ) 한국재무관리학회 2011 財務管理硏究 Vol.28 No.2

본 논문은 1999년 1월 4일부터 2008년 3월 31일까지 한국 KOSPI, 중국 SSEC 지수, 그리고 미국 S&P 500 지수 각각 2,071개 주가지수 자료를 가지고 삼변량 GJR-GARCH 모형을 사용하여 주식시장 간 정보 이전효과를 살펴보았다. 세 수준변수 모두 단위근이 존재하였으나, 1차 차분한 수익률변수는 안정적인 시계열자료였다. 그리고 세 변수에서 비대칭성이 존재하였다. 삼변량 GJR-GARCH 모형의 평균방정식 분석결과, 한국과 중국 주식시장은 미국 주식시장에 영향을 미치지 않았다. 하지만 미국 주식시장은 한국과 중국 주식시장에 양(+)의 영향을 미쳤다. 그리고 중국 주식시장은 한국 주식시장에 음(-)의 영향, 한국 주식시장은 중국 주식시장에 양(+)의 영향을 미쳤다. 그러므로 미국 주식시장에서 한국과 중국 주식시장으로, 한국과 중국 주식시장간에 수익률 이전효과가 존재하였다. 2005년 이후 기간에는, 중국 주식시장에 미치는 한국 주식시장의 영향은 사라졌고 미국 주식시장의 영향은 뚜렷하였다. 분산방정식 분석결과, 호재와 악재에 대해 모두 유의하게 반응하였다. 한국과 중국 주식시장은 모두 비대칭성이 존재하며, 호재보다 악재에 더 민감하게 반응하였다. 한국과 중국 주식시장에 일어난 예측치 못한 충격은 미국 주식시장의 변동성에 양(+)의 영향을 미쳤다. 또한 미국 주식시장에 일어난 예측치 못한 충격도 한국 주식시장의 변동성에 양(+)의 영향을 미쳤고, 한국 주식시장에 일어난 예측치 못한 충격은 중국 주식시장의 변동성에 음(-)의 영향을 미쳤다. 이 결과는 한국과 미국 주식시장 간에, 한국 주식시장에서 중국 주식시장으로, 중국 주식시장에서 미국 주식시장으로 변동성 전이효과가 존재한다는 것을 의미한다. 후기 분석결과, 전체적으로 전기보다 변동성 전이효과가 활발하게 이루어지고 있음을 발견하였다. This paper examines the co-movements among the Korean, Chinese, and American stock markets. We apply the trivariate GJR-GARCH model using 2,071 daily data of each country for Korean KOSPI, Chinese SSEC, and American S&P 500 indices from January 1, 1999 to March 31, 2008. In the augmented Dickey-Fuller test and Phillips-Perron test, three indices are non-stationary, whereas return series are stationary. Asymmetric effects on volatility exist in all three variables. Analytical results of mean equations show that the American stock market has positive influence on the Korean market but the Chinese market has negative one. Moreover, both the American and the Korean stock markets have positive influence on the Chinese stock market. Yet, both the Korean and the Chinese stock markets have no influence on the American stock market. Therefore, return effects transfer from the Korean and the Chinese stock market, from the Chinese and the Korean stock market, and from the American to the Korean and Chinese stock markets. Since 2005, however, the transfer effect from the Korean to the Chinese stock market disappears, while the American influence gets more apparent. In addition, the unexpected shock from the Korean and the Chinese stock markets has positive influence on the conditional volatility of the American stock market in the results of variance equations. And the unexpected shock from the American stock market has positive influence on the Korean stock market. However, the unexpected shock from the Korean stock market has negative influence on the Chinese stock market. These results indicate that there are volatility spillover effects from the American to the Korean stock market, from the Korean to the Chinese and American stock market, and from the Chinese to the American stock market.

지적재산권이 해외직접투자에 미치는 영향

김석진(Seok-Chin Kim),임정대(Jeong-Dae Yim),강상일(Sang-Il Kang) 한국무역학회 2017 貿易學會誌 Vol.42 No.1