한국 상장리츠 주식가격의 특성에 관한 연구

다국어 초록 (Multilingual Abstract)

With the help of the long-standing low-interest rate trend in the financial market and policy liquidity following the Covid-19 Pandemic, interest in alternative investments is increasing in the domestic financial market. In particular, listed REITs have been remarkably active in the domestic financial market in recent years and investors' interest in listed REITs is also increasing as an alternative investment product that pursues medium risk medium returns. Listed REITs are attracting attention as they can trade in the stock market with available small transaction unlike private real estate funds and unlisted REITs, which have inconveniences in transaction for individual investors due to large minimum investment amount and unavailable market transaction.
As of the end of December 2017, the market capitalization of listed REITs in Korea was only 0.12 trillion won, but as of the end of June 2022, it increased to 20 and the market capitalization reached 7.5 trillion won. In addition, individual REITs' investment assets are growing qualitatively diversified to logistics facilities, real estate development projects, overseas real estates, hotels, gas stations, and data centers away from office buildings or retails which were traditional investments of REITs. Under this background, the need for research on domestic listed REITs is now increasing.
This study analyzed the characteristics of the return on stock prices of listed REITs by dividing the period before(T1) and after(T2) domestic listed REITs were activated, by creating the listed REITs stock index using data from the past 10 years of domestic listed REITs. Korean REITs index, KOSPI index, Korean government bond futures index and USD/KRW futures index returns were analyzed in time series for each period. To compare US market case, US REITs index, S&P500, 5yr US Treasury Note Futures and US dollar index were also examined. In addition, an empirical analysis was conducted on the co-movements of the global REITs market with the Korean REITs Index and the representative REITs index of five major countries such as the United States, United Kingdom, Australia, Singapore and Japan. And an analysis was conducted on the relationship between Korean REITs Index and the real estate market variables using data from the weekly apartment price index and apartment supply and demand trend of city of Seoul. Finally, portfolios containing listed REITs, infrastructure funds, and real estate funds were formed to compare the performance of each portfolio by dividing it into a period of falling interest rates and rising interest rates using the Sharpe Index.
To summarize the research results of this paper, first, as a result of the estimation of the VEC model for [Hypothesis 1], the stock market and the foreign exchange market had a significant negative (-) effect on the domestic listed REITs index over the entire period, but the bond market was not significant. In the results of robustness check using the IGARCH model, it was found that only the stock market had a significant positive (+) effect. [Hypothesis 1-1] that the effect of stocks, bonds, and foreign exchange market returns on Korean listed REITs index returns would decrease at T2 compared to T1 was supported and consistent with the former study, according to the results of VEC model estimation. However, in the results of robustness analysis using the IGARCH model, the USD/KRW futures index was added as a significant variable in the T2 period and did not support [Hypothesis 1-1].
Second, in the case of the US market, as a result of the estimation of the VEC model for Hypothesis 2, only the bond market showed a significant positive (+) effect throughout the entire period, but the IGARCH model showed a significant positive (+) effect not only in the bond market but also in the stock market. Also the influence of other financial variables on the US REITs index was found to have decreased at T2 than at T1, indicating that [Hypothesis 2-1] was supported, but this could not be confirmed in the robustness check results.
Third, the empirical analysis results related to the synchronization between global REITs indexes showed evidence of [Hypothesis 3] that the Korea Listed REITs Index has synchronization with the REITs indexes of other major countries (US, UK, Australia, Singapore, and Japan). And the empirical analysis on the synchronization between the global REITs indexes showed that the degree of synchronization of the Korean listed REITs index with the REITs index in other major countries was weaker at T2, so [Hypothesis 3-1] was rejected, and no evidence was found to support [Hypothesis 3-1] in the robustness test.
Fourth, as a result of the VEC model analysis on the relationship between listed REITs and real estate, the listed REITs index was not significantly affected by the real estate price index or real estate supply and demand trends, resulting in [Hypothesis 4] being rejected. And [Hypothesis 4-1] that fluctuations in domestic real estate prices and supply and demand trends would have a smaller impact on T2 than T1 was rejected and no meaningful results were found in the robustness verification.
Fifth, [Hypothesis 5] The VEC model analysis of the relationship between domestic infrastructure funds and real estate funds and the listed REITs index showed a significant negative (-) effect over the entire period, and all IGARCH model verification showed a significant positive (+) effect. Also the analysis of [Hypothesis 5-1] on whether fluctuations in domestic infrastructure and real estate fund yields will affect T2 more than T1 did not support the hypothesis in the estimation results of the VEC model, impulse response functions analysis. However the results of the forecasting error variance decomposition analysis and robustness verification supported the hypothesis.
Sixth, as a result of portfolio performance analysis including listed REITs, the portfolio's Sharpe index, which includes the Korean REITs index, has been higher in T2, and the Sharpe index was higher in the interest rate fall than rise, supporting [Hypothesis 6]. The same results were found in the robustness verification checks using tangent portfolio that optimizes the Sharpe index.
Overall, the significance of this study is to clarify the characteristics of Korean listed REITs stock prices through empirical analysis, and to find evidence that the portfolio effect of real estate indirect investment products can be expected according to the method of composition of the portfolio according to market conditions.
This study will provide useful information to investors, fund managers, or policymakers in that real estate indirect investment products become an important factor that can contribute to the fund's investment performance when forming a complex asset portfolio.

목차 (Table of Contents)

• 제1장 서론 1
• 제1절 연구의 목적 및 의의 1
• 제2절 연구의 구성 4
• 제2장 선행연구 6
• 제1절 한국 상장리츠 시장에 대한 이해 6
• 1.1 국내 리츠제도의 도입 배경 6
• 1.2 국내 리츠시장 현황 8
• 1.3 국내 상장리츠 현황 9
• 제2절 리츠의 수익-위험 특성과 관련된 연구 14
• 제3절 리츠 수익률 영향요인에 대한 연구 17
• 제4절 부동산간접투자상품의 분산투자 효과에 대한 연구 20
• 제5절 글로벌 리츠시장의 동조화에 관한 연구 23
• 제3장 자료 및 연구방법 26
• 제1절 연구자료 26
• 1.1 연구 기간 26
• 1.2 한국 상장리츠 지수의 산출 26
• 1.3 주요 국가의 상장리츠 지수 28
• 1.4 국내 시장 금융변수 31
• 1.5 미국 시장 금융변수 31
• 1.6 국내 실물 부동산 변수 32
• 1.7 각 변수의 수익률 계산방법 33
• 제2절 연구가설 33
• 2.1 한국 금융시장변수들과 상장리츠의 상호 연관성에 대한 가설 33
• 2.2 미국 금융시장변수들과 상장리츠의 상호 연관성에 대한 가설 34
• 2.3 한국과 글로벌 상장리츠 시장 동조화에 대한 가설 35
• 2.4 상장리츠와 실물 부동산과의 연관성에 대한 가설 35
• 2.5 상장리츠와 인프라펀드 및 부동산펀드와의 연관성에 대한 가설 36
• 2.6 상장리츠가 포함된 포트폴리오의 성과에 관한 가설 36
• 제3절 연구방법 39
• 3.1 그랜저인과관계 검정(Granger Causality Test) 39
• 3.2 벡터오차수정 모형(VEC Model) 40
• 3.3 적분된 일반화 자기회귀 조건부 이분산 모형(IGARCH Model) 44
• 제4장 실증분석 결과 47
• 제1절 한국 금융시장변수들과 상장리츠의 상호 연관성 47
• 1.1 기초통계량 및 상관관계 분석 47
• 1.2 자기상관계수 및 단위근 검정 51
• 1.3 차수의 결정 및 공적분 검정 53
• 1.4 그랜저인과관계 검정 54
• 1.5 VEC 모형 추정 57
• 1.6 충격반응함수 추정 60
• 1.7 예측오차 분산분해 분석 62
• 1.8 IGARCH 모형을 사용한 강건성 검증 64
• 제2절 미국 금융시장변수들과 상장리츠의 상호 연관성 66
• 2.1 기초통계량 및 상관관계 분석 66
• 2.2 자기상관계수 및 단위근 검정 70
• 2.3 차수의 결정 및 공적분 검정 70
• 2.4 그랜저인과관계 검정 72
• 2.5 VEC 모형 추정 76
• 2.6 충격반응함수 추정 79
• 2.7 예측오차 분산분해 분석 81
• 2.8 IGARCH 모형을 사용한 강건성 검증 83
• 제3절 한국과 글로벌 상장리츠 시장 동조화 85
• 3.1 기초통계량 및 상관관계 분석 86
• 3.2 자기상관계수 및 단위근 검정 89
• 3.3 차수의 결정 및 공적분 검정 91
• 3.4 그랜저인과관계 검정 91
• 3.5 VEC 모형 추정 95
• 3.6 충격반응함수 추정 98
• 3.7 예측오차 분산분해 분석 101
• 3.8 IGARCH 모형을 사용한 강건성 검증 103
• 제4절 상장리츠와 실물 부동산과의 연관성 105
• 4.1 기초통계량 및 상관관계 분석 105
• 4.2 자기상관계수 및 단위근 검정 109
• 4.3 차수의 결정 및 공적분 검정 111
• 4.4 그랜저인과관계 검정 111
• 4.5 VEC 모형 추정 115
• 4.6 충격반응함수 추정 117
• 4.7 예측오차 분산분해 분석 120
• 4.8 IGARCH 모형을 사용한 강건성 검증 122
• 제5절 상장리츠와 인프라펀드 및 부동산펀드와의 연관성 124
• 5.1 기초통계량 및 상관관계 분석 125
• 5.2 자기상관계수 및 단위근 검정 129
• 5.3 차수의 결정 및 공적분 검정 129
• 5.4 그랜저인과관계 검정 130
• 5.5 VEC 모형 추정 134
• 5.6 충격반응함수 추정 136
• 5.7 예측오차 분산분해 분석 139
• 5.8 IGARCH 모형을 사용한 강건성 검증 141
• 제6절 상장리츠가 포함된 포트폴리오의 성과 142
• 6.1 상장리츠가 포함된 포트폴리오의 성과 143
• 6.2 인프라펀드 및 부동산펀드와의 포트폴리오 성과 비교 147
• 제5장 결 론 152
• 제1절 연구 요약 152
• 제2절 연구 결론 및 시사점 155
• 제3절 연구의 한계점 및 향후 과제 156
• 부 록 157
• 참고문헌 167
• 영문초록 173

참고문헌 (Reference)

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2. 주택가격은 리츠펀드 가격을 선도하는가?, 이세우, 김주일, 한국회계정보학 회, 14(3), 199-223, , 2014

3. 한 중 주식시장간 동조화는 강해지고 있는가?, 정재만, 정태영, 재무관리연 구, 27(3), 119-149, , 2010

4. 부동산투자회사의 수익-위험 특성에 관한 연구, 박정호, 김관영, 부동산학 연구, 13(2), 5-20, , 2007

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7. REITs의 수익률 특성 분석: 한미간 비교분석을 중심으로, 박원석, 지리학 연구, 37(4), 455-471, , 2003

8. 부동산시장에 대한 CAPM 적용에 있어서 EGARCH-M 모 형의 활용, 민성훈, 노상윤, 부동산연구, 24(4), 195-205, , 2014

9. GARCH류 모형을 활용한 비트코인의 가격변화 특성에 관 한 연구, 김홍배, 정대성, Journal of the Korean Data Analysis Society, 24(2), 665-681, , 2022

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