가격제한폭의 확대가 주가변동성에 미치는 영향

형남원 ( Namwon Hyung ),송영훈 ( Younghoon Song ),이은광 ( Eunkwang Lee ) 명지대학교 금융지식연구소 2021 금융지식연구 Vol.19 No.2

본 논문에서는 국내 주식시장에서 시행된 가격제한폭 확대 정책이 코스피지수 및 코스닥지수 수익률의 변동성에 미치는 영향을 살펴보았다. 가격제한폭 확대 전후의 주가수익률의 변동성을 비교하기 위해 시변(time-varying)하는 변동성의 특성이 잘 반영되는 EGARCH 모형에 가격제한폭 확대 전후의 시기를 구분하는 더미변수를 함께 사용하였다. 본 논문은 기존 연구와는 달리 가격제한폭 확대를 실시한 시장만 분석한 것이 아니라 가격제한폭을 확대하지 않은 다른 시장의 변동성 증감 여부도 함께 확인하였다. 이를 통해 가격제한폭 확대라는 제도 변경 효과 외에도 변동성에 영향을 미칠 가능성이 있는 거시경제 등 다른 요인의 효과를 측정함으로써 가격제한폭 확대 정책의 순효과를 식별할 수 있었다. 이는 기존의 어느 연구에서도 시도하지 않았던 방법으로 본 논문의 독창적인 기여이다. 가격제한폭제도가 투자자에게 냉각기간을 제공하여 시장의 정보를 재평가할 수 있는 시간을 제공함으로써 과민반응을 억제하여 주가의 내재적 가치의 변화와 상관없는 노이즈에 의한 심한 가격변동을 방지하는 역할을 한다는 주장에 근거하는 과민반응 가설은 가격제한폭의 도입이 변동성을 감소시킬 것으로 예상하고 있는 가장 일반적인 견해이다. 반면 주가가 가격제한폭에 도달한 경우 균형가격에 대한 불확실성의 증가로 오히려 변동성이 증가할 수 있음을 주장하는 견해도 있다. 상반되는 두 견해에 따르면, 가격제한폭의 확대가 이루어지는 경우 전자는 변동성의 증가를 우려하는 반면, 후자는 (가격발견 기능의 강화에 따른) 시장의 효율성 증가로 변동성이 감소할 가능성을 제시한다. 한국 주식 시장에서의 가격제한폭을 확대한 시장만 분석한 경우 변동성의 증가 혹은 감소가 혼재되어 나타났다. 그러나 가격제한폭의 확대 전후의 다른 시장의 변동성의 변화를 고려하면, 과거 수차례 이루어진 가격제한폭의 확대 사례 모두에서 해당 시장의 변동성이 상대적으로 감소하는 효과가 일관되게 관찰되었다. 이러한 사실은 가격제한폭의 확대는 다른 조건이 일정하다면 주식시장의 변동성의 감소를 초래한다는 두 번째 주장을 지지하는 결과이다. 따라서 가격제한폭제도가 투자자에게 냉각기간을 제공하여 과민반응을 억제하고 노이즈에 의한 심한 가격변동을 방지한다는 주장에 근거한 가격제한폭 제도 도입의 옹호론자에 대한 반박의 근거로 평가된다. We examine the relationship between price limits and stock market volatility in the Korean stock market, KOSPI and KOSDAQ. In order to compare the volatility of stock returns between adjacent price limit regimes, the EGARCH model was used together with a dummy variable. We measure stock market volatility under the different price limit regimes to see if less restrictive price limits lead to higher volatility, and vice versa. We also analyze stock market volatility in the other market where the price limit did not change. Then it is possible to identify the net effect of the change of the price limits by measuring the effects of common factors such as macroeconomic factors that may affect volatility in addition to the price limits change. We find when price limits are made less restrictive stock market volatility is usually lower. This finding contracts the overreaction hypothesis which assumes that investors tend to overreact to new information, so that price limits give them time to reassess the information and reduce stock volatility. Opponents of price limits argue that restrictive price limits do not moderate volatility. This hypothesis argues that when price limits are hit, then there is uncertainty with regard to the equilibrium price, which, in turn, may then actually increase stock market volatility. Therefore, less restrictive price limits may in fact actually cause low volatility levels. From the empirical analysis, the evidence that the past changes of the price limits has resulted in a decrease in volatility in the stock market, has been consistently confirmed, which refutes the argument based on the overreaction hypothesis.

The Impact of dividend policy on the stock price volatility: An Empirical Examination of the US airline industry

( Sindor Mamanazarov ),( Hyunjoon Kim ) 한국항공경영학회 2021 한국항공경영학회 춘계학술대회 Vol.2020 No.-

Despite years of theoretical and empirical investigations, the issue of dividend policy and its effects on the volatility of stock prices has been remaining a controversial subject among financial scholars and managers. Dividend policy is the strategic decision of how much part of earnings should be allocated to the firm’s stockholders and how much to retain for future investment opportunities. Since the primary objective of financial management of firms is the capital maximization of stockholders, the allocation of earnings as dividends and increasing the stock price may be recognized as the most favorable combination to maximize the wealth for stockholders. These two forms of wealth maximization, namely capital growth of stocks and dividend payouts, impacts investor’s choice of stock investments based on investor preference. Since investors are risk-averse by nature, they tend to apt to less volatile stocks that are relatively secure and stable investments. The traditional practices showed that a well-organized dividend policy by a firm is highly likely to ameliorate the firm stock performance on the market and gain the attention of investors or lenders. Yet, although many scholars have attempted to relate the firm’s dividend policy to stock price movements, but there mainly appeared contradictory results and still, an unequivocal answer to the aforementioned issue has not been reached. So, this study aimed to identify the potential impacts of dividend policy on stock price volatility as a main objective. The study sample included publicly traded 135 US airline firms on NYSE, AMEX and NASDAQ for the period of 2010-2018, financial information was available from the COMPUSTAT database. This was a quantitative and descriptive research study and followed Baskin (1989) and Hussainey et al. (2011) approach as the theoretical framework. Dividend payout ratio that is a proxy of dividend policy was employed as an independent variable due to the being potential factor that impacts on the volatility of stock price. Control variables (firm size, asset growth, return on assets, financial leverage, standard deviation of stock returns, systematic and unsystematic risk) were included to account for additional factors in order to provide with more reliable causal inferences while analyzing secondary data. The panel data multiple least squares regression was adopted with a firm-year two-way fixed effect model. The results showed that there appeared a significant and negative relationship between dividend payout ratio and the stock price movements in the airline sector of the US, which supported a hypothesis. The higher the dividend payouts to stockholders are the lower the stock price instability will be in the sampled airline firms. The evidence from the study was also consistent with the theory confirming stockholders put more value to current income than capital gains as explained in birds in the hands theory. Agency cost theory in terms of dividend policy also affirmed by the study, as higher dividend payouts could lower the price volatility of stocks which leads to reduction of risk of the firm. Moreover, firm size, return on assets, growth rates at assets were significantly and negatively associated with stock price volatility, whereas standard deviation of stock returns had a positive link with stock movement in terms of price at the significance level of p=0 .001. The more highly significantly associated determinant appeared to be total assets (LogTA), suggesting that larger firms are well established in their capital markets and capable of paying higher dividends to stockholders, thus leading to relatively stable stock prices compared to small firms. A higher positive correlation coefficient of the standard deviation of stock returns revealed that the higher its value, the greater movements in stock prices would occur in practice. As such, the integrated results drawn out of literature part and the overall analysis of the secondary data showed that dividend policy has a significant impact on stock price fluctuation in the airline sector, whereas the literature associated with this issue in the US hospitality industry is sparse and has not reached the unequivocal answer to whether there is an association or not. This research also contributes to the existing literature by analyzing the dividend policy’s impact on stock price instability for most recent years and by extending the influential determinants such as systematic and unsystematic risk, the standard deviation of stock returns that were rarely used in many studies.

주가지수 변동성과 소비 변동성의 선도-지연 관계

유한수(Yoo, Han-Soo),김병준(Kim, Byoung-Joon) 대한경영학회 2011 大韓經營學會誌 Vol.24 No.5

한국 주식시장의 정보효율성과 주가 변동성

강성범,이선호 한국무역연구원 2020 무역연구 Vol.16 No.5

Purpose In this study, we empirically analyze the relationship between information efficiency and stock price volatility in the Korean stock market using unbalanced panel data from 708 companies listed on the KOSPI from 2000 to 2019. Design/Methodology/Approach We used information efficiency, stock price volatility, and corporate performance index data for empirical analysis. The information efficiency of listed companies is derived from the delay measure using the MSCI (Morgan Stanley Capital International) index and the stock price data of individual companies while the volatility of stock prices is calculated using the monthly deviation of stock prices. In addition, corporate performance indices that represent profitability, stability and growth are used as control variables. Tools for empirical analysis include pooled OLS, the random effects model and fixed effects model with the appropriate mode selected through the Hausman test. As such, this study focuses on three things: the impact of information efficiency on stock price volatility of the entire Korean stock market, the impact of information efficiency on stock price volatility by industry, and the impact of information efficiency on stock price volatility before and after the global financial crisis. Findings Results show that improved information efficiency of companies listed on the Korean stock market increases stock price volatility, and these results are found in manufacturing-related industries after the financial crisis. On the other hand, improvements in information efficiency, mainly in non-manufacturing industries, appear to reduce stock price volatility during the pre-crisis period. Research Implications This study emphasizes that when capital market participants form an optimal portfolio, they should use comprehensive information to identify external environmental changes and inter-industry relationships rather than simple external indicators. In addition, it suggests the need for continuous and selective monitoring of external information for stable development of the stock market and the establishment of a long-term policy system to mitigate information asymmetry.

수직적 임금격차와 주가변동성의 상관관계

정선문 ( Sun-moon Jung ),김예원 ( Yewon Kim ) 한국회계학회 2022 회계저널 Vol.31 No.5

본 연구는 최고경영진-종업원의 수직적 임금격차와 기업의 주가변동성의 상관관계에 대해 살펴본다. 기업 내 수직적 임금격차는 토너먼트 경쟁을 통해 조직 혁신을 촉진하고 성과를 향상시키는 긍정적인 측면도 있으나, 경영진과 종업원 간에 대립적인 문화를 조성하고 노사관계를 불안정하게 만들어 기업 위험을 증가시킬 가능성이 존재한다. 수직적 임금격차의 영향에 대한 선행연구들은 기업의 성과에만 초점을 맞추어 온 바, 임금격차가 주가변동성 등 기업의 위험을 증가시킬 가능성에 대한 실증분석은 희소했다. 이에 본 연구는 국내 KOSPI 상장기업의 2013-2018년 기간의 자료를 사용하여 기업의 등기임원-종업원 간의 임금격차와 주가변동성의 관계를 분석하였다. 분석 결과, 임금격차가 큰 기업일수록 주가변동성이 높은 것으로 나타나 수직적 임금격차는 기업 내부의 갈등과 불안정성을 증가시켜 주가위험을 증가시킬 수 있다는 주장을 지지하였다. 또한, 재무보고의 불투명성이 클수록, 기업지배구조가 약할수록 임금격차와 주가변동성 간의 양의 상관관계를 완화하는 것으로 나타났다. 마지막으로 수직적 임금격차가 주가폭락위험과도 양의 상관관계를 지니는 것으로 나타나, 임금격차가 기업위험에 미치는 부정적 영향을 뒷받침한다. 본 연구는 수직적 임금격차와 기업성과의 관련성을 탐구한 선행연구를 확장하여 임금격차가 클수록 주가변동성으로 대리된 주가위험이 높아질 수 있음을 보여준 데 공헌점이 있다. Recent years have seen the conflicts within companies, largely driven by the executive-employee pay disparity. Early this year, for instance, Samsung Electronics’ labor union aired their grievance against their low pay compared to the skyrocketing pay for top management. Kakao’s stock price crashed after the top executives exercised a large stake of their stock options. The pay disparity fuels the anti-management sentiment, because average employees are questioning the adequacy of increasing executive pays. The current study examines the association between vertical pay disparity within firm and stock price risk. Although TMT-employee pay disparity may facilitate firm innovation and improve firm performance through tournament competition, it may increase firm risk by heightening internal competition and discouraging cooperation between TMT and employees. Prior studies have focused on firm performance, while remaining relatively silent on pay disparity’s effect on firm risk. We expand the literature by examining the relation between vertical pay disparity and firms’ stock price risk. Drawing from a sample of firms listed in KOSPI and KOSDAQ during 2013 - 2018, we find the positive association between TMT-employee pay disparity and stock return volatility. We measure the TMT-employee pay disparity with the ratio of the average TMT pay to the average employee pay. We measure the stock return volatility by the standard deviation of weekly stock returns during the subsequent year. Our finding that TMT-employee pay disparity is positively associated with the stock volatility is consistent with our prediction that pay disparity may deepen conflicts between TMT and employees, leading to unstable firm performance and increase in stock price risk. Our findings extend our understanding about the consequences of TMT-employee pay disparity, by suggesting that vertical pay disparity not only affect the average firm performance, but also the variance of firm performance. We also examine whether the financial reporting quality moderates the relation of pay disparity and return volatility. Prior studies suggest that poor financial reporting quality can increase the information asymmetry between TMT and employees, which may further discourage their cooperation. The empirical result indicates that the positive association between pay disparity and return volatility is more pronounced with poor financial reporting quality measured by discretionary accruals. The additional test result suggests that the internal conflict between the TMT and employees may be driven by the low level of information sharing between the groups. In additional analysis, we find that TMT-employee pay disparity is also positively associated with stock price crash risk, supporting the adverse effect of internal conflicts on firm risk. It indicates that TMT-employee pay disparity increases the probability of sudden and substantial drop in stock price, above and beyond the variance of stock prices. Collectively, our study throws an important implication for board of directors who aim to enhance internal coordination and reduce the firm risk. While TMT-employee pay disparity may positively affect the firm performance through tournament incentives (as prior studies found), the disparity may deteriorate the firm operation in terms of the average performance as well as the variability of firm performance.

중국경제 불확실성의 한국 주가지수에 대한 영향

李奇昤 ( Lee Kiryoung ) 현대중국학회 2021 現代中國硏究 Vol.22 No.4

본 연구는 한국과 중국의 경제는 밀접한 관계를 맺고 있고, 중국에 대한 의존도가 크기 때문에 중국경제 불확실성의 변화가 한국경제에 유의한 충격을 줄 것이며 이러한 현상이 주식시장에서도 나타날 것이라는 가설을 세우고, 실증분석을 통해 이를 검증하였다. 실증분석은 “주가지수의 수익률”과 “수익률의 변동성” 두 가지 측면으로 나누어 진행하였다. 그리고 거시적인 측면과 미시적인 측면을 모두 고려하기 위하여 종합주가지수와 업종별 주가지수로 나누어 분석을 진행하였다. 종합주가지수는 KOSPI와 KOSDAQ을 사용하였고, 업종별 주가지수는 “FnGuide”를 인용하여 25개 업종의 주가지수를 사용하였다. 실험결과 중국경제 불확실성은 “주가지수 수익률”측면에서는 KOSPI만 통계적으로 유의했으며, “수익률 변동성”측면에서는 KOSPI와 KOSDAQ 모두 통계적으로 유의한 영향을 주는 것으로 나타났다. 그리고 업종별로는 주로 중국과의 무역거래가 많은 업종의 주식이 주식가격이나 그 변동성 측면에서 영향을 받는 것으로 나타났다. 이러한 사실은 본 연구의 가설에 부합하는 것이며, 현실의 한중 경제관계 상황에도 부합하는 결과라 할 수 있다. In this study, it makes a hypothesis that close relationship between Korea and China and Korean economy shows high level of dependence on Chinese, so the uncertainty change of Chinese economy will give meaningful impact on Korean economy and it also will be shown in stock market and verified it by empirical analysis. Empirical analysis was implemented in terms of two both “stock price index-earnings ratio” and “price-earnings ratio volatility”. Also, the analysis was implemented separating as composite stock price index and stock price index for each business to consider both macroscopic aspect and microscopic aspect. KOSPI and KOSDAQ were used for composite stock price index and the stock price index of 25 types of business using “FnGuide” for stock price index for each business. Based on the study result, it shows that the uncertainty of Chinese economy is only meaningful for KOSPI in terms of “stock price index-earnings ratio” and gives statistically meaningful influence to both KOSPI and KOSDAQ in terms of “price-earnings ratio volatility”. Also, it shows that the stock of business type having mainly more trade transaction with China is influenced on stock price or volatility. Above result is corresponding with the hypothesis of this study and also corresponds with the economic relationship situation between Korea and China.

머신러닝모형을 이용한 글로벌 자동차 기업의 주가 예측 비교

김선웅(Sun Woong Kim) 한국자료분석학회 2023 Journal of the Korean Data Analysis Society Vol.25 No.1

국내외 주식시장 간의 주가 디커플링(decoupling) 현상이 장기화하면서 글로벌 주식시장으로 투자 대상을 확대하는 서학 개미들이 등장하고 있다. 본 연구의 목적은 글로벌 자동차 기업의 주가와 변동성을 예측하고 투자전략의 성과 분석을 통해 경제적 가치가 나타나는지를 분석하는 것이다. 투자 대상은 전기차와 자율 주행차로 패러다임이 바뀌면서 치열한 경쟁을 벌이고 있는 글로벌 자동차 산업 선진국인 독일, 미국, 일본, 한국의 자동차 기업으로 선택하였다. 예측모형으로는 불규칙하게 변동하는 주가와 같은 시계열 자료의 예측 연구에서 좋은 결과를 보여주고 있는 기계학습 모형을 활용하였다. 2011년 1월부터 2022년 9월까지의 일별 주가 자료를 이용한 실증분석 결과는 다음과 같다. 첫째, 주가 예측을 위한 특성 변수에서는 일별 저가가 가장 높은 중요도를 보여주었다. 둘째, 주가 예측에서는 Random Forest 모형, 변동성 예측에서는 Support Vector Regression 모형이 우수한 예측력을 보여주었다. 셋째, 예측 주가를 이용한 투자전략은 벤치마크보다 높은 수익성을 보여주어 예측 주가의 경제적 가치를 발견하였다. 글로벌 주식투자가 확대되는 국면에서 기계학습모형을 활용하여 치열한 경쟁이 벌어지고 있는 글로벌 자동차 산업에 대한 주가를 예측하고 투자전략의 성과를 분석하였다는 점에서 본 연구의 학술적, 실무적 의의가 있다. 향후 연구에서는 투자 대상을 다양화하고 정교한 예측 기법을 추가하여 연구할 필요가 있다. As the stock price decoupling between domestic and foreign stock markets is prolonged, the so-called ‘Seohak ants’ are emerging to expand investing targets to the global stock market. This study is to predict the stock prices and volatility of global automotive companies and analyze whether economic value appears through performance analysis of investment strategy. The investment target was selected as automakers in Germany, the U.S., Japan, and Korea, which are advanced countries in the global automotive industry and fiercely competing as the paradigm of electric and self-driving cars emerged. Machine learning models were used to predict the stock prices, which show good results in predictive studies of time series data such as irregular and nonlinear moving stock prices. The empirical results from January 2011 to September 2022 data are as follows. First, daily low prices showed the highest importance score in feature variables for stock price prediction. Second, the random forest model in stock price prediction and the support vector regression model in volatility prediction showed excellent predictive power. Third, the investment strategy using the predicted stock price showed higher profitability than the benchmark, finding the economic value of the predicted stock price. This study is of academic and practical significance in that it predicted the stock prices volatility of the global automotive industry by using the machine learning models in the face of expanding global stock investment. In future studies, it is necessary to diversify the investment target and add sophisticated prediction techniques to study to improve the predictive performance.

On the Relationship between Volatility and Stock Price in the Korean Stock Market

김상배,이명우 한국로고스경영학회 2010 로고스경영연구 Vol.8 No.3

This paper examines the long run relationship between stock prices and volatilities using the method of King and Watson (1997) to account for the causal relationship between volatilities and stock prices induced by the leverage effect and the volatility feedback effect. The empirical results show that the long‐run relationship highly depends on the contemporaneous relationship. More precisely, the long‐run response of stock prices to a permanent volatility shock relies on the value of the volatility‐in‐mean effect and the mean‐in‐volatility effect. From the impulse response analysis, it is found that our results are supportive to the volatility feedback effect, while the leverage effect is not sufficient to account for the negative relationship between stock prices and volatility in the Korean stock market.

The Application of Fractional Brownian Motion in Option Pricing

Qing-xin Zhou 보안공학연구지원센터 2015 International Journal of Multimedia and Ubiquitous Vol.10 No.1

In this text, Fractional Brown Motion theory during random process is applied to research the option pricing problem. Firstly, Fractional Brown Motion theory and actuarial pricing method of option are utilized to derive Black-Scholes formula under Fractional Brown Motion and form corresponding mathematical model to describe option pricing. Secondly, based on BYD stock, estimation model on volatility of this stock is given to analyze and calculate the stock price volatility. Finally, make instance analysis for BYD’s option. Based on market data of BYD’s stock and option, calculate the actual option price and theoretical price of BYD by Black-Scholes formula under Fractional Brown Motion. Compare the forecast price of this stock option given by model with actual price, relatively good effect is obtained, and then conclude that the model has relatively strong applicability.

Volatilitätsanalyse der koreanischen und deutschen Aktienkursen

정남기 한독사회과학회 2014 한독사회과학논총 Vol.24 No.2

In dieser Studie wurden die Volatilitäten der Aktienkursen von koreanischen und deutschen Märkten eingeschätzt. Zur Schätzungen der Volatilitäten wurde ARCH (Auto-regressive Conditional Heteroscedasticity)-Modell benutzt. Der angewante Zeitraum für die Schätzung war 19. März 2011 bis 19. März 2014 bei den Tagesdaten von KOSPI200 für Korea und DAX30 für Deutschland. Die allgemeinen statistischen Eigenschaften der quadrierten Residuen besagen, daß die Volatilitäten der Aktienkursen von koreanischen und deutschen Märkten mit ARCH-Modell geschätzt werden können. Die Schätzergebnisse mit ARCH-Modellzeigen, daß die Stationaritäts- und Nichtnegativitätsbedingung bei den Daten der beiden Ländern im allgemeinen gut erfüllt sind, obwohl die typische Eigenschaft bei den ARCH-Effekten –’volatility clustering’– anhand der Graphen der Aktienkurs- änderungen nicht zu sehen ist. Hingegen sind beim AR(1)-Prozeß die Schätzergebnisse statistisch nicht signifikant. Die Ursache für die Unangemessenheit des AR-Prozesses ist die Heteroskedastizität der quadrierten Residuen. Die Prognose zeigt im ersten Augenblick, daß der deutsche Aktienkurs im breiteren Band als koreanischer Aktienkurs schwankt. Aber deutscher Aktienkurs ist mehr als 4-fach höher als den koreanichen. Wenn man auf diese Höhe der beiden Aktienkurse Berücksichtigung nimmt, dann erkennt man die Volatilität des koreanischen Aktienkurses höher als diejenige des deutschen Aktienkurses. Aus diesem Phänomen kann man sagen, daß es mehr spekulative Motivation im koreanischen Kapitalmarkt als im deutschen Markt beherrscht. The volatility of the stock prices in Korean and German markets were assessed in this study. For the evaluation of the volatility, ARCH (Auto-regressive conditional heteroscedasticity) model is utilized using data of KOSPI 200 for Korea and DAX 30 for Germany. The estimation period is from March 19, 2011 to March 19, 2014 and data format for the estimation is daily. The general statistical properties of the squared residuals indicate that the volatility of stock prices of Korean and German markets can be estimated with ARCH model. The estimation results with ARCH model show that the stationarity and non-negative condition are well matched with the data of the two countries, although the typical property in the ARCH effects – volatility clustering - could not see in the graph of the changes in stock prices. However, the estimation results of the AR (1) process is statistically not significant. The reason for the inadequacy of the AR process to estimation of the volatility is the heteroscedasticity of the squared residuals. The forecast shows that the German stock price fluctuates in the wider band than Korean stock price. But German stock price is 4 times higher than the Korean one. If one take into account this price level, then it is recognized that the volatility of the Korean stock price is higher than that of the German. With this phenomenon, we would say that it dominates more speculative motivation in the Korean capital market as the German market.