한국주식시장의 위험과 수익률 관계에 관한 연구: 고빈도 자료의 이용 = A Study on the Trade-off between Risk and Return: Evidence from High Frequency Data

다국어 초록 (Multilingual Abstract)

This paper examines the trade-off relation between risk and return for Korean stock market by using the high frequency intraday data of the KOSPI200 cash market, the KOSPI200 futures market and KODEX200 ETF market from January 2, 2009 to June 28, 2013. To summarize the results, in the case of using the high frequency intraday return data unlike the existing research result, we find that the positive(+) linear relation and statistically significant relation persists between risk and return of market returns for the Korean stock market throughout our sample period. This is shown the consistently results in the KOSPI200 cash market, KOSPI200 futures market and KODEX200 ETF market as the proxy between risk and return regardless of the realized volatility or GARCH volatility. And also it shows the existence and significance of risk-return trade-off relation. That is, the investors show that they demand a positive liquidity premium which thus it corresponds as risk is high to the stock market.

참고문헌 (Reference)

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