암호화폐의 위험프리미엄에 대한 연구

손경우,정지영,손삼호 한국지급결제학회 2022 지급결제학회지 Vol.14 No.1

In this paper, we hypothesize that cryptocurrency prices are determined by rational investors' decision-making and attempt to determine cryptocurrency prices by using information from a wide range of asset markets. Specifically, this paper established general asset groups such as stocks and bonds traded in the existing financial market as underlying assets and constructed a nonparametric pricing model to test whether cryptocurrency has excess returns after risk adjustment. As a result of the test, in the case of Bitcoin, it was confirmed that there was a statistical significant 'excess return after risk adjustment' over the past 11 years. In other words, even from the perspective of efficient portfolio composition, Bitcoin has played a role in expanding the efficient frontier composed of existing assets and has functioned as a useful investment tool for the general stock and bond investors. However, there is a limit to generalizing the positive function of cryptocurrency as an investment tool, given that there has been no 'excess return after risk adjustment' in Ethereum investment over the past 6 years. In the case of Bitcoin, if the sample period is limited to the last five years, the statistical significance of the excess return is found to be low, requiring caution. 본 논문에서는 암호화폐 가격이 자산시장 투자자들의 합리적 의사결정에 의해서 결정된다는 가설을 설정하고 광범위한 자산시장의 정보를 동원하여 암호화폐 가격결정을 시도한다. 구체적으로 본 논문은 기존의 금융시장에서 거래되는 주식 및 채권과 같은 일반적인 자산그룹을 기초자산으로 설정하고 비모수적 가격결정모형을 구성하여 암호화폐에 위험조정 이후 초과수익률이 존재하는지 여부를 검정하였다. 검정결과 비트코인의 경우에는 최근 11년간 통계적으로 유의한‘위험조정 이후 초과수익률’이 존재하는 것으로 확인되었다. 다시 말해, 비트코인은 효율적 포트폴리오 구성의 관점에서 보더라도 기존 자산들로 구성된 효율적 프론티어를 확장시켜주는 역할을 수행하여 주식 및 채권투자자 일반에게도 유용한 투자수단으로 기능해 왔다는 평가가 가능하다. 다만 최근 5년 동안 이더리움 투자에서는 ‘위험조정 이후 초과수익률’이 존재하지 않은 것으로 확인되었다는 점에서 암호화폐의 투자수단으로서의 긍정적 기능을 일반화하기에는 한계가 있다. 그리고 비트코인의 경우에도 표본기간을 최근 5년으로 한정하면 초과수익률의 통계적 유의성이 떨어지는 것으로 나타나 주의가 요구된다.

자동차 기업의 친환경전략: 현대자동차 사례를 중심으로

손경우,한주희 차세대컨버전스정보서비스학회 2022 차세대컨버전스정보서비스기술논문지 Vol.11 No.6

On January 28, 2022, a rapid change in the automobile industry can be expected due to the revision of automobile eco-friendly policies, such as the expansion of support for companies related to eco-friendly cars. The automobile industry in Korea is the one of the most important industries and has the significant effect on the backward and forward industries such as various suppliers and services. Recently, the automobile industry is in the paradigm shift due to rapid technological progress and expansion of eco-friendly policies Therefore, this study focuses on the automobile industry to diagnose changes in the automobile industry due to various external environmental changes and to examine and analyze the eco-friendly strategies of automobile companies based on the case of Hyundai Motor. In particular, this study focuses on Hyundai Motor's strategy, such as the electrification strategy, hydrogen business synergy effect, workplace carbon neutral policy, carbon neutral induction and support in the supply chain, and circulation system. This study can examine the characteristics of the more innovative, environmentally friendly, and human-centered automobile industry and future strategies for automobiles. 2022년 1월 28일 친환경차 관련 기업 지원의 확대와 같은 자동차 친환경 정책의 개정으로 인해 자동차 산업의 급격한 변화가 예상된다. 한국에서의 자동차 산업은 우리나라 대표적인 주력산업으로 다양한 공급업자, 관련 소재 및 서비스 등 전후방 산업에 파급효과가 가장 큰 산업으로 최근 급속한 기술적 진보와 친환경 정책의 확대로 인해 패러다임 전환기에 있다. 이에 본 연구는 자동차 산업에 중점을 두어 다양한 외부 환경 변화에 따른 자동차 산업의 변화를 진단해보고 현대자동차 사례에 기반하여 자동차 기업의 친환경 전략을 살펴보고 분석하고자 한다. 특히 전동화 전략, 수소 사업 시너지 효과, 사업장 탄소 중립 정책, 부품 공급망 탄소중립 유도 및 지원 및 순환경제를 중점으로 현대자동차의 전략을 살펴보고자 한다. 이를 통해 본 연구는 자동차의 면면에 대해 보다 기술 혁신적이고, 환경 친화적이며 그리고 인간 중심의 자동차 산업의 특성 및 미래 전략 방안에 대한 고찰을 해보고자 한다.

국내 투자자의 최적 환위험 헤지전략에 대한 연구

손경우,정지영 한국무역연구원 2019 무역연구 Vol.15 No.3

Purpose - This paper aims to investigate the optimal foreign exchange risk hedging strategies of Korean investors investing in S&P 500 Index for 3 months. Full hedge, unhedge, and 5 tactical hedge strategies are considered during the period from 2000 to 2018. Design/methodology/approach - Among tactical hedge strategies, four are based on the probability of decrease in exchange rate which is obtained by simulations using nonparametric estimation results and the other strategy is established by the sign of the difference in sharpe ratio between unhedge and hedge strategies. As Won/Dollar exchange rate exhibit high volatility around subprime financial crisis, we analyze the performance of each strategy during the post-crisis period as well as total period. Findings - Our empirical findings are as follow: (1) tactical strategies outperform full hedge and unhedge strategy and (2) tactical strategies, which conduct full hedge if the probability of decrease in exchange rate is over 0.5, outperform strategies carried out by hedging proportional to the depreciation probability, in the aspect of sharpe ratio, skewness and kurtosis. Research implications or Originality - The results imply that tactical strategies, established by a threshold and the probability of decrease in exchange rate, are appropriate to reduce downside risk of U.S. dollar, thereby validating our estimation method and potential for practical use.

코스피 롱/코스닥 숏 ETF의 투자전략에 대한 연구

손경우,정지영 한국금융공학회 2022 금융공학연구 Vol.21 No.2

As KOSPI long/ KOSDAQ short ETF is recently introduced, there is no directly relevant study on its properties and investment strategies enhancing performance. This study contributes to the literature by investigating practical use of KOSPI long/ KOSDAQ short ETF and implication for risk management. For this, we explore whether KOSPI long/ KOSDAQ short ETF expands the investment opportunity line, which risk factors are significant, and whether the investment strategies based on mean-reverting property are valid. Data during the period from February 2010 to December 2020 are used in empirical analysis and the results from applying GMM-SDF report statistically insignificant alpha. It implies there is little incentive for investors to hold KOSPI long/ KOSDAQ short ETF without considering market timing. The results from the 4-factor model suggested in Carhart(1997) show that coefficients for SMB and HML are significant, implying that return from KOSPI long/ KOSDAQ short ETF increases when returns from large firms are higher than those from small firms and when value stocks are more profitable than growth stocks. We also apply nonparametric estimation method of Stanton(1997) on log price ratio to figure out properties of its process and conduct simulation using the information of the process. Simulation results show that investors buying KOSPI long/ KOSDAQ short ETF could enhance performance by considering probability of obtaining positive return across holding periods and relationship between level of log price ratio and probability of obtaining positive return in establishing investment strategies. ETF 시장의 급성장 및 이에 대한 투자자들의 관심이 높은 상황에서 다양한 ETF 상품의 특성 및 투자효용을 높일 수 있는 전략에 대한 연구는 유의미하며, 최근 시장에 등장한 코스피 롱/코스닥 숏 ETF의 경우 이 상품과 직접적으로 연관된 국내 연구가 전무하다는 점에서, 코스피 롱/코스닥 숏 ETF에 분석의 초점을 맞추는 본 연구는 학문적 의의를 갖는다. 본 연구에서는 코스피 롱/코스닥 숏 ETF의 투자효용성과 위험관리상의 함의를 도출하고자 하였으며, 이를 위해 코스피 롱/코스닥 숏 ETF가 투자자의 투자기회선을 확장하는 상품인지의 여부, 이 상품의 위험요인, 코스피 200 지수와 코스닥 150 지수의 가격비율의 회귀성을 이용한 투자전략의 유효성을 실증분석을 통해 살펴보았다. 2010년 2월부터 2020년 12월까지의 자료 기간을 대상으로 유가증권시장과 국채시장의 포트폴리오들로 구성된 베이시스 자산들에 기초한 GMM-SDF 방식을 적용한 결과, 알파는 유의하지 않았다. 이는 투자자들이 코스피 롱/코스닥 숏 ETF를 매매타이밍에 대한 고려 없이 단순보유할 투자동기가 크지 않음을 시사한다. 두 번째로 Carhart(1997)의 4요인 모형을 적용한 결과 SMB와 HML 회귀계수가 각각 음(-)과 양(+)으로 통계적으로 유의했으며, 이는 큰 기업의 수익률이 작은 기업에 비해 체계적으로 클 때, 가치주가 성장주보다 상대적으로 수익률이 높을 때 코스피 롱/코스닥 숏 ETF의 수익률이 커지는 경향이 있음을 의미한다. 만일 투자자가 SMB와 HML에 대해 예측할 수 있다면 이를 이용한 투자전략의 수립이 가능하겠지만, 현실에서 일반 투자자들이 수행하기에는 어려움이 따를 것으로 판단된다. 마지막으로 Stanton(1997)의 방식을 적용한 두 지수의 로그가격비율의 회귀성에 대한 비모수적 분석 및 이에 기반한 시뮬레이션 분석 결과에 따르면, 투자자가 특정 로그가격비율 레벨에서 코스피 롱/코스닥 숏 ETF 매수 전략을 구사시, 보유기간에 따른 성공확률의 추이를 파악하고 일정 수준의 성공확률 하에서 매매할 수 있는 투자기간 및 타이밍에 관한 정보를 바탕으로 구체적인 투자전략을 수립한다면 투자성과를 제고할 수 있음을 확인할 수 있다.

글로벌 금융위기 이후 한국 주식유통시장의 위험가격에 관한 연구

손경우,유원석 한국유통과학회 2015 유통과학연구 Vol.13 No.5

Purpose – The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology – To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results – According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the aver-age correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of the well known empirical results that correlation and uncertainty are positively correlated, therefore, the declining correlation may be the result of decreased global economic uncertainty. Meanwhile, less asset correlation enables investors to build portfolios with less systematic risk, therefore the investors require lower risk premiums for the efficient portfolio, resulting in the declining risk price. Conclusions – Our results may provide evidence of reduction in global systemic risk or economic uncertainty in the Korean stock distribution market. However, to defend the argument, further analysis should be done. For instance, the change of global uncertainty could be measured with funding costs in the global money market; subsequently, the relation between global uncertainty and the price of risk might be directly observable. In addition, as time goes by, observations of the risk price could be extended, enabling us to confirm the relation between the global uncertainty and the effect of quantitative easing. These topics are beyond our scope here, therefore we reserve them for future research.

고이즈미 정부의 도시재생정책의 성격 -정책결정의 우발성과 집행의 비정합성-

손경우,이영철 한국지방자치학회 2023 韓國地方自治學會報 Vol.35 No.4

고이즈미 정부의 도시재생정책은 한국에서 모범적인 정책사례로 소개되고 있다. 하지만, 그 성격에 관한 구체적인 논의는 거의 없다. 이 논문은 해당 도시재생정책의 정책과정을 비판적으로 검토하여, 도시재생정책의 핵심이 합리적이고 일관된 도시 살리기 정책이라기보다는 거품 경제가 꺼지면서 발생한 도쿄 지역의 부동산 관련 불량채권의 해소와 규제완화에 핵심이 있음을 밝혔다. 그 후, 정치적 고려 하에 오사카지역, 전국지역으로 확산되어 나갔다. 이런 정책결정의 우연적 과정을 이해해야 그 이후 발생한 추진기구, 추진방식, 중점사업 부문에서 나타나는 정책집행상의 비정합성과 비일관성을 이해할 수 있다. 도시재생정책은 전형적인 고약한 문제로서 본 연구는 세밀한 사례분석을 통하여 도시정책을 이해하는 하나의 방법을 보여주었다. 또, 한국에서 일본을 모범사례로 보아 일본을 제도적으로 모방하는 도시정책연구의 위험성을 보여주었다. The Koizumi administration’s urban regeneration policy is introduced as an exemplary policy in Korea. However, there is little specific discussion about its character. This paper critically reviewed the policy process of the urban regeneration policy and found out that the core of the urban regeneration policy is not a reasonable and consistent response to a wicked problem, but rather the resolution of real estate-related non-performing bonds and deregulation of land use in Tokyo after bursting of the bubble economy. After the initial purpose set, it spread to Osaka area and across the country, considering politically the regional balance. Only after the understanding of such policy process can we understand the inconsistencies and ill-matching that emerge in the implementation mechanisms, implementation methods, and key business areas of the urban regeneration in Japan. Urban policy is a typical wicked problem, which requires a detailed case analysis to find its core characteristics.

주식선물 투자요인에 대한 연구

손경우,정지영 한국금융공학회 2019 금융공학연구 Vol.18 No.3

Despite the growth in single-stock futures (SSF) market, research concerning the market is not sufficient. This study aims to identify factors affecting investment in the SSF by empirically figuring out statistically significant factors, thereby clarifying features of trading activities in Korean SSF market. This study contributes to the literature in that it investigates the SSF market based on a dataset obtained by matching short selling with SSF trading. Daily data is obtained from KRX during the period from January 2014 to November 2018 and the number of items used in the analysis is 122. Trading volume of SSF relative to relevant spot (F/S) is used as a proxy for trading activity in the SSF market and we examine the relationship between F/S and various factors pertaining to the aspects of risk hedge, arbitrage transaction, market friction and speculation. The results from the cross-sectional analysis reveal that F/S is positively related to beta, portion of foreign investors, correlation between daily volume of long and short position of individual investor and correlation between daily volume of long and short position of foreign investors, whereas F/S is negatively related to the absolute value of the basis relative to the futures price and correlation between trading volume of foreign investors and individual investors. Results from time-series analysis imply that the absolute value of the basis relative to the futures price, short-sale ratio, historical volatility, disparity, and return relative to the market can be regarded as factors explaining the change in F/S. 본 연구는 개별주식선물 투자에 영향을 줄 수 있는 요인들에 대해 분석함으로써 주식선물 매매의 특성에 대한 이해를 도모하였다. 국내 주식선물 시장의 성장에도 불구하고 이 시장에 초점을 둔 연구가 제한적이며, 개별주식의 공매도와 주식선물을 매칭한 자료를 이용하여 분석한 국내 연구는 지금까지 존재하지 않는다는 점에서 본 연구는 학문적 의의를 갖는다. 2014년 1월부터 2018년 11월 30일까지의 기간 동안의 KRX의 주식선물거래 일별 데이터와 KRX 공매도 종합 포털에서 취득한 데이터를 바탕으로 분석이 수행되었으며, 대상 종목 수는 122개이다. 투자자들의 주식선물 투자의 정도를 수치화하는 지표로써 현물 대비 선물 거래량 (거래량 비율)을 사용하였으며, 주식선물 투자의 영향요인으로 작용할 수 있는 다양한 변수들과 거래량 비율 간의 관계를 살펴보았다. 종목별 일별 평균자료에 기반하여 수행된 종목별 횡단면 분석 결과를 통해, 시장의 움직임에 민감한 기초자산에 대한 주식선물일수록, 선물가격 대비 선물 베이시스의 절대값이 작을수록, 외국인 투자자의 비중이 높을수록, 외국인과 개인 간 매매가 음의 상관성을 지닐수록, 각 투자자들의 포지션이 당일에 정리되는 경향이 클수록 투자자들이 관심을 가지는 종목임을 확인할 수 있었다. 각 종목별 일별 자료를 이용한 종단면 분석 결과는 종목에 따라서 선물가격 대비 베이시스의 절대값, 공매도 비중, 역사적 변동성, 이격도, 시장 대비 수익률이 거래량 비율의 시계열적 변화에 영향을 주는 변수임을 시사하며, 시장마찰적 요소 및 투기적 요소들의 변화가 투자자들의 주식선물 거래시점에 대한 정보를 주는 것으로 해석된다.

KOSPI 200 파생상품시장의 거래대금 변동에 관한 연구

손경우,정지영 강원대학교 경영경제연구소 2018 Asia-Pacific Journal of Business Vol.9 No.4

This paper investigates factors underlying a decrease in trading values in KOSPI 200futures/options market on the basis of the current state of the markets. Among the factors thatcould affect trading values in KOSPI 200 derivatives market, we focus on the market activityof underlying assets as it has an impact on the trading of financial derivatives. Trading valueand volatility are designated as market activity and the empirical results confirm that themarket activity of the underlying assets is significant in explaining the decrease in tradingvalues in KOSPI 200 futures/options market. To figure out fundamental reasons of thedecrease in trading values in this market, we examine mitigation of home bias and decrease inleverage incentives as they are presumed to have influence on KOSPI 200 index market. Asthe global and local financial environment is time-varying, the degree of home bias and theleverage demand also changes. It implies that institutional change and/or policy effort topromote the trading of KOSPI 200 financial derivatives should be made taking into accountthe fact that considerable portion of the change in trading values in financial derivativesmarket depends on the state of the market.

주식시장국면 예측과 투자전략에 대한 연구

손경우,정지영 강원대학교 경영경제연구소 2022 Asia-Pacific Journal of Business Vol.13 No.4

Purpose - This study investigates the performance of investment strategies incorporating estimated stock market cycle based on a lead-lag relationship between business cycle and stock market cycle, thereby deriving empirical implications on risk management. Design/methodology/approach - The data period ranges from June 1953 to September 2022 and de-trended short rate, term spread, credit spread, stock market volatility are considered as major input variables to estimate business cycle and stock market cycle by applying probit model. Based on the estimated stock market cycle, two types of strategies are constructed and their performance relative to the benchmark is empirically examined. Findings Two types of strategies based on stock market cycle are considered: The first strategy is to long(short) on stocks when stock market stage is expected to be an expansion(a recession), and the second one is to long on stocks(bonds) when expecting an expansion(a recession). The empirical results show that the strategies based on stock market cycle outperforms a simple buy and hold strategy in both in-sample and out-of-sample investigation. Also the out-of-sample evidence suggests that the second strategy which is in line with asset allocation is more profitable than the first one. Research implications or Originality The strategies considered in this study are based on the estimated stock market cycle which only depends on a few easily available financial variables, thereby making easier to establish such a strategy. It implies that investors enhance investment performance by constructing a relatively simple trading strategies if they set their position on stocks or choose which asset class to buy conditioning on stock market cycle.

코로나 19 이후 개인투자자의 투자패턴에 대한 연구

손경우,정지영 한국무역연구원 2024 무역연구 Vol.20 No.1

Purpose – This research investigates the trading patterns of individual investors participating in the KOSPI stock market during and after the COVID-19 Pandemic, thereby explaining the indisputably low performance compared with institutional and foreign investors. Design/Methodology/Approach – Daily KOSPI stock market data was used, and the data period ranges from 2018 to 2023. The total period is divided into 12 sub-periods. For each sub-period, 25 stock-groups were generated by the magnitude of net purchases of individual investors at 4% intervals. Periodic information on returns, volatilities, and the net purchases of institutional and foreign investors were also utilized in the analysis. Findings – The sub-period analysis shows that the ratio of individual investors’ net purchases was negatively correlated with periodic cumulated returns, and the ratio of institutional and foreign investors’ net purchases with a strong statistical significance. The total period analysis also confirms the negative relationship between the ratio of individual investors’ net purchases and periodic cumulative returns, and shows a positive relationship between the ratio of individual investors’ net purchases and the change in volatilities. It was also revealed that the low performance of individual investors results from the choice of transaction timing, not from the choice of stocks. Research Implications – Empirical results imply that individual investors need to be cautious in determining the timing of transactions, thus utilizing the negative relation between the ratio of individual investors’ net purchases and the ratio of institutional and foreign investors’ net purchases merits consideration to enhance the profitability of individual investor portfolios.