• Management & Information Systems Review
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• v.38 no.1
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• pp.141-153
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• 2019

This study attempts to analyze the role of price discovery and the dynamic interdependence between KOSPI200 Index and KODEX Leverage(KODEX inverse), which are Korea's representative ETFs, using the vector error correction model. For the empirical analysis, one minute data of KODEX leverage, KODEX inverse and KOSPI200 index from April 10, 2018 to July 10, 2018 were used. The main results of the empirical analysis are as follows. First, between KODEX Leverage and KOSPI200 index, we found evidence that KODEX leverage plays a dominant role in price discovery. In addition, the KOSPI200 index is superior to price discovery between KODEX inverse and KOSPI200 index. Second, the KOSPI200 index has a relatively strong dependence on KODEX leverage, which is consistent with the KODEX leverage index playing a dominant role in price discovery compared to the KOSPI200 index. On the other hand, KOSPI200 index has a dependency on KODEX inverse index, but it is weaker than KODEX leverage index. These results are expected to be useful information for investors in capital markets.

• Proceedings of the Korea Information Processing Society Conference
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• 2023.11a
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• pp.5-7
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• 2023

본 논문에서는 정보 이론 기반 지표의 힘을 활용하여 전체 그래프 임베딩 방법론의 한 가지인 GL2vec 을 사용하여 임베딩을 생성하고, 이를 바탕으로 상장지수펀드 (ETF, Exchange Traded Fund) 수익률을 예측하는 모형을 생성하고자 하였다. 본 연구는 그래프 구조에 금융 데이터를 내장하고 고급 신경망 기술을 적용하여 예측 정확도를 향상시키는 데에 기여할 수 있음을 확인하였다.

• Proceedings of the Korea Information Processing Society Conference
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• 2024.05a
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• pp.522-523
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• 2024

상호의존성을 검증하기 위해 통계적 측정치를 사용한 심층 분석을 통해 섹터 기반 상장지수펀드를 중심으로 금융 네트워크의 불일치를 분석한다. 최소 스패닝 트리, p 값 기반 네트워크와 같은 방법론을 채택하여 가격 기반 불일치를 조사하여 금융 데이터 내의 기본 네트워크 구조를 파악합니다. 우리의 주요 기여는 다양한 측정치와 네트워크 분석을 사용하여 금융 시장에 대한 다양한 통찰력을 제공하는 방법을 보여주는 것이다.

• Knowledge Management Research
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• v.22 no.3
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• pp.17-29
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• 2021

The purpose of this study is to analyze investment performance by applying dynamic methodologies that reflect market expectations rather than traditional static methodologies in applying the glide path of target date fund. In calculating market expectations, the number of distributed shares in the ETF market was used, and the dynamic glide path model portfolio considering market expectations in the analysis period from late 2011 to October 2020 could show better results than the existing static glide path. According to the analysis, increasing the portion of risky assets at a time when the number of shares in the ETF's distribution increases, and in the opposite case, reducing the portion of risky assets is advantageous for profit. The results of this study are expected to provide useful theoretical and practical implications for researchers and asset management workers who are interested in knowledge management from a broad perspective beyond the boundary of pension asset management to the public fund market and ETF market.

• Journal of Service Research and Studies
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• v.9 no.1
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• pp.51-71
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• 2019

The purpose of this research is to analyze the ETF market, which has a large increase in the number of listed shares and the market capitalization, and to identify the investment effects of ETFs. The study procedure and method used to calculate the return and change trend of ETFs for the sample of the transaction information, the transaction amount, and the market capitalization for the period from 2010 to 2018, and performed correlation and regression analysis. As a result, the ETF's total return was 2.11%, the domestic underwriting market ETF yield was 2.39%, and the stock ETF yield was 2.59%, which was lower than the KOSPI 200 index and the KOSPI 200 index. Index ETF was 2.63%, followed by stock ETF and oversea underwriting market ETF. The problem with ETF investment is that the annual return of ETFs and domestic ETFs is as low as 2%, which is not enough for investors to expect more than 5%. The study contributes to the realization of the ETF by analyzing the actual effect of the investment and to establishing considerations when buying ETFs from the viewpoint of investors. The direction of the research is to accumulate more ETF data and present the investment direction precisely.

• Journal of Digital Convergence
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• v.16 no.5
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• pp.185-197
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• 2018

The purpose of this study is to analyze the Korean ETF market, which is experiencing a rapid increase in the number of stocks, to identify the degree of investment efficiency and to present investment directions. The methodology and procedure are ETF yield, change trends, correlation and regression analysis of the ETFs traded between 2010 and 2018. As a result, the total return of domestic ETFs was 3.51%, which was lower than the KOSPI growth rate and the return on equity ETFs was 4.03%, which was low. Leverage ETF yields were below 3%, which was low. The return on bond and currency ETFs was less than 1%. The most profitable ETFs were index ETFs, followed by domestic and leveraged ETFs. This study has contributed to establishing considerations when purchasing ETFs from the viewpoint of investors. Future research will present the direction of ETF investment more precisely.

• Knowledge Management Research
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• v.23 no.1
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• pp.149-164
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• 2022

This paper analyzes the independent financial advisory business that is not yet active in Korea and proposes a plan to activate the independent financial advisory business using fintech technology. A bill was enacted in 2017 for the domestic independent financial advisory business, but it has not been activated much until now for various reasons. Although existing studies have proposed solutions in various ways, there is no clear solution yet. This paper proposes a new method of revitalizing the independent financial advisory business through fintech technology using the trust system that has recently attracted attention. Digital securities fintech technology using blockchain distributed ledger technology presents new possibilities in the real estate and music copyright markets, and related fintech venture companies continue to emerge in Korea. By combining these digital securities fintech technologies and the business process of ETF, a method was derived so that independent financial advisors can have their own financial products. The proposed model is more decentralized than the existing financial product sales structure, and presents the possibility of a protocol economy through a structure close to a private blockchain while complying with the existing financial order. This paper is meaningful in that it presented new solutions to completely different markets from information convergence perspectives on two completely different markets, and we hope that more business solutions will emerge through knowledge management activities that converge various perspectives in the future.

• Journal of the Korean Data and Information Science Society
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• v.28 no.4
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• pp.843-851
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• 2017

The rise of the Robo-advisor represents one of the most profound shifts in FinTech. It also raises concerns about their financial management. As the most Robo-Advisors utilize ETFs, we seek to determine the appropriate risk management model in estimating 95% Value-at-Risk (VaR) and 99% VaR in this paper. The GARCH and the Markov regime wwitching GARCH are evaluated in terms of the accuracy of probability, the independence of extreme events occurrence and both. The result shows that the Markov regime switching GARCH can be a good ETF risk management tool since it can reflect financial market structural changes into the volatility.

• The Journal of the Korea Contents Association
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• v.14 no.11
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• pp.905-914
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• 2014

In this study, we examine hedging effectiveness of KODEX200 ETF and KOSPI200 futures with respect to KOSPI200 spot or KODEX200 ETF using naive, the risk-minimization models and the VECM. The sample period covers from January 5. 2010 to October 31. 2013. Daily prices of the KOSPI200 spot, KOSPI200 futures and KODEX200 were used in this study. The results are summarized ans follows. First, this study show that there is cointegration relationship among KOSPI200 spot, futures and KODEX200 ETF market. Second, there is no significant difference in hedging performance among the models. Finally, hedged position of KOSPI200 cash(unhedged position)-KODEX200 ETF(hedge vehicle) or KODEX200 ETF-KOSPI200 futures seems to improve hedging performance compared to KOSPI200 cash-KOSPI200 futures. This implies that the portfolio managers may be encouraged to use the former than the latter.