지방은행의 경쟁력 강화방안

변종국(Jongcook Byun) 영남대학교 산경연구소 2005 영상저널 Vol.13 No.-

지역균형발전을 주창하는 참여정부의 정책이 성공을 거두기 위해서는 지역 산업에 자금을 지원하는 금융제도의 완비가 선결과제이다. 금융의 수도권 집중현상이 점점 가속되고 있는 이 때 지역금융을 활성화가기 위한 지방은행의 경쟁력 강화 전략이 필요하다. 지방은행의 경쟁력 강화는 제도적인 측면에서 보완하여야 할 것이 있으며, 동시에 내부적인 경영혁신이 요구된다. 본 연구는 금융의 제도적인 측면에서 지방은행의 경쟁력 강화를 보완하여야 할 것을 제시하는데 그 목적이 있으며, 지역금융의 활성화를 위한 외국의 사례를 비교 평가하여 한국의 실정에 맞는 제도를 제시한다.

만기이월과 내재변동성

변종국 ( Jongcook Byun ),이정우 ( Jung Woo Lee ) 한국금융공학회 2010 금융공학연구 Vol.9 No.4

본 연구는 KOSPI200 주가지수 옵션의 거래가 주로 근월물에 집중되는 나타나기때문에 옵션이 원월물에서 근월물로 이월될 때 옵션의 내재변동성에 유의적인 변화가 발생한다면 옵션의 가격은 Black-Schole 모형의 5가지 변수에 의해서만 설명하기에는 한계가 있다는 측면에서 시작되었다. 만기가 이월될 때 내재변동성의 변화를 만기효과로 명명하고 그 원인을 분석하고자 하였다. 이를 위하여 외환위기 이후에 옵션 거래가 활밯히 거래되고 있는 2003년부터 2009년까지의 KOSPI 200 지수 콜옵션과 풋옵션의 일별자료를 이용하였다. 대부분의 거래가 잔여만기 1개월 이하 옵션에 집중되어 나타나기 때문에 만기 1개월 이상을 원월물, 1개월 미만을 근월물로 분류하였다. 분석결과 만기일에 콜과 풋옵션 모두 유의적으로 내재변동성 증가현상을 보였고, 만기 다음날에는 콜과 풋옵션 모두에서 유의적으로 내재변동성 감소현상이 나타났다. 이러한 만기일의 내재변동성 증가현상과 만기 다음날의 내재변동성 감소현상은 대부분의 거래가 근월물에 집중되어 나타난 결과로 옵션의 거래량이 옵션가격에 중요한변수라는 것을 알 수 있었다. 또한 옵션시장의 투자자 중에서 개인투자자의 비중이높을수록 만기일의 내재변동성은 현저히 증가한다는 것을 알 수 있었다. 이는 개인투자자들은 기관에 비하여 상대적으로 투기성이 높은 관계로 개인투자자들의 비중이 많아지면 투기적 거래가 증가하고 이로 인하여 내재변동성이 증가하는 것으로 판단된다. 특히 머니니스별로 볼 때 외가격 옵션에서 만기일에 내재변동성의 가장 많이 증가하였다가 만기다음 날 하락 폭이 많았고, 개인투자자의 비중이 높을수록 이러한 현상은 더 유의적인 것을 볼 때 거래가 근월물에 집중되는 현상과 개인투자자의 투기적인 성향이 내재변동성에 많은 영향을 미친다는 것을 확인할 수 있었다. This study is analyzing the effect of roll-over on the implied volatility of KOSPI 200 Stock Index Options, and tries to find the possible reason for the roll-over effect in the Korean options market. We collected daily option and put price data from 2003 to 2009, when the 200 Stock Index Options were tradedactively after the crisis of Korean foreign exchange market in 1997. We found that the implied volatility of the call and put options was statistically significantly increased on the day of maturity, and decreased in the next day of maturity. In the matter of this fact that the implied volatility fluctuated around the maturity, we knew that the trading volume, the open interests, and type of investors were critical variables from the time series cross sectional regression analysis. This might be the special preference that the investors in the Korean options market are concentrated in the spot month. When we classified the options into the moneyness, the OTM was the highest in the level of increases and decreases of the implied volatility around the day of maturity. This trend was more severe when the weight of individual investors was high and the option was the OTM. From this results, we can conclude that the speculative tendency of the individual investors who put more weight on the OTM as well as the spot month will affect the implied volatility on rolling over maturity.

시장기준을 적용한 공기업 경영평가 모형

변종국(Jongcook Byun) 한국경제통상학회 2010 경제연구 Vol.28 No.3

본 연구는 현재 시행되고 있는 공기업 경영평가의 문제점을 최소화하는 새로운 공기업 평가모형을 제시하는 것이 목적이다. 현재 적용되는 평가지표는 추상적이며 비계량화되어 평가자의 자의적인 판단과 피평가기관 자체 평가보고서에 의해 주관적인 평가결과를 배제할 수 없는 문제점을 가지고 있다. 특히 일반 사기업의 기준에서 보면 경영상태가 저조한 공기업도 공기업들만을 대상으로 하는 평가에서 우수 판정을 받는다면 성과급을 받는 오류를 범하고 있다. 따라서 공기업의 평가에 사기업의 경영실적을 바탕으로 평가하는 시장기준에 의한 평가와 동시에 공기업들간의 경영실적 우선순위를 상대적으로 반영하여 종합평가를 하여야 현행 평가제도의 문제점을 보완할 수 있을 것이다. 이를 위하여 본 연구에서는 상장기업 표본으로부터 유의한 기업특성변수를 선정하기 위해 판별분석과 LOGIT 모형을 이용하여 시장평가지수(MPI: Market Performance Index)와 공기업들을 대상으로 피평가기관의 순위를 표준정규분포를 이용하여 점수화한 상대평가지수(RPI: Relative Performance Index)를 추정하여 이를 평균화한 경영평점지수(MSI: Management Scoring Index)를 최종 경영평가점수로 하는 평가모형을 제시한다. MSI는 시장과 공기업 모두에서 평가지표를 반영하는 경영점수이므로 민간기업의 견지에서 비효율적인 경영을 하는 공기업이 보상을 받는 경우는 방지할 수 있을 것으로 판단된다. The objective of this study is to provide the new performance evaluation model to minimize the problems of the current evaluation model for public firms. The current model is so abstract and non-quantitative that it creates too much subjective evaluation by the evaluators' group. From the perspectives of private firms, it is not acceptable that a public firm with bad performance receives the rewards. The reason why this case is occurred is that the evaluation is made only for the public firms themselves which are running inefficiently. Even if a public firm is far behind from the good management from the sight of private sector, it can be the best among the public firms so that the CEO of the firm receives enough reward and bonus. If we take the evaluation criterion based on the market, the negative results mentioned above might be mitigated. Thus, the model under consideration for this study will estimate the MPI(Market Performance Index) by using the firm characteristic variables which are chosen from the discriminant analysis as well as Logit model. And the RPI(Relative Performance Index) will be estimated by the standardized normal distribution for the public firms. Then, MPI and RPI are averaged to get the final performance score of MSI(Management Scoring Index). Since MSI take the both attributes from the market and public firms themselves, we believe that it will prevent a bad public firm from receiving rewards.

국가 간 축구경기에 따른 투자자 심리와 주식시장 반응

이현정 ( Hyunjung Lee ),변종국 ( Jongcook Byun ) 아시아.유럽미래학회 2013 유라시아연구 Vol.10 No.1

The traditional financial theory states that all investors undertake rational decision-making which are dependent on risks and benefits. However, in reality, we see those investors involved in financial decision- making often influenced by ``psychological convenience``. This study examines the sports-induced effect on the stock market and the behavioral response of investors. This analyzes the link between psychological ``behavioral biases`` to the capital asset pricing. The main assumptions on the investor sentiment variables are as follows; First, it must create substantial mood-swing effects on national level that would in turn affect asset-pricing. Second, the effect must encompass the outliers and those outliers who invest in the stock market. Third, the outcome of the investors response must be in unity. The international football match is one of the sports game which satisfies all three assumptions. And this study is based on the ``World Cup`` where we will look at how national interest has affected the stock price. Similarly, we will look at other events such as Asian Cup and Olympics to find their effects on the stock market. We have investigated from 2002 World cup series starting from 02/01/2002 till 31/08/2012 (10 years 8 months) and we used KOSPI``s closing price for checking daily stock returns. We have selected 4 groups from professional football club owners, sports marketing sector, distributors and food &beverage industries. These groups were selected as they are highly in correlation to the sports industry and will be useful to follow the before- and after-effects of the international sports match, not only on people``s interest but their behavioral difference due to psychological effects towards the stock market. The post-analysis of the market’s response was not as expected and did not show any correlation to the international football match results during the analytical period. However, these may result from the mere interest of the public that does not affect the investment psychology or on the day of match, there was a mixture of games that investors may take an interest and those that may not. KOSPI’s response towards the major football matches, such as the World cup, showed relatively significant correlation in stock returns at levels close to 5% confidence interval. Although the correlation between the wins and losses was not shown significant, the abnormal rate of return was more decreased after the losses than the wins. These results were the same in both preliminary and the World cup, which means that the loss effect is existing at some degree in the Korean market. To test the hypothesis that the international sports game affects the sports-related industries’ with an increases of interest from the public, we have divided and analyzed the industries in 4 sectors. The analysis show that during the whole match season, firms in distribute industries were affected positively in the abnormal returns. Interestingly, at the world cup preliminary match, there was positive abnormal return in losses than in the wins. The food and beverage industries showed positive abnormal return, and this result was consistent in the preliminary match. The result of regression analysis showed the similar results in the mean difference analysis. The abnormal rate of return was relatively higher in the winning gaame than the losses. In the case of the world cup, the regression coefficient of companies`` group with football team was 0.217 (t=2.072), while the coefficient of sports-related industrial group was 0.036 (t=3.939). This tells that the public interest in world cup finals indeed affect more positively than that in the other games in the stock market. On the other hand, there was no significant differences in the abnormal return between the friendly match. This means that winning or losing effect in the stock market is depending on the on the degree of national/public interest and attention for the sport games. In whole, there was bare evidence in the effect of international football match on the stock market system, but there seem direct/indirect effects on the share of the sports-related industries where it showed stronger loss effect with greater drop of share than the winning effect with abnormal stock return.