유상증자 방식과 시장상황에 따른 유상증자후 장기성과 분석

박형진,홍종운 대한경영학회 2019 大韓經營學會誌 Vol.32 No.4

We examine the post SEO long-run stock performance by classifying issuing firms according to an exchange they are listed, market sentiment when they issue, and the type of seasoned equity offerings(right offerings, private placement to the third party, and public offerings) in the Korean stock market from January 2000 to December 2009. During our sample period, 688 seasoned equity offerings were conducted and more than two third of offerings occurred when market sentiment was high. In particular, firms listed in the KOSDAQ market issued two times as much as those listed in the KOSPI market and the issuing firms listed in the KOSDAQ market conducted more than two third of their issuing during the period of high market sentiment. As shown in the following table reporting the two-year post SEO stock performances, for issuing firms listed in the KOSDAQ market, SEOs conducted during the period of high market sentiment, and private placement to the third party SEOs, stock performances after issuing were poor compared to other SEOs. Additionally, stock prices over two years after right offerings do not show significant decreases, but, for private placement to the third party and public offerings, two-year post SEO stock performances are significantly negative. On the other hand, for private placement to the third party and public offerings, investors are over-optimistic to future cash flows from firms or have overly rosy improvement on firms’ financial statements after the offerings so that stock prices after the offerings significantly decrease over two years after the offerings. In the literature, as monitoring from investors or institutional investors on issuing firms becomes week, the post SEO long-run stock performance is also more deteriorated because managerial opportunism is more likely to be a motivation for issuing than other motivations, such as behavioral reasons and window opportunism. Therefore, we investigate the trend of yearly discretional accruals of our sample issuing firms which are classified according to the listed exchange, market sentiment, and the type of issuing. Also, we ascertain whether Tobin’s Q and market-to-book ratio of issuing firms having the worse post SEO long-run stock performance are greater than other issuing firms. In our results, consistent with the previous studies, the more the discretional accruals at the time of issuing, the worse the two-year post SEO stock performance. In addition, the higher the Tobin’s Q or the market-to-book ratio at the time of issuing, the worse the two-year post SEO stock performance. Last, we examine the impacts of proxies of worsen monitoring effects on the two-year post SEO stock performance in regression analysis. Regression results confirm our findings shown previously shown. When market sentiment at the time of issuing is high, the long-run stock performance becomes lower. Also, the more the number of new issues, the lower the two-year post SEO stock abnormal performance. It implies that, if managers tend to utilize high market sentiment and actively raise their firm value at that period, they may exploit the favorable situation in which they can raise fund from the stock market. Moreover, the higher the market-to-book ratio, the worse the two-year post SEO stock abnormal performance. Consequently, our results support our argument that, like in the U.S. stock market, seasoned equity offerings in the Korean stock market, the less the monitoring from investors, the higher the likelihood of issuing motivated by managerial opportunism. 본 연구는 2000년 1월부터 2009년 12월까지 유가증권시장과 코스닥시장에서 688건의 유상증자에서 주식의장기성과를 유상증자 발행방식과 유상증자를 공시한 시점의 시장상황에 따라 나누어 살펴보았다. 실증분석결과에서 평균적으로 기존의 연구결과와 같이 장기적으로 유의한 낮은 주식성과가 나타났지만 유상증자 방식에 따라 장기주식성과에 유의한 차이가 발견되었다. 주주배정 방식의 경우 유상증자시 상승한 가격이 2년간유의하게 지속되었으나, 일반 공모 그리고 제 3자 배정 방식의 경우는 유상증자 후 유의한 음의 장기주식성과가나타났다. 이는 Lee(1997)에서 보고된 바와 같이 회사 내부자들에 해당되는 주주들이 미래 회사가치를 높일수 있는 양의 현금흐름을 보일 투자를 행하기 위해 주주들이 회사에 자금을 투입하는 경우 유상증자 이후에도주가의 하락이 나타나지 않을 것이라고 해석할 수 있다. 반면, 일반공모와 제 3자 배정 방식의 경우 투자자들의미래 현금 흐름의 증가에 대한 과도한 기대나 새로운 주주 또는 대기업과의 합병으로 재무구조의 개선을과도하게 낙관적으로 기대하여 유상증자 후 유의한 음의 장기주식 성과가 나타나는 것으로 볼 수 있다. 그리고, 상장된 거래소와 시장 상황에 따른 하위표본의 성격에 따라 장기주식성과간의 차이도 관찰되었다. 전반적으로유가증권에 상장된 기업의 유상증자에 비해 코스닥 상장 기업의 유상증자에서 장기주식성과가 낮았으며 시장상황에 따른 비교에서는 호황기에 시장상황에 기댄 기회주의적 유상증자가 보다 많이 행해진 것으로 나타났다. 증자이후 2년간 비교대상기업의 누적 수익률을 차감한 초과누적수익률을 시가총액 대비 발행규모, 재량적발생액, 부채비율, 시장가 대비 장부가 주가 비율, 그리고 과거 6개월 KOSPI 지수 수익률에 회귀분석한 장기주식성과 결정요인 조사에서는 시가총액 대비 발행규모와 시장가 대비 장부가 주식 비율이 음으로 유의하게영향을 미치는 것으로 관찰되었다. 특히, 유상증자 전후 이익조정여부를 살피는 실험에서는 코스닥 시장에상장된 회사의 경우 유의한 이익조정이 나타나 경영자 기회가설(Managerial opportunism)으로 장기주식성과하락이 설명되었다. 장기주식성과 결정요인 회귀분석에서 발행규모가 클수록 장기수익률이 하락하는 것으로나타났으며 시장가 대비 장부가 가치는 높을수록 장기수익률과 유의한 음의 관계가 보였다.

증권시장의 상호의존성에 관한 연구; 중국, 일본, 미국 및 한국시장을 중심으로

이동욱 ( Dong Wook Yi ) 아시아.유럽미래학회 2012 유라시아연구 Vol.9 No.4

We investigate the interdependence between U.S., Japan, China and Korea stock markets using daily return data covered from September 14, 2005 to September 30, 2011. To effectively study the short-term information transmission among 4 major stock markets we separated the whole sample period into two sub-sample period, before and after 2007 financial crisis. For this purpose we introduced the Granger causality test and variance decomposition analysis based on VECM (vector error correction model). The main results of empirical tests are as follows; First, we test the stationarity of 4 countries’ stock market index using ADF and PP model. According to the empirical results we find that there are unit roots in the level variables of 4 countries’ stock market data but not in the returns data of the 4 countries stock market both before and after financial crisis. Second, we also try to estimate the long-run relationship among S&P500, Nikkei 225, Shanghai stock index and KOSPI 200 stock index. For this we introduce the Johansen co-integration model and come to the conclusion that there is a long-run relationship among the level variables of four national stock markets. Third, in order to the short-term information transmission mechanism among the four national stock market index, we employ the Granger causality test based on the VECM (3). According to the empirical test, we find that during the whole sample period, S&P 500 and Nikkei225 stock index have an impact on the KOSPI 200 stock index in the statistically significant level but there is no information transmission effect from Shanghai stock market to Korea stock market. The impact of S&P500 stock index on the KOSPI200 stock index is relatively greater than that of Nikkei225 stock index on the KOSPI200 stock index. Fourth, in case of the empirical result on before and after financial crisis period, we find that the interdependence among the four national stock markets after financial crisis period is much greater than that of before financial crisis period. Fifth, we also compare the influence of US and Japan stock market on China stock market and we find that the US stock market has an greater impact on China stock market than Japan stock market. we also find that after financial crisis of 2008 the comovements between four stock markets are greater than before financial crisis. After the financial crisis the impact of China stock market to other countries is increased but that of Japan is decreased. Sixth, in case of information transmission US and Japan stock markets, there is a feed information transmission between the two national stock market but the influence of US stock market on other countries`` stock is more dominant since the financial crisis. The empirical results by variance decomposition analysis are consistent with those of Granger causality test. From these empirical results, we infer that market integration among stock markets is increasing over time and these empirical results are informative to stock market investors and regulators to set up a investment strategies and government policy.

중국 주식시장과 세계 주요 주식시장간의 동조화에 관한 연구

윤성민,강주화 한국자료분석학회 2018 Journal of the Korean Data Analysis Society Vol.20 No.5

본 연구의 목적은 중국 주식시장과 세계 주요 주식시장간의 동조화를 실증분석하는 것이다. 이를 위하여 본 연구는 중국과 7개 주식시장의 대표적인 주가지수의 2000년부터 2017년까지의 주별 수익률 자료를 이용하여 소파동 코히어런스(wavelet coherence) 및 위상(phase)을 구하였다. 본 연구에서 얻은 주요 결과는 다음과 같다. 첫째, 중국 주식시장과 홍콩 주식시장 사이에서 동조화가 가장 강하게 나타난다. 이 두 시장 사이에서는 동조화가 광범위한 시간-축적 영역에서 나타난다. 둘째, 중국 주식시장과 미국 주식시장은 장기에서 동조화가 강하게 나타나는 것으로 나타났다. 장기에서는 미국 주식시장이 중국 주식시장을 강하게 선도하고 있다. 일본, 유럽, 호주 주식시장은 비슷한 패턴을 보이고 있는데, 중국 주식시장과 일본(유럽, 호주) 주식시장의 동조화는 장기에서 강하게 나타난다. 셋째, 한국과 대만 주식시장은 연속적이지는 않지만 중기에 미약하게 동조화되어 있고, 장기에서는 동조화가 강해지는 것으로 나타났다. 넷째, 2008년 글로벌 금융위기 이후, 중국과 홍콩, 일본, 한국 주식시장의 동조화 정도가 단기에서보다 중기에서 증가하는 모습을 보였다. 향후 투자자들은 자산분산투자와 시간분산투자를 동시에 실현하기 어렵기 때문에 이 두 가지 사이의 균형을 맞추어 투자전략을 세워야 위험을 줄일 수 있을 것으로 생각된다. The purpose of this study is to empirically analyze the co-movement between the Chinese stock market and the world's major stock markets. This study empirically analyzed the wavelet coherence and phase difference using the weekly returns of representative indexes around the China and seven stock markets from 2000 to 2017. The major results of this study are as follows. First, the co-movement between the Chinese stock market and Hong Kong stock market is strongest which is expressed in a wide range by the specific time and time scale. Second, the Chinese stock market and the US stock market are becoming more coherent on the longer time scale where the US stock market is leading the Chinese stock market. The strong co-movement of the Chinese stock market and the Japanese (European and Australian) stock markets appear on a longer time scale. Third, the Korean and Taiwanese stock markets can be seen to be weakly coherence in the middle time scale, and the longer time scale strengthens the coherence. Fourth, after the global financial crisis in 2008, the short time scale of Chinese, Hong Kong, Japanese, and Korean co-movement has increased.

파생상품 헤지가 주식의 거래와 변동성에 미치는 영향 -한국 ELW 시장에 대한 실증분석-

이동훈 ( Dong-hoon Lee ),안희준 ( Hee-joon Ahn ) 아시아.유럽미래학회 2017 유라시아연구 Vol.14 No.1

This study investigates the link between derivatives trading and stock trading by examining the impact of ELW hedging activities on stock trading volume and return volatility. We use daily ELW and stock trading information on the Korea Exchange. Our data span 585 trading days from January 12, 2009, to May 20, 2011. Most previous studies use ELW issue data in their analysis. Using the nominal volume (i.e., ELW issue data), however, is subject to limitations because only as much as 5 percent of the total volume issued is ever traded in the market. We overcome this issue by using the actual ELW trading data and focus on the direct linkage between the ELW market and the stock market through Delta hedging amounts of ELW-sold positions, measured by gamma. We run both time-series and cross-sectional regressions with ELW gamma as our key independent variable and stock trading volume and return volatility as the dependent variables. We test two hypotheses: (1) complete market hypothesis and (2) hedging effect hypothesis. The complete market hypothesis posits that the introduction of derivative securities offers new investment opportunities for investors, making the market more complete. As investors engage in speculating, arbitraging, and hedging activities using derivative securities, trading intensifies and more information is channeled in the market, leading to improved price discovery. The testable implications are that ELW trading increases the trading volume and decreases the volatility of the underlying stock. Meanwhile, the hedging effect hypothesis focuses on the effects of dynamic hedging by ELW issuers. According to the hypothesis, dynamic hedging by issues results in increased trading of the underlying stock. It also increases return volatility as the ELW issuer purchases (sells) more shares as the stock price rises (falls) to hedge its position. In sum, the hedging effect hypothesis predicts that gamma increases stock trading volume and decreases stock return volatility. Our empirical findings are summarized as follows. Although there are some minor differences in the levels of statistical significance. both time-series and cross-sectional regressions offer strong evidence that ELW gamma increases stock trading volume and decreases stock return volatility. These results are consistent with the complete market hypothesis, which states that derivatives trading offers more diverse trading channels for market participants and enhances price discovery thus improving overall efficiency of the stock market. Our study contributes to the literature by using the hedging information retrieved from ELW trading and thereby providing clearer evidence on the role of ELW trading on the underlying market. ELW trading and derivatives trading in general have recently been criticized in Korea as means of excessive speculation by individual traders, thus causing an unhealthy trading environment. A series of measures have ensued by policy makers that restrict derivatives trading. We hope that the findings in our study shed some light on the positive role of ELW trading. Our results have strong indication that ELW markets help enhance the efficiency of stock markets and improve their trading environment.

중국 주식시장에서 역행투자전략의 성과에 대한 실증적 연구

박훈 ( Piao Xun ),최수정 ( Sujung Choi ) 아시아.유럽미래학회 2016 유라시아연구 Vol.13 No.3

The contrarian strategy based on historical stock prices is a well-known market anomaly contradicting the weak-form market efficiency. Debondt and Thaler(1985) provide an evidence on the contrarian strategy that can generate cumulative abnormal returns relative to the market index by analyzing monthly return data of the New York Stock Exchange common stocks from January 1926 to December 1982. They argue that the overreaction of investors to the unexpected and dramatic new information would cause the overshooting of stock prices in the short-term, so the stock prices would reverse to the fundamental level when investors realize their mistakes in the long-term. However, there also exist studies arguing time-varying systematic risk, not overreaction of investors, is a main reason of the return reversal phenomenon in the long-term. In fact, both the overreaction of investors and time-varying systematic risk would partly contribute the historical patterns of stock returns such as short-term momentum and long-term reversal phenomena. The contrarian strategy is a trading strategy of selling winners and buying losers, and holding the portfolio for around 3 to 5 years since the long-term return reversal often occurs in the market. Similarly, the momentum strategy is to buy winners and sell losers with a less than 1-year holding period, which is based on the short-term continuation of stock returns. In the studies of U.S. stock market data, both trading strategies are known profitable and argued as a prima facie evidence on the weak-form market efficiency. The economy of China has remarkably been growing since the market was opened up to the rest of the world in 1978. As of June 2015, the Shanghai Stock Exchange(SSE) exhibits notable statistics such as 1,081 companies listed, 5,914 stocks traded, and $5.9 trillion of a market capitalization; and the Shenzhen Stock Exchange(SZSE) founded in 1991 also records 1,746 firms offered, 3,440 stocks traded, and $4.4 trillion of market capitalization. Recently, China Securities Regulatory Commission tries to promote foreign investors to invest in the Chinese Stock Market by introducing new policies such as the Shanghai-Hong Kong Stock Connect. Especially, Korean Economy is closely connected to the economy of China, so it would be interesting to study the market efficiency of the Chinese Stock Market. This study investigates the contrarian strategy in Chinese stock market from 2000 to 2014 by employing the market-adjusted model and the risk-adjusted model. We construct the winner and loser portfolios using cumulative abnormal returns of individual stocks following the methodology of De Bondt and Thaler (1988). The upper and lower 20% individual stocks based on previous 3-year excess returns consist of the winner and loser portfolios. Overall, the empirical results support the contrarian strategy regardless of the performance measure such as the market-adjusted model and the risk-adjusted model. That is, the contrarian strategy selling winners and buying losers based on previous 3-years cumulative abnormal returns produces economically and statistically significant abnormal returns at the Chinese Stock Market in the following 1- to 3-year holding periods. Interestingly, the trading strategy is more profitable in the Shanghai Stock Exchange than in the Shenzhen Stock Exchange.

중국 거시경제의 변동이 주식시장에 미치는 영향

운소 ( Xiao Yun ),최기홍 ( Ki Hong Choi ),윤성민 ( Seong Min Yoon ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.4

The analysis on the returns and volatility of stock price in stock market is one of the important research field in economics, and the issue such as the influence of macroeconomic variables on stock price has been examined over time. Since the fluctuation of a country’s stock market is always closely associated with the changes of macro-economy, it is highly possible that the variation of macroeconomic variables exert significant influences on the stock price and many literatures consider this relationship. However, the study on the Chinese stock market has it own especially important meanings. Firstly, due to the relatively short of the establishment period of Chinese stock market, the stock market in China is still not developed enough and has many inefficiency problems. The individual investment also takes up comparatively large proportions in market. These features thereby cause the instability of Chinese stock market. Therefore, different characteristics might be found on the relationship between macroeconomic variables and stock price in China. Secondly, compared with developed capitalist countries, the interference of Chinese government on the economic development is relatively severe, and the stock market is also often intervened under national regulations and controls. Thus, the relationship between the volatility of macroeconomic variables and stock price may present different features from those developed countries. Thirdly, unlike export-oriented emerging stock market such as Korea, Chinese stock market might be more affected by its national economic policies and the change of macroeconomic variables. Altogether, it is hard to determine, how can the variation of macro-economy will affect the fluctuation of stock price in China based on theoretical works. The empirical analysis should be conducted to judge the relationship between them. In addition, due to the existence of two stock exchanges in China, Shanghai stock exchange and Shenzhen stock exchange, the comparisons also should be analyzed to investigate how these two stock market react differently to the change of macroeconomic variables. This paper makes comparisons between macroeconomic variables and two stock markets. The paper adopts the macro-economic climate index, money supply, consumer price index, exchange rate, interest rate, total import and export volume as macroeconomic variables, two composite indexes of Shanghai Stock Exchange and Shenzhen Stock Exchange as the stock market variables to investigate the relationship between the macro economy and stock market by employing VAR-GARCH-BEKK model. The mean equation is set to be vector autoregressive (VAR) model for measuring the return spillover effect between macroeconomic variables and stock market index. Variance equation utilizes the bivariate GARCH-BEKK model for observing the volatility spillover effect between them. The analysis tries to figure out whether the stock market of Shanghai Stock Exchange and Shenzhen Stock Exchange has the different return and volatility spillover effect or not. The main findings of this study are summarized as follows: The return of macroeconomic variables has no significant impact on the returns of Chinese stock markets, implying there is no return spillover effect. However, the volatility of consumer price index exert significant influence on the volatility of Shanghai composite index. The volatility of the macroeconomic variables including money supply, consumer price index, and exchange rate significantly affect the volatility of Shenzhen composite index, and the influence of the volatility of exchange rate on the volatility of Shenzhen composite index is the strongest among them. The volatility spillover effect between macroeconomic variables and Shenzhen composite index is stronger than that between macroeconomic variables and Shanghai composite index. In addition, the volatility spillover effect between macroeconomic variables and stock market is more obvious than return spillover effect between them. These results can Chinese stock market investors to increase the returns and reduce the investment risks as far as possible. More attention shall be given to the change of macro economy, especially the change of the consumer price index.

한국 상장 소형주의 내부회계관리제도 개편이 주식시장과 채권시장에 미친 영향에 관한 실증적 연구

김태정 ( Taejung Kim ) 아시아.유럽미래학회 2013 유라시아연구 Vol.10 No.1

This research is an empirical study on the effects of listed small-Korea stock market and bond market around reform of internal accounting management system. Listed small-Korea stock index and relevance with the bond market base and theoretical reflections on the methodology for analyzing the economic tools to quantify some of the cleanup, and this on the basis of the stock market``s listed small-Korea stock market and bond market around reform of internal accounting management system for the multifaceted study. Listed small-Korea stock market and bond market around reform of internal accounting management system base on how they relate to the study of the correlation of these variables analysis after days had to relate to one another, few systematic studies for that number. Therefore, this study complements the existing studies had limitations. Therefore, this study was listed small-Korea stock market and bond market around reform of internal accounting management system and its relationship with listed small-Korea stock market and bond market base for analysis. This study is an empirical research methods and research methods of the literature ever. Study on the relationship between economic variables through the literature ever for existing research review, and time series data analysis methods are called sensitive nature. and this study tests the dynamic interrelationship between listed small-Korea stock market and bond market around reform of internal accounting management system. The data of small-Korea stock Index and bond market for analysis are 268 trading daily data from December 1, 2005 to December 28, 2006 before Reform of internal accounting management system. For this purpose we employ both impulse response analysis based on the vector autoregressive model. Considering the co-integration relationship between listed small-Korea stock market and bond market around reform of internal accounting management system, we incorporate the error correction term into the VAR model. An important result of this study are summarized as follows: First, the correlation coefficient between before and after the reform of internal accounting management system, as in the correlation of the listed small-Korea stock market and bond market from + 0.012833 to - 0.044873 changes. Second, the listed small-Korea stock market and bond market unit root test of raw materials in the series result have unit roots. Third, the listed small-Korea stock market and bond market 1 difference in time series data on unit root test for the listed small-Korea stock market and bond market have no unit roots. Fourth, there is at least one cointegration the listed small-Korea stock market and bond market. Fifth, the listed small-Korea stock market and bond market on the base since the reform of internal accounting management system as the listed small-Korea stock market was being affected by the enlargement.

중국 주식시장 수익률과 변동성의 장기기억 특성과 동시적 집계문제

강주화 ( Zhuhua Jiang ),윤성민 ( Seong Min Yoon ) 아시아.유럽미래학회 2015 유라시아연구 Vol.12 No.2

Whether the long-memory property is inherent in the movement of the stock market returns and volatility (risk) time series is known as a very important issue practically or theoretically regard to the efficiency of the stock market. The efficient market hypothesis describes that the information obtained from past statistics can not be used to predict the future stock price. This is because when generating the information that may affect the price of the stock reflects this value of the information on the price quickly and enough. Since the future information is unknown, the future stock price will not be predictable if the stock market is efficient. However, if the long-memory property exists in the stock market returns and volatility time series, it could predict a certain portion of the future returns and risks by using past data. This predictability means the assumption of classical investment theory, that the stock market is efficient, may not be proper. Thus, the existence of long-memory property has been addressed as an important research topic by the financial investment researchers and stock market investors. By using the stock prices of 50 stocks representing the Chinese stock market and their weighted average statistical index - SSE 50 Index, this study analyzes whether the long-memory property is inherent in Chinese stock market price movement as well as explains whether the existence of long-memory property is spurious result of the contemporaneous aggregation. The Chinese stock market is extremely proper market to perform the research related to the long-memory property because it is large and highly dynamic market. Using the returns and volatility of daily closing price (i.e. the absolute value of returns and its squared value) from January 2, 2004 to December 10, 2014 to conduct the Lo’s modified (R/S) analysis and the Geweke-Porter-Hudak (GPH) test. The main results of the empirical analysis from this study are as follows. First, although SSE 50 Index return series has long-memory property, there are not many evidences for its 50 constituent company stock prices. This means that predicting the return series for SSE 50 Index is relatively easier than individual stock prices. Second, in the case of volatility, both of the SSE 50 Index and its 50 individual stock prices have the presence of a long-memory property. Third, most of the 50 individual stock prices in Chinese market have the long-memory property. These are the unique properties inherent in the stock market time series instead of causing by the spurious consequence of a contemporaneous aggregation bias. Fourth, volatility has the stronger presence of a long-memory property than returns. This means that predicting the risk is relatively easier than returns due to volatility clustering. Based on the overall statistical test results, volatility has the stronger presence of a long-memory property than returns. The long-memory property exists in the Chinese stock market and this is the unique property inherent in the stock market time series instead of causing by the spurious consequence of a contemporaneous aggregation bias. These analytical findings indicate that the Chinese stock market is not fully efficient due to the existence of the long-memory property. The reasons that Chinese stock market is not efficient enough are that many Chinese investors have the speculative purposes and market information is not delivered transparently and quickly. Because of these characteristics, global investors will have room to reduce the risk and increase profits by leveraging long-memory properties in the Chinese stock market. In addition, considering long-memory properties to predict volatility will be more efficient for risk management. However, policy- makers may need further work in order to increase the efficiency of the stock market, the information that can affect the market should be quickly released and the solution should be prepared that the value of the information can be fully reflected in the stock price. Since those efforts will be made for the globalization of the Chinese stock market, we can predict the efficiency of China’s stock market will be increased in the future. This suggests that to obtain excess returns in the stock market in China will be more difficult.

세계에서 가장 빠른 한국의 노령화 진행: 인구구조 변동에 따른 자산운용의 변화

최정일 ( Jeong Il Choi ),이옥동 ( Ok Dong Lee ) 아시아.유럽미래학회 2008 유라시아연구 Vol.5 No.3

Our demographic structure is facing a rapidly aging population in our society compared with other developed countries. Our population is growing more rapidly than populations of any other OECD country. The proportion of elderly people in the population has increased rapidly and is expected to increase even more in the future. We expect that the aging population will have a significant impact on the stock market and the real estate market through various channels. In addition, the change of demographic structure and characteristics of age will be an immense impact on the economy. Aging also presents increased demand for long-term assets. Productivity and income levels may rapidly decline as the aging population will decrease because labor force. So we expect that the price of assets will decrease in value as investments shrink and risk aversion. An empirical analysis shows that asset investments of elderly people is less than that of middle aged group. It also confirms that an increase in the 40 to 59 year old age group as a percentage of the total population contributes to increased demand for stocks and real estate at an earlier stage of population aging. By the time these people begin retiring, stock and real estate prices will become subject to larger adjustments, which will lead to a serious downfall. It is found that the 40 to 59 year old age group has more stock and real estate because they have the most income. It is known that changing of the 40 to 59 year old age group will have a significant impact on the stock market and real estate market. Increasing of the 40 to 59 year old age group will go up in value in the stock market and real estate market. Contrarily decreasing of the 40 to 59 year old age group will make the stock market and the real estate market go down. Our demographic structure of the 40 to 59 year old age group will be a significant change around 2015. Increasing will converse as decreasing in demographic structure of the 40 to 59 year old age group about 2015. We expect that demand of stock and real estate will increase until 2015 and the demand of stock and real estate will decrease after 2015. The aggregate buying for stock and real estate may decline as the 40 to 59 year old age group goes down. They will prefer safety assets such as cash and deposit to averse the risk. We emphasize the need of systematic assets management to prepare stock investment for aging population The aging population will emphasis the necessity of the systematic asset management in the stock and real estate. Korea will precede in the playing field for future asset management. The necessity of the systematic management calls for spots derivative commodity and international portfolio diversification. This paper indicates the effects of demographic changes on the stock market and the real estate market. It suggests that the Korean asset market is likely to experience a significant deterioration in the stock market and the real estate market over the coming decades given the expected rapid population aging trends in Korea. The preference for risky assets such as stocks to raise an earning rate, as well as the developing of financial commodity to protect a drop in assets prices, are urgently needed.

중국과 홍콩주식 시장간의 주가지수 및 교차 상장된 주식들의 가격정보 전달 분석

김경원 ( Kyung Won Kim ) 한국국제경영학회 2011 國際經營硏究 Vol.22 No.3

This paper empirically examines and analyzes the transmission of pricing information of stock market indices and dually-listed stocks between Chinese and Hongkong stock markets. This paper also examines the existing information asymmetry hypothesis and the home market leadership hypothesis around the liberalization of Chinese stock markets. Employing a GJR- GARCH(1,1)-M model, this paper finds that the home market leadership hypothesis hypothesis is rejected. The contemporaneous volatility spillover is unidirectional: there is strong evidence of volatility spillover from the foreign Hongkong stock markets to the domestic Chinese stock markets only in the pre- liberalization sub-sample period. There is also strong evidence of bi-directional return and volatility spill-overs in the post-liberalization sub-sample period between two markets. Both of markets are integrated after the liberalization of Chinese stock markets. Empirical results of Granger-causality tests for the dually-listed stocks between Chinese and Hongkong stock markets show that there are not strong causal relations between two classes of stocks. However, generally these tests indicate that there are no causal relations between two classes of shares. The causal relations between two classes of shares are not stronger in the post-liberalization sub-sample period than in the pre-liberalization sub-sample period. This evidence indicates that the information asymmetry hypothesis does not hold between two markets.