국민연금기금의 주식투자와 시장의 변동성 변화 = Article : The Effects of the Korean National Pension Fund on Stock Market Volatility

국문 초록 (Abstract)

2006년 말 현재 국민연금의 기금 적립금은 이미 189조 원을 넘고 있으며 향후 30년 동안은 연평균 15% 수준으로 기금 규모가 지속적으로 확대될 것으로 예상되고 있어 단일 거대 기금이 상대적으로 협소한 국내 자본시장에 미치는 과도한 영향력에 대한 우려가 지속적으로 제기되고 있다. 이러한 배경 하에서, 본 연구는 국내 주식시장의 변동성 특성을 분석하고 이러한 변동성이 국민연금의 주식투자 행태에 의해 어떻게 영향 받는지를 실증 분석하였다. 2000년 이후 5년간의 시장 주가지수와 국민연금기금의 주식운용 거래 자료를 이용한 분석 결과, 일정 부분 국민연금기금이 시장안정자(market stabilizer)의 역할을 수행하고 있음을 확인하였다. 이러한 결과는 향후 국민연금기금의 자산 운용에 있어 초과수익의 실현이라는 목표 외에 시장 중립적 투자라는 공적 연금의 역할 또한 간과할 수 없는 제약 조건임을 강조하고 있다.

다국어 초록 (Multilingual Abstract)

At the end of 2006, the reserves of the Korean National Pension Service (NPS) totaled over 189 trillion won. Forecasters expect the reserves to grow 15% per annum until 2035. The large and rapidly expanding National Pension Fund (NPF) raises deep concerns about its possible negative effects on the Korean capital market. Regarding this issue, our paper measures the Korean stock market volatility and analyzes the effects of the NPF`s direct stock investments on stock market volatility. Using the daily stock price index and the NPF`s stock transaction data, we conclude that the Korean NPF has been a market stabilizer in the Korean stock market during the period from 2000 to 2004. Using the GJR-GARCH model, we estimate the effects of the NPF`s net-buying amount and other trading patterns on the mean and variance equations of stock price return, as measured by the KOSPI, KOSPI200 or KOSPI200T. Our results show that there exists a negative correlation between the NPF`s net-buying amount and stock price return; furthermore, there exists a positive correlation between the NPF`s net-buying amount and stock price volatility. That is, the NPF takes a long position when the stock market is weak, which is usually accompanied by the high variability of the stock return. Our results also show that the estimate of the effect of the dummy variable for three consecutive days traded on stock price volatility is negative. The dummy variable takes value 1 if the NPF participated in the stock market three days in a row, from last two days to today. It represents the NPF`s persistent trading behavior in the stock market. Because the dummy variable contains past history information by the definition, we want to interpret this negative correlation as negative causality of the NPF`s persistent trading behavior on current stock price volatility. That is, the steady participation of the NPF in the stock market has reduced stock price volatility. The main results of the paper remain unchanged, whether we use the net-buying ratio (the NPF`s net-buying amount divided by market trading volume) or the total trading ratio (the NPF`s total trading volume divided by market trading volume) instead of the net-buying amount in the mean and the variance equations for the model, when checking for sensitivity.

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