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한국과 미국 ETF 시장의 효율성 비교에 관한 연구:KODEX200과 SPDR을 대상으로

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Abstract
This paper explores the efficiency comparison of Korea and U. S. Exchange Traded Fund(ETF hereafter) markets with respect to the KODEX200 and SPDR and their corresponding the day-of-the-week effect, the intraday effect and the information spillover effect among the cash, futures, and ETF Markets. We investigates the efficiency comparison using transaction data from the KODEX200, the most actively traded ETF in Korea with the underlying index of KOSPI200 and SPDR in U. S. ETF Markets with the underlying index of S&P500. We examine the-day-of-the-week effect in Korea and U. S. stock market from using average return and the conditional variance equation of the GARCH-M model. In addition, we determine whether the daily returns and volatility effect is related with the-day-of-the-week effect. The empirical results are summarized as follows. First, there is the-day-of-the-week effect in the conditional returns equation. That is, the results of the-day-of-the-week of returns for Korea stock indices, the average returns on Tuesday is statistically significant lower than that observed on Thursday, and for S&P500 futures and SPDR, the average returns on Tuesday is statistically significant higher than that observed on Thursday.
Second, there is the-day-of-the-week effect in the conditional volatility equation. That is, the findings of the volatility for KODEX200, KOSPI200 spot and futures is observed on Monday and Tuesday statistically significant lower than that observed on Thursday, and for S&P500 spot is observed on all days statistically significant lower than that observed on Thursday and S&P500 futures is observed on Wednesday and SPDR on Tuesday statistically significant higher than that observed on Thursday. and the results of the-day-of-the-week effect of volume for KOSPI200 spot, the average volume on Monday, Tuesday and Friday is statistically significant lower than that observed on Thursday, and for S&P500 spot and SPDR, the average volume on Friday is statistically significant lower than that observed on Thursday.
Third, the results of the-day-of-the-week effect and January effect, the-day-of-the-week effect showed that the returns for KOSPI200 spot and futures on January excluded is statistically significant, and for KODEX200 on January included is statistically significant. While, the-day-of-the-week effect for SPDR, S&P500 spot and futures on January included is statistically significant.
Fourth, the results of analysis to the intraday effect and the day of the week effect showed the noise pattern that there is not clear intraday pattern in returns which is very different from the previous studies of USA(U-shaped) and Korean Stock Market(V-shaped). and Korea is very low accumulation average return on Monday compared to another days of the week, the United States had the day of the week on Friday, it was found that negative returns occurs for the accumulation average return continuously. Therefore, it suggests that considering transaction costs can not be found any more economic investment strategies using the intraday pattern of returns in all price indices in Korea and the United States.
Fifth, we determine the information spillover effect among the stock indices using M(multivariate)-GARCH model and the high frequency data(HFD) of Korea and U. S. stock market. We have found that the KOSPI200 spot (SPDR) adjusted to restore equilibrium when the cointegrating relationship between KOSPI200 (S&P500) spot and KOSPI200 futures (SPDR) is perturbed by the arrival of market information.
While, we have also found that KODEX200 (S&P500 spot) does not adjust to restore equilibrium when the cointegrating relationship is perturbed by the arrival of market information, KOSPI200 futures (SPDR) and KODEX200 (S&P500 futures) use the KOSPI200 (S&P500) spot to represent the market equilibrium price with the KOSPI200 futures (SPDR) responding faster than the KOSPI200 (S&P500) spot.
Lastly, KOSPI200 futures (SPDR) volatilities spillover both KODEX200 (S&P500 futures) and KOSPI200 (S&P500) spot markets and this happen in the reverse direction with a strong effect from the KOSPI200 (S&P500) spot to KODEX200(S&P500 futures) the overall findings indicate that the KOSPI200 futures (SPDR) dominates KODEX200 (S&P500 futures) and KOSPI200 (S&P500) spot in the price discovery process.
Author(s)
하태헌
Issued Date
2014
Awarded Date
2015. 2
Type
Dissertation
URI
http://dcoll.jejunu.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000007011
Department
대학원 경영학과
Table Of Contents
Ⅰ. 서 론 1
1. 연구의 배경 및 목적 1
2. 연구 내용 및 연구방법 4
3. 논문의 구성 5
Ⅱ. 이론적 고찰 및 선행연구 7
1. 요일효과에 관한 선행연구 7
1.1. 수익률의 요일효과에 관한 선행연구 7
1.2. 변동성의 요일효과에 관한 선행연구 9
1.3. 시간가변성의 요일효과에 관한 선행연구 10
2. 일중효과에 관한 선행연구 11
3. 정보전이효과에 관한 선행연구 13
Ⅲ. 한국과 미국시장의 요일효과 비교 17
1. 이례현상과 요일효과 17
2. 표본자료 18
3. 연구방법론 20
3.1. 수익률과 변동성의 요일효과 분석 20
3.2. 거래량변화율과 변동성의 요일효과 분석 24
3.3. 요일효과와 1월효과의 관련성 분석 25
4. 실증분석결과 26
4.1. 기초통계량 26
4.2. 가격 및 거래량의 변동추이 29
4.3. 수익률과 거래량변화율의 분포 33
4.4. 수익률과 변동성의 요일효과 49
4.5. 거래량 변화율과 변동성의 요일효과 67
4.6. 요일효과와 1월효과의 관계 88
Ⅳ. 한국과 미국시장의 일중효과 비교 97
1. 이례현상과 일중효과 97
2. 자료 및 연구방법론 98
2.1. 표본자료 98
2.2. 일중 시간대의 구분 99
2.3. 시간대별 수익률의 측정방법 101
2.4. 분석방법 101
3. 실증분석결과 102
3.1. KOSPI200 현물시장 102
3.2. KOSPI200 선물시장 107
3.3. KODEX200 ETF 시장 111
3.4. S&P500 현물시장 118
3.5. S&P500 선물시장 121
3.6. SPDR ETF 시장 125
Ⅴ. 한국과 미국시장의 정보전이효과 비교 133
1. 시장효율성과 정보전이효과 133
2. 표본자료 133
3. 연구방법론 134
3.1. 선‧후행 관계 분석 135
3.2. 공적분 검정 135
3.3. VECM 검정 136
3.4. 변동성전이효과의 측정 137
4. 실증분석결과 139
4.1. 기초통계량 139
4.2. 자기상관계수 141
4.3. 선․후행 관계 분석결과 144
4.4. VECM의 인과관계 분석 150
4.5. 변동성전이효과의 측정 결과 156
Ⅵ. 결 론 163
1. 연구의 요약 163
2. 연구의 시사점 166
3. 연구의 한계점과 향후 연구방향 167
부 록 169
참고문헌 173
Abstract 179
Degree
Doctor
Publisher
제주대학교 대학원
Citation
하태헌. (2014). 한국과 미국 ETF 시장의 효율성 비교에 관한 연구:KODEX200과 SPDR을 대상으로
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