재무적 특성이 부도확률에 미치는 영향: 비상장 중소기업을 중심으로

도영호 ( Young Ho Do ),김경숙 ( Kyung Sook Kim ),장영민 ( Young Min Jang ) 한국생산성학회 2012 生産性論集 Vol.26 No.4

The main goal of this paper is to investigate the effect of the financial characteristics on default probability of the unlisted SMEs. The sample period covers from January 1, 1999 to December 31, 2007. The sample is divided into three branches, the manufacturing industry, the construction, and retail and wholesale sector. Also in terms of size, i.e. total asset on financial statement, we classify samples into micro firms, small firms, and medium firms. Our main results are summarized as follows. First, most of financial ratios, i.e. growth, profitability, liquidity, stability, efficiency, productivity, are statistically significant. The empirical results by the size and the industry are analogous to the results from the entire data. Growth rate of equity has a significant negative relationship with default probability in manufacturing but is not significant in the construction and wholesale and retail sector. It appears that characteristics of small and medium sized enterprises in manufacturing differ from that in the construction and wholesale and retail sector. Second, the growth rate of equity in construction and wholesale and retail sector is not significant in all of sample groups by the size and industry. The growth rate of equity in the manufacturing sector mainly has a significant effect on default probability with the unlisted SMEs. Third, the classification accuracy(area under the receiver operating characteristics: AUROC) of the default probability model for training dataset is 70.5∼78.6% while that for validation dataset is 67.0∼69.6%. In all dataset AUROC are near about 70%. This implies that the models used in the analysis are adequate to predict default of SMEs.

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

신생중소기업의 헤저드모형을 이용한 산업별 생존요인에 관한 연구

김경숙(Kyung Sook Kim),장영민(Young Min Jang),도영호(Young Ho Do) 한국경영학회 2014 經營學硏究 Vol.43 No.1

The purpose of this research is to estimate default probability and to explore the major credit risk factors effecting on the survival duration of firms by industry. For this we apply Kaplan- Meier survival function and hazard model with time-varying variables. As the factors effecting on the survival of companies, we consider the financial features and the unique features of firms, such as form, the size of total asset and year of establishment, etc.. In addition, macroeconomic features are considered, such as rate of economic growth, inflation rate, loan interest rates and term structure. SMEs are largely affected by the economic fluctuations because of relatively poor credit levels. We analyze multiple cohort data obtained to 2007 year for the small and medium enterprises established between 1998 and 2002 from each database of Korea Credit Guarantee Fund and Korea Enterprise Data. As the estimated results of Cox`s proportional hazard model, the commonly significant financial features in all the industries are start-up time, interest expense to sales, level of cash reserves, loan interest rates and term structure. Return on equity and productivity of capital are significant in manufacturing, services and wholesale/retail industries Asset turnover ratio, total borrowings and account receivables to total assets are significant in construction, services and wholesale/retail industries. The unique factor by industries is assets size in manufacturing industry, the type of firms in services and wholesale/ retail industry and sales growth rate, value-added ratio and debt to equity ratio in construction industry. In the meantime, as a result of the survival analysis using Kaplan-Meier product limit estimator, we confirm that the hazard rate is low and the stabilized time is fast in order of services and wholesale/retail, manufacturing and construction industry. The more stable economy situation at the time of start-up, the lower hazard rate and the more fast stabilization.

돈육선물의 헤지성과

김석진 ( Seok Chin Kim ),윤영준 ( Young Jun Yun ),도영호 ( Young Ho Do ) 한국농업경제학회 2011 農業經濟硏究 Vol.52 No.2

This paper estimates optimal hedge retios and compares their hedge performance in the newly incepted Korean lean hog futures market. We use daily prices of lean hog spot and futures contracts from July 21, 2008 to January 29, 2010, and employ the time-varying bivariate GARCH(1,1) model as well as various time-invariant models(OLS, VECM). Interestingly, the hedge performance of the OLS model is highest for the within-sample period. For the out-of-sample period, the hedge performance of the bivariate GARCH(1,1) model is highest, which beats that of the OLS model by small margins, though. Our results imply that a simple OLS hedge model is good enough, compared to other models including complex time-varying hedge models, especially in immature futures markets.

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

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.

KOSPI 200 선물시장의 비대칭적 변동성과 헤지성과

김석진 ( Seok Chin Kim ),설병문 ( Byung Moon Seol ),도영호 ( Young Ho Do ) 韓國金融學會 2007 金融學會誌 Vol.12 No.4

KOSPI 200 옵션의 풋-콜 패리티와 시장효율성

김석진 ( Seok Chin Kim ),황종식 ( Jong Sik Hwang ),도영호 ( Young Ho Do ) 한국생산성학회 2011 生産性論集 Vol.25 No.2

This paper investigates arbitrage opportunities and market efficiency by examining the put-call parity (hereafter PCP) in KOSPI 200 options market. The sample period is from January 2, 2001 to December 30, 2008. Interestingly, put premiums tend to be overvalued. Mispricing of OTM is larger than that of ITM or ATM. Overall, PCP does not hold in KOSPI 200 options market. It implies inefficiency of KOSPI 200 options market so that it is possible to make arbitrage profits by exploiting the violation of PCP. Finally, we regress the model to find an evidence on the relationship between the arbitrage profit and the underlying features such as maturity and moneyness. The maturity and moneyness positively affect the arbitrage profit in full and sub-sample periods.

대구국제임베디드컨퍼런스의 경제적 파급효과

김석진,도영호,배두원 경북대학교 경제경영연구소 2007 經商論集 Vol.34 No.2

본 논문은 『2007 대구국제임베디드컨퍼런스』가 대구 · 경북 경제에 미치는 영향을 연구하였다. 본 연구는 국제회의와 전시박람회를 겸한 컨퍼런스가 지역 경제에 미치는 파급효과를 국내 처음으로 분석한 점에서 그 의의가 있다고 하겠다. 컨퍼런스 기간 동안 5억 1천만 원의 계약이 체결되었으며 대략 9억 5천만 원의 계약이 체결될 것으로 조사되었다. 산업연관분석과 지역산업연관표를 이용하여 이미 발생한 최종수요(참가자 · 주최자 지출액, 성사된 계약액)와 향후에 발생할 최종수요(계약 체결액의 기댓값)로 나누어 파급효과를 살펴보았다. 추정결과 컨퍼런스로 인해 각 산업부문에 파급되는 생산유발효과는 약 27억 1천만 원이었고 생산활동으로 인한 부가 가치유발효과는 약 9억 2천만 원이었다. This paper exammes the economic effects of 『2007 Daegu international Embedded Conference』. The study is significant in that it first investigates how much this conference with international meetings and expositions affects the economy of the Daegu and Gyeongbuk region. An interindustry analysis and a regional input/output table are employed for evaluating the economic spill-over effects. We divide the final demand into the expected part which is the expected contract amount and the realized part which consists of the already fixed contract amount and expenditures of the organizer and participants. The amount of around 0.51 billion won is already contracted and the additional amount of about 0.95 billion won are expected to be contracted due to this conference. Thus, it is estimated that this conference would induce the output of 2.71 billion won and the value-added of 0.92 billion won for the Daegu and Gyeongbuk region.