한국주식시장에서 이슬람 주식의 포트폴리오 분산효과 = Portfolio Management with Islam Equity in Korean Stock Market

국문 초록 (Abstract)

본 연구는 포트폴리오 분산측면에서 국내 주식시장과 이슬람 주식시장 간 어떤 연관성을 가지며, 분산편익을 가질 수 있는가에 대한 분석을 목표로 한다. 이를 위해 ARDCC-GARCH 모형을 이용해 양 주식시장간의 변동성 이전을 연구하였다. 연구결과 첫째, 이슬람시장과 한국주식시장간 변동성이 상호 이전되었다. 즉 양 시장간 디커플링 가설이 기각되었다. 이슬람 주식시장에 투자가 국내 주식시장의 손실을 방어할 있는 투자
안전처가 아님을 알 수 있다. 둘째. 헤지 및 최적 포트폴리오 관점에서 국내 주가지수에 대해 대표적인 2가지 이슬람지수와의 조건부 상관관계를 살펴보았다. 즉 KOSPI- DJIM과 KOSPI-SHX간의 조건부 상관계수의 크기를 비교한 결과 KOSPI-DJIM 포트폴리오간의 상관계수가 더 높았다. 따라서 포트폴리오 관점에서 S&P500 Sharia(SHX) 주가지수가 포트폴리오의 위험분산 측면에서 DJIM 보다 우월하게 나타났다. 마지막으로 국내 주식시장과 이슬람 주식간의 시간가변 헤지 비율을 추이를 살펴보았다. 헤지 비율은 대체로 낮아서 국내주식 매도(매수)/이슬람주식 매수(매도)를 통해 효과적으로 헤지가 가능하며, 특히 KOSPI-SHX의 헤지비율이 KOSP-DJIM 보다 낮아 헤지 비용이 저렴해 헤지에 효과적인 역할을 기대할 수 있었다. 결론적으로 본 연구는 양 시장간 차별화 (디커프링)가설을 기각하지만, 이슬람주식을 이용한 헤지 및 포트폴리오 분산편익은 획득할 수 있는 점을 강조한다.

다국어 초록 (Multilingual Abstract)

The objective of this study is to investigate whether Islamic stock indices provide more diversification benefits than other indices in equity portfolio management in the Korean financial market. Therefore, we investigated the volatility spillover effects between Islamic
stock markets and the Korean stock market using the AR-DCC-GARCH models. First, we found bi-directional volatility transmissions between the Islamic and Korean financial markets. Second, we compared the correlation of the KOSPI-DJIM portfolio and that of the KOSPI-SHX portfolio. It was found that the correlation of the KOSPI-DJIM portfolio has a stronger linkage than that of the KOSPI-SHX portfolio. From the portfolio perspective, the S&P 500 Sharia stock index(SHX) acts as a better hedge asset than the DJIM against
the risk of stock market fluctuations. Lastly, the hedge ratio between the two Islamic stock market and Korean stock market pairs is generally low, indicating that the Korean stock risk can be effectively hedged by taking a short position in the Islamic stock markets. In the comparison with these two pairs, the pair of KOSPI-SHX shows a lower hedging cost than that of the KOSP-DJIM pair. This evidence indicates that the S&P 500 Sharia index plays amore effective hedging role against the risk of Korean stock market fluctuations.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 연구방법론
• Ⅲ. 자료 및 연구 기간 구분
• Ⅳ. 실증분석결과
• Ⅴ. 결론
• 참고문헌
• Abstract

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