변동성 예측모형의 실증성과에 관한 연구: 미국시장을 중심으로

류두진 ( Doo Jin Ryu ) 한국금융공학회 2012 금융공학연구 Vol.11 No.3

본 논문에서는 Engle(1982)이 ARCH모형을 제시한 이후에, 각국의 금융시장의 변동성 추정과 예측을 위하여 ARCH/GARCH를 확장한 다양한 GARCH계열 모형들이 발명되었으나, 그 실증성과에 대해서는 완벽하게 일치된 결과가 없는데 주목한다. 본 연구에서는 실무에서 널리 활용되는 변동성 모형인 RiskMetrics접근법과, 다양하게 확장된 GARCH계열 모형들, 그리고 투자자들의 미래에 대한 기대와 정서를 반영하는 미국의 변동성 지수(VIX)모형에 대해, 세계의 학계 및 투자자들에게 연구및 투자의 기준이 될 수 있는 미국의 주식시장에 대한 대표지수인 S&P500지수의 변동성 예측성과를 기준으로 모형의 실증성과를 측정한다. 또한, 옵션 및 기초자산시장으로부터 도출된, 투자자들의 미래에 대한 전망과 기대치를 담고 있다고 알려진, 내재변동성으로서의 VIX가 주가지수의 수익률과 어떤 관계를 가지고 있는지를 살펴보고, GARCH모형의 틀 하에서 변동성의 움직임에 대한 추가적인 설명력을 갖는지를 조사한다. This study is motivated by the current situation that there is little consensus on which GARCH or related forecasting models exhibit the best empirical performance in forecasting the future realized volatility. By analyzing the S&P500 index, which is the representative stock market index of the U.S. market, we compare the forecasting performances of the RiskMetrics approach, the various GARCH-family models, and the implied volatility index (VIX) that is extracted from the market prices of the S&P500 index options. We also examine the property of the VIX as the proxy for the stock market volatility and the relation between the VIX and the stock market return. In addition, we measure the additional information content that is contained in the VIX under the framework of the GARCH-family models.

An Empirical Comparison of Option Valuation Approaches: The Case of KOSPI 200 Options

류두진 ( Doo Jin Ryu ) 한국금융공학회 2010 한국금융공학회 학술발표회 Vol.2010 No.2

This paper examines the empirical performance of two option valuation approaches: the pricing model-based option valuation approach, which is based on the direct specification of the option pricing models, and the implied pricing kernel-based option valuation approach, which is based on pricing kernels implied by option pricing models under the unified GARCH framework. In terms of parameter estimates obtained from the underlying returns-based estimation, the pricing model-based approach always outperforms the implied pricing kernel-based approach. However, in terms of parameter estimates obtained from the option-based estimation, the implied pricing kernel-based approach outperforms the pricing modelbased approach in pricing OTM options in the case of the GARCH option pricing model, and both of the option valuation approaches supported by the Black-Scholes option pricing model, which are generally poor performers, perform better than those option valuation approaches supported by the GARCH option pricing model in pricing ITM options and show similar performance in hedging.

Nikkei225 옵션시장의 가격결정커널에 관한 연구

류두진 ( Doo Jin Ryu ) 한국경영공학회 2012 한국경영공학회지 Vol.17 No.2

This study examines the pricing kernels implied by the Nikkei225 index and option prices. Following Rosenberg and Engle(2002), based on the two specifications of the pricing kernels (one is the power pricing kernel and another is the polynomial pricing kernel), we estimate the empirical pricing kernels that successfully explain the price dynamics of the Nikkei225 options. We find some interesting results in the Japanese financial market. First, the power pricing kernel generally decreases with the underlying Nikkei225 index returns, which shows stark contrasts with the results in the S&P500 (U.S.) options market. Second, the time-varying pricing kernels generally outperform the time-invariant pricing kernels in explaining the dynamics of the Nikkei225 option prices, but this does not hold when pricing ITM options which are not actively traded. Third, the (time-varying) polynomial pricing kernel, which has more complicate and flexible functional structure than the (time-varying) power pricing kernel, shows better pricing performance. Considering that there is little research on the Nikkei225 options and there is not a single published article that investigates the pricing kernels in the Japanese options market, this study can be a stepping stone for the future research.

선물시장의 주문흐름정보를 활용한 옵션스프레드의 구성요소에 관한 연구

류두진 ( Doo Jin Ryu ),양진용 ( Jin Young Yang ) 한국파생상품학회(구 한국선물학회) 2012 선물연구 Vol.20 No.3

본 연구는 최근에 발명된 교차시장 모형을 활용하여, KOSPI200 지수옵션시장의 호가스프레드와 그 구성요소를 지수선물 및 지수옵션시장의 주문흐름정보를 동시에 활용하여 추정하고 조사한다. 본 논문은 Ryu(2011)에서 제시된 교차시장 모형을 바탕으로, 옵션의 가격도 및 일중 거래시간대별로 스프레드와 구성요소의 변화를 살펴보고, 이를 주문주도형 시장에서 널리 활용되는 단일시장 모형인 MRR 모형 (Madhavan et al., 1997)의 결과와 비교 분석하였다. 본 연구의 실증분석 결과는, 선물시장에서의 주문흐름정보를 추가적으로 이용하는 교차시장 모형을 옵션시장에 적용하면, 우리나라 옵션시장에 단일시장 모형을 적용한 기존의 연구에서 발생할 수 있는 추정상의 문제점을 일부 개선시킬 수 있을 가능성을 제시하고 있다. 즉, 교차시장 모형은 레버리지의 효과가 큰 외가격 옵션시장에서 정보거래가 설명하는 영구적 요소의 과소추정문제 및 유동성이 결핍된 내가격 옵션 시장에서 가격충격으로 인한 영구적 요소의 과대추정문제가 완화시킬 수 있음을 암시하고 있다. 또한, 교차시장 모형의 추정결과는 선물시장에서의 주문정보흐름이 옵션스프레드의 영구적 요소의 형성에 옵션의 가격도와 일중의 시간대에 따라 다른 정도로 영향을 미치는 것을 보여주고 있으며, 이는 선물주문흐름이 정보거래비중이 상대적으로 높은 장 초반의 시점이나 (심)내가격 옵션의 경우에 대하여 보다 더 유의한 영향을 미치는 것을 의미한다. This study examines the bid/ask spread and its components in the KOSPI200 options market under the framework of the cross-market model, which utilizes the order flow information of both KOSPI200 futures and options markets. We also compare the results by the single-market model (MRR model; Madhavan et al., 1997) and by the cross-market model (Ryu(2011)`s extension). This comparison suggests that the cross-market approach can mitigate the underestimation of the permanent spread component of OTM options and the overestimation of the component of ITM options, which are often detected when we directly apply the single market model into the KOSPI200 options market where the ITM options are relatively illiquid while the OTM options are extremely liquid. We also find that the effect of the order flow information of the futures market on the option spread and its permanent spread component will vary depending on the option moneyness and the intraday time period. This implies that the order flow of the futures market has more significant effects if the degree of informed trading is relatively high.

주식워런트증권 도입의 영향력에 대한 연구 : 주식시장의 행태를 중심으로

류두진 ( Doo Jin Ryu ) 한국파생상품학회(구 한국선물학회) 2010 선물연구 Vol.18 No.4

본 논문에서는 우리나라 주식워런트증권(Equity Linked Warrant; ELW)의 도엽이 기초자산의 가격, 거래량, 변동성 및 체계적 위험에 미치는 영향을 사건연구의 방법론을 사용하여 분석한다. 본 연구의 특정은 다음과 같다. 첫째, 주식워런트증권의 도입효과를 분석하기 위해서 사건일을 해당 발행사가 주식워런트증권을 상장하겠다고 발표하는 공시일과 거래가 시작되는 상장일로 나누어서 각각의 효과를 살펴보았다. 둘째, 워런트의 도입효과를 분석한 선행연구에서는 콜워런트에 대해서만 분석을 실시한 반면, 본 연구에서는 콜워런트와 풋워런트 각각을 분석하였다. 기존의 외국시장에서의 연구결과와는 다르게, 우리나라에서는 발행공시일 이전에 관찰되는 발행자의 혜지효과와 발행공사일 이후 발행자로부터 시장에 이전되는 정보전달효과의 측면에서 워런트의 도입이 기초자산시장에 미치는 영향은 미미한 것으로 나타났다. 또한, 워런트의 도입으로 인한 시장완전성효과 또한 크지 않은 것으로 판단된다. 반면에, 우리나라 시장에서는 마음과 같은 유의한 결과를 얻었다. 상장일 이후에, 콜워런트의 경우 기초자상의 거래량이 증가하였는데 이는 워런트의 상장으로 인한 정보거래효과와 관련이 있을 수 있다. 풋워런트의 경우에는 상장직후에 워런트거래로 인한 공매제약 완화효과가 관찰되었다. This paper investigates the effects of Introducing equity-linked warrants (ELWS) on the stock price, trading volume, volatility, and systematic risk (beta) by using the event study methodology, The study defines the event date as the announcement date as well as the listing date. In addition, whereas previous research has investigated only call ELWs, this study analyzes the effects of introducing both call and put ELWs. The results provide no evidence of hedging effects of issuers before the announcement dates and information effects after the announcement dates. In addition, we can`t find any significant changes of variables associated with the market completeness hypothesis near the listing dates. However, the trading volume of the stock tends to increase in the days immediately following the listing of call ELWs, which may be due to the "informed trading effect". The empirical results also provide support for the "diminishing short-sales restrictions· hypothesis related to the listing of put ELWs, which implies that short-sale restrictions can be reduced because put ELWs can provide investors with short positions in the underlying stock.

안전한 코딩을 위한 정적 C 코드 분석기 개발

류두진 ( Doo-jin Ryu ),성시원 ( Si-won Sung ),김덕헌 ( Deok-heon ),한익주 ( Kim Ik-joo Han ) 한국정보처리학회 2010 한국정보처리학회 학술대회논문집 Vol.17 No.2

최근 Application 의 취약성을 악용한 해커들의 시스템 공격 사례가 증가하고 있다. 본 논문에서 다루는 코드 분석기는 이러한 해커의 공격을 사전에 차단하기 위해 사용자로부터 입력받은 Application 의 소스 코드가 사전에 탑재해 놓은 일련의 보안 규칙(Security Rule)을 제대로 준수하는지의 여부를 어휘 분석(Lexical Analysis)과 구문 분석(Semantic Analysis)을 통해 판별해 낸다. 본 코드 분석기는 미국 카네기멜론대학(CMU) 산하의 인터넷 해킹 보안 기구인 CERT 에서 제시하는 규칙을 그대로 적용하여 분석 결과의 정확도와 객관성을 높였으며, 이 분석기를 통해 프로그래머가 신뢰도와 보안성이 높은 소프트웨어를 개발할 수 있도록 하였다.

Pricing Kernel-Based Option Valuation Approach: A New Perspective

류두진 ( Doo Jin Ryu ) 한국금융공학회 2012 한국금융공학회 학술발표회 Vol.2012 No.-

This study examines the empirical performance of three model-based option valuation approaches in the KOSPI200 options market. We evaluate the in-sample pricing, out-of-sample pricing and hedging performance of the approaches based on the specification of option pricing models directly (a pricing model-based approach), on the pricing kernels implied by the option pricing models (an implied pricing kernel-based approach), and on parametric pricing kernels which are independently structured to have their own explicit functional forms (a parametric pricing kernel-based approach). Two option pricing models, a GARCH option pricing model and a Black-Scholes (BS) option pricing model, and their implied pricing kernels are analyzed and two parametric pricing kernel specifications suggested by Rosenberg and Engle (2002) are compared in a unified framework which extends the GARCH process of Duan (1995) to reflect the dynamics of asymmetric volatility. We find that the empirical performance of the approaches related to the GARCH and Black-Scholes option pricing models is moderately improved when we estimate the structural parameters using options data (options-based estimation) compared to the model performances when estimating the parameters using only a time-series of underlying returns data (underlying returns-based estimation). With the estimates under the underlying returns-based estimation, the pricing modelbased option valuation approach outperforms the implied pricing kernel-based option valuation approach for both the GARCH and BS option pricing models. However, with the estimates under the options-based estimation, this relationship is reversed in pricing OTM options in the case of the GARCH option pricing model. Although the BS option pricing model is generally the worst performer with the estimates under the underlying returns-based estimation, it yields better performance for pricing ITM options and similar performance for hedging compared to the GARCH option pricing model with the estimates under the options-based estimation. The option valuation approach based on the parametric pricing kernel of which functional form is a Chebyshev polynomial performs best out of all approaches and methods considered in this study.

시장경쟁은 기업에 어떠한 영향을 미치는가?

류두원(Doo Won Ryu),류두진(Doo Jin Ryu) 한국경영학회 2013 經營學硏究 Vol.42 No.2

Assuming an inverse association between market competition and industrial concentration, this study empirically investigates how industrial concentration affects firm values and debt ratios. We have analyzed 3,380 observations of 845 non-financial firms that have been consistently listed on the Korea Exchange from 2008 to 2011. Following the Horizontal Merger Guidelines of the U.S. Department of Justice and FTC, we divide the sample data into three sub-groups based on the Hirschman-Herfindahl Index (HHI) values: unconcentrated (i.e., competitive) market if the HHI value is less than 1,500; highly concentrated (i.e., monopolistic or oligopolistic) market if the HHI value is greater than 2,500; or moderately concentrated market if the HHI value lies between 1,500 and 2,500. In doing so, we find that the relationships among the degrees of market competition, firm value, and debt ratios are quite clear and significant in the Korean market. Our empirical results based on regression analyses are as follows. First, industrial concentration affects firm values negatively in an unconcentrated market but, affects the firm values positively in a highly concentrated market. This finding suggests that greater competition among firms enhances firm values in an unconcentrated market. It also suggests that nearly monopolistic or oligopolistic firms can more easily increase their firm values as the competition further decreases. Second, industrial concentration affects debt ratio positively in an unconcentrated market, but, affects it negatively in a highly concentrated market. This implies that fierce competition in an unconcentrated market generally influences firms to be hesitant in using debt financing, whereas lower levels of competition lead to firms increasing their debt ratios due to having less pressure of bankruptcy. In contrast, in a highly concentrated market in which the competition is originally less intense, a further decrease in the market competition encourages the firms that already have market power to decrease their debt ratios because, they have enough internal capital to sustain and operate their business without increasing their debt. The robustness tests support the indications of the regression analysis results. For a group with a low (high) level of industrial concentration determined by their HHI values, industrial concentration is shown to behave positively (negatively) with firm value and negatively (positively) with debt ratio. In other words, the firm-level effects of industrial competition are dichotomous in a cross-section of firms with varying market influences. Our findings have the following implications. First, industrial concentration and firm value have a non-linear relationship. In an unconcentrated market as Nickell(1996) points out, market competition leads firms to perform better. However, in a concentrated market, lower competition increases the value of firms that have monopolistic powers. Second, our finding suggests that the optimal capital structure might be related to the degree of market competition. Finally, the pecking order theory of Myers and Majluf(1984) can be supported by our findings

산업집중도에 따른 주식수익률 차이는 존재하는가?

류두원(Doo Won Ryu),류두진(Doo Jin Ryu),백재승(Jae Seung Baek) 한국증권학회 2014 한국증권학회지 Vol.43 No.4

본 논문은 Hou and Robinson(2006)의 창조적 파괴가설과 진입장벽가설 하에 산업집중도(시장 경쟁정도)에 따른 주식수익률의 차이에 대하여 알아보기 위하여 우리나라 주식시장 1999년부터 2012년까지의 장기간의 표본을 대상으로 연구를 진행하였다. 본 연구의 실증분석 결과는 다음과 같다. 첫째, 전체 표본을 분석한 결과, 높은 집중도를 가진 산업의 주식수익률이 낮다는 미국시장을 대상으로 분석한 결과와 유사한 현상도 일부 관찰할 수 있었으나 광범위하게 관찰하지는 못하였다. 둘째, 2008년 글로벌 금융위기를 전후로 하위 표본을 구성하여 분석한 결과 금융위기 이전 기간보다는 이후 기간에 집중도가 높을수록 수익률이 낮은 현상이 두드러지게 관찰되었다. 이는 금융위기의 영향이 한국의 주식시장에 변화를 가져왔다는 것을 암시한다. 셋째, 산업집중도의 고저에 따라서 하위 표본을 구성하여 분석하였다. 그 결과 집중도가 낮은 그룹에서는 산업집중도가 주식 수익률에 유의한 음(-)의 영향을 미치는 것으로 나타났으나, 집중도가 높은 그룹에서는 유의한 현상을 관찰하지 못하여 시장경쟁에 따라 산업집중도가 주식수익률에 미치는 영향이 달라짐을 발견하였다. 넷째, 미국시장과는 반대로 기업의 규모가 주식수익률에 양(+)의 영향을 미치고 장부-시장가치비율이 음(-)의 영향을 미치는 결과를 관찰할 수 있었으며, 이는 Gallagher and Ignatieva (2010)의 호주시장을 대상으로 한 분석결과와도 일부 일치한다. 본 논문의 결과는 한국시장이 신흥시장에서 선진시장으로 변해가는 과도기적 시장형태일 가능성을 제시하며, 한국의 시장 및 산업의 구조는 미국시장과는 사뭇 다른 특징을 가지고 있음을 암시하고 있다. This study examines how industrial concentration (i.e., market competition) affects stock market performance in the Korean financial market. Our empirical results are as follows. First, firms in more concentrated industries generally exhibit lower returns, however, this pattern is not clear. Second, by analyzing sub-samples that are classified according to the 2008 global financial crisis, we find that firms in more concentrated industries earn significantly lower returns especially during the after-crisis period. Third, an analysis based on sub-samples that are classified by the degree of industrial concentration indicates that the stock returns of firms in less concentrated industries have a significant and negative relationship with the degree of industrial concentration, however while the stock returns of firms in highly concentrated industries do not show any significant patterns. Fourth, in contrast with the findings in U.S. market, we find that Korean stock returns are positively related to size and negatively related to the book-to-market ratio.

시장경쟁은 회사채 신용등급 변경공시에 따른 주식가격반응에 어떠한 영향을 주는가?

류두원(Doo Won Ryu),류두진(Doo Jin Ryu),양희진(Hee Jin Yang) 한국경영학회 2013 經營學硏究 Vol.42 No.4

This study examines how the effects of announced bond rating changes on stock prices vary depending on the degree of market competition. We analyze long-term data of the Korean stock market from 2001 to 2011. Our sample data include 640 listed companies, of which nonguaranteed bonds suffered rating changes over this time period. Through event studies of the entire data set, we find that the stocks of firms that suffered bond rating downgrades exhibit significantly negative abnormal returns. Considering the inverse relationship between industrial concentration and market competition, we classify market states into highly competitive, moderately competitive, and uncompetitive categories based on the Hirschman-Herfindahl Index (HHI). Firms in highly competitive markets have significant stock values for cumulative abnormal returns if they suffer bond rating upgrades or downgrades. However, we are unable to identify significant movements of abnormal returns in response to bond rating changes in moderately competitive or uncompetitive markets. These results suggest that the effects of announcements of bond rating changes on stock prices depend on the degree of market competition. We divide the samples into the “before crisis” period and the “after crisis” period considering the global financial crisis in 2008, which exerts tremendous influence on global stock markets. We find that before the crisis the stock market reacts only to bond rating upgrades, while after the crisis the highly competitive markets react to bond rating downgrades. Also, we find that after the crisis uncompetitive markets react negatively to bond rating upgrades. These results support the transfer of wealth between stockholders and bondholders observed by Goh and Ederington (1993) and Abad-Romero and Robles-Fernandez (2006), and confirms that this phenomenon also exists in the Korean stock market. Possible interpretations of these results are that the financial market suffered structural changes due to the crisis, and/or that market participants were affected by the crisis. The results of additional regression analyses indicate that the effects of announcing bond rating downgrades are enhanced as the degree of industrial concentration is increased. Based on our empirical results, we conclude that the degree of market competition is closely related to the effects of announcing bond rating changes.