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한국자본시장에서 보험업 주가의 불변 및 시변 분산 -공분산 구조에 관한 연구-
손관설,김계홍 한국리스크관리학회 2009 리스크 관리연구 Vol.20 No.2
The variance-covariance structure is very important in area of diversification effect, hedge ratio, capital management, and so on. Recently, adopting time varying variance structure, Najand, Griffith and Marlett(2007) showed that insurance sector could outperform over market. This study implies that dynamics of insurance stock price has idiosyncratic characteristics comparing to other industries. This paper has forecasted variance and covariance structure of insurance stock to examine whether insurance stock of Korean capital market is idiosyncratic, by factor analysis, cluster analysis and S-GARCH methods introduced by Harris, Stoja and Tucker(2007). The empirical results dealing with constant and time varying variance-covariance structure of 18 industry indices in Korean capital market show that idiosyncratic characteristics of insurance stock price is effective as previous US market studies. In other words, dynamics of insurance stock has other determinants comparing to other industries. Especially, in case of bear market, co-movement between insurance sector and market is lower than other industries, so risk adjusted return and diversification effect would be larger than other industries.
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손관설(Kwan Seol Son),정홍주(Hong Joo Jung) 성균관대학교 무역연구소 2016 Asian Trade Risk Management(ATRM) Vol.1 No.1
본 연구는 기존 신흥국 중심을 한 연구와 달리 2008년 선진경제국인 미국을 대상으로 한국가리스크 및 전염성 효과를 분석하는 것을 목적으로 하고 있다. 실증분석 결과, 국가리스크가 경제규모, 전염 정도 및 지속성 등에서 차별적 행태가 나타났으며 이는 글로벌 위기 확장 과정에서 모든 국가가 자기 반응적 특수성을 가지고 있다는 것을 반증하다고 볼 수 있다. 또한 전염과 자기증폭적 현상을 발견하였다, 이는 전염된 국가는 리스크를 계속 증폭시키고 있다는 것이다. 국가리스크 전염이 동시대적으로 발생하지 않고 최초 진원지로부터 일정 시차를 부고 발생함을 발견하였다. 이런 연구결과에도 불구하고 데이터의 일관성, 보편성, 측정도구의 견고성 측면에서 추후 연구가 필요해 보인다. 이에 추후 연구는 국가리스크 및 전염성에 대해 보다 국지 도는 글로벌 위기로 보편화될 수 있는 측정도구 연구가 집중하였으면 한다. This research aims to analyze country risk, contagion effect in the 2008 global financial crisis, originating from an advanced economy (U.S.A), contrary to the previous ones from emerging economy. The empirical analyses result in the following results. First, country risk differs among economic levels, contagion levels and durations. That is, each and every country had its own responsive characteristic during global crisis expansion process. Second, contagion had self-amplification characteristics. It means that once contagioned, the countries will be more contagioned than otherwise. Also, contagion had lag effect which contagion didn't simultaneously occur with origin time of crisis. In spite of a few new findings, this study has its own limitation, such as data consistence, university and robustness of measurement, especially robustness of country risk contagion model. The further studies are expected to continue in order to measure country risk and contagion, contagion channel model in term of regional and global crisis.
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전기석(Ki Suk Jeon),손관설(Kwan Seol Son) 한국보험학회 2001 보험학회지 Vol.59 No.-
The Korean financial industry has experienced the biggest restructuring program after IMF crisis. Today, it is popular rule that incompetent financial institutions will be withdrawn. That is why financial institutions launch many programs enhancing the efficiency of management. The Korean government has made helpful policies such as, financial support, deregulation, and so on. But there are not profound studies on the performance of these policies. This paper provides the empirical results on the performance of life insurance industry in terms of efficiency. This paper uses the Translog cost function approach and the DEA approach for analyzing the efficiency of life insurance industry. The empirical results said that the efficiency of life insurance industry decreased in term of the Translog cost function approach and increased in term of the DEA approach. Also this paper shows what determines the efficiency of life insurance industry and suggests some implications based on the empirical results.
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