ELS와 DLS 및 ELF 파생결합증권상품 간 상호 영향에 관한 실증적 연구

• 영문명: An Empirical Study on the Mutual Influence among ELS, DLS and ELF in the Derivatives Market
• 발행기관: 한국무역연구원
• 저자명: 임병진(Byung-Jin Yim) 최원근(Won-Gun Choi)
• 간행물 정보: 『무역연구』제10권 제4호, 915~930쪽, 전체 15쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.09.30

영문 초록

This empirical study on the mutual influence among ELS(equity-linked security), DLS(derivatives-linked security, DLS) and ELF(equity-linked fund, ELF) in the derivatives-linked security market used monthly data over the period from January 2010 to June 2014 covering 41 trading months in the research. In this paper, the data were differentiated by taking natural logarithms. Data were analysed using VAR(Vector Autoregressive), impulse response, variance decomposition and Granger causality. The main findings of the study were as follows. First, the correlation between ELS and DLS was found to be strong at (+)0.702410, while the correlation between ELS and ELF was (-)0.020266 and the correlation between DLS and ELF was (+)0.182662. Second, the level variables of the monthly sales for ELS and DLS were found to be non-stationary, but their first difference of Log provided a stationary time series. The monthly sales variables of ELF were, however, shown to be non-stationary both before and after their first difference. Third, there was at least one cointegration relationship between ELS, DLS and ELF. Finally, DLS and ELF Granger caused ELS.

목차

Abstract

Ⅰ. 서론

Ⅱ. 파생결합상품 ELS와 ELF 및 DLS 고찰과 문헌연구

Ⅲ. 연구자료 및 연구모형

Ⅳ. 실증연구 결과분석

Ⅴ. 결론

참고문헌

키워드

ELS DLS ELF derivatives-linked security market Granger Causality correlation