글로벌 금융위기 이후 한국 주식유통시장의 위험가격에 관한 연구

• 영문명: The Price of Risk in the Korean Stock Distribution Market after the Global Financial Crisis
• 발행기관: 한국유통과학회
• 저자명: Kyoung-Woo Sohn(손경우) Won-Suk Liu(유원석)
• 간행물 정보: 『유통과학연구(JDS)』제13권 제5호, 71~82쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2015.05.30

영문 초록

Purpose – The purpose of this study is to investigate risk price implied from the pricing kernel of Korean stock distribution market. Recently, it is considered that the quantitative easing programs of major developed countries are contributing to a reduction in global uncertainty caused by the 2007~2009 financial crisis. If true, the risk premium as compensation for global systemic risk or economic uncertainty should show a decrease. We examine whether the risk price in the Korean stock distribution market has declined in recent years, and attempt to provide practical implications for investors to manage their portfolios more efficiently, as well as academic implications. Research design, data and methodology – To estimate the risk price, we adopt a non-parametric method; the minimum norm pricing kernel method under the LOP (Law of One Price) constraint. For the estimation, we use 17 industry sorted portfolios provided by the KRX (Korea Exchange). Additionally, the monthly returns of the 17 industry sorted portfolios, from July 2000 to June 2014, are utilized as data samples. We set 120 months (10 years) as the estimation window, and estimate the risk prices from July 2010 to June 2014 by month. Moreover, we analyze correlation between any of the two industry portfolios within the 17 industry portfolios to suggest further economic implications of the risk price we estimate. Results – According to our results, the risk price in the Korean stock distribution market shows a decline over the period of July 2010 to June 2014 with statistical significance. During the period of the declining risk price, the average correlation level between any of the two industry portfolios also shows a decrease, whereas the standard deviation of the aver-age correlation shows an increase. The results imply that the amount of systematic risk in the Korea stock distribution market has decreased, whereas the amount of industry-specific risk has increased. It is one of

목차

1. 서론

2. 선행연구 고찰

3. 연구방법론

4. 연구결과

5. 연구결과 토론 및 시사점

References

키워드

Stock Distribution Risk Price Pricing Kernel Global Uncertainty Quantitative Easing