• 경영과학
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• 제30권1호
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• pp.73-89
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• 2013

This paper develops an investment algorithm based on Markowitz's Portfolio Selection Theory, using historical stock return data, and empirically evaluates the performance of the proposed algorithm in the U.S. and the Hong Kong stock markets. The proposed investment algorithm is empirically tested with the 30 constituents of Dow Jones Industrial Average in the U.S. stock market, and the 30 constituents of Hang Seng Index in the Hong Kong stock market. During the 6-year investment period, starting on the first trading day of 2006 and ending on the last trading day of 2011, growth rates of 12.63% and 23.25% were observed for Dow Jones Industrial Average and Hang Seng Index, respectively, while the proposed investment algorithm achieved substantially higher cumulative returns of 35.7% in the U.S. stock market, and 150.62% in the Hong Kong stock market. When compared in terms of Sharpe ratio, Dow Jones Industrial Average and Hang Seng Index achieved 0.075 and 0.155 each, while the proposed investment algorithm showed superior performance, achieving 0.363 and 1.074 in the U.S. and Hong Kong stock markets, respectively. Further, performance in the U.S. stock market is shown to be less sensitive to an investor's risk preference, while aggressive performance goals are shown to achieve relatively higher performance in the Hong Kong stock market. In conclusion, this paper empirically demonstrates that an investment based on a mathematical model using objective historical stock return data for constructing optimal portfolios achieves outstanding performance, in terms of both cumulative returns and Sharpe ratios.

• 문화기술의 융합
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• 제5권3호
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• pp.113-118
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• 2019

본 연구는 후강퉁 제도의 시행 이후에 중국, 홍콩, 대만 및 싱가폴 증권시장 간의 상호의존성이 어떻게 변화되었는지를 수익률과 변동성을 동시에 분석할 수 있는 EGARCH-GED 모형을 이용하여 분석하였다. 후강퉁 제도의 시행 이후 대만 증권시장의 대중화권 증권시장과의 상호의존성은 크게 약화되었으며, 싱가폴 증권시장의 대중화권 증권시장과의 상호의존성은 존재하지 않는 것으로 나타났다. 반면에 후강퉁 제도의 시행 이후에 중국과 홍콩 증권시장 간의 상호의존성은 크게 강화된 것으로 나타났다. 이는 후강퉁 제도의 시행에 따라 중국과 홍콩 투자자들이 두 증권시장에 투자할 수 있는 여건이 개선됨에 따른 결과로 추정된다. 따라서 대중화권 증권시장에서의 분산투자를 고려할 때에는 대만과 싱가폴 증권시장의 상호의존성 약화와 중국과 홍콩 증권시장의 상호의존성 강화를 고려하여 분산투자전략을 수립할 필요가 있을 것이다.

• Journal of Korea Trade
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• 제23권7호
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• pp.147-155
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• 2019

Purpose - As the U.S.-China trade war has become considerably worse, the Chinese government is considering applying non-tariff barriers to trade, especially local contents rule. The main purpose of this research is to check whether it is suitable for Korean investors to invest in the current Chinese capital market. Design/methodology - In order to check the stability of the recent Chinese capital market, we investigated the behavior of foreign equity investment (including Korean equity investment) in the Chinese capital market after China announced the Shanghai-Hong Kong Stock Connect (SH-HK Connect). In this paper, we researched whether international portfolio investment would or would not contribute to an increase the volatility of an emerging market's stock market (Chinese capital market) when foreign investors make investment decisions based on the objective of short-term gains by rushing into countries whose markets are booming and fleeing from countries whose markets are falling. Findings - The empirical results indicate that foreign investors show strong, negative feedback trading behavior with regard to the stock index of the Shanghai Stock Exchange (SSE), and when the performance of foreign investors in the Chinese stock market was fairly good. Also, we found evidence that the behavior of foreign investors significantly decreased volatility in SSE stock returns. Consequently, the SH-HK Connect brought on a win-win effect for both the Chinese capital market and foreign investors. Originality/value - It appeared that the Chinese capital market was very suitable for Korean investors after the China's declaration of the SH-HK Connect. However, the win-win effect was brought on by the Chinese government's aggressive capital control but the capital controls could possibly cause financial turmoil in the Chinese capital market. Therefore, Chinese reform in industrial structure and the financial sector should keep pace with suitable capital control policies.

• 한국콘텐츠학회논문지
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• 제17권5호
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• pp.165-173
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• 2017

본 연구의 목적은 한국 주식시장과 인접한 동아시아 주식시장과의 상관관계와 변동성을 분석하는데 있다. 동아시아 주식시장은 한국과 지리적으로 경제적으로 가까운 일본과 중국, 홍콩, 대만을 선정하였다. 한국과 동아시아 주식시장간 상관관계와 변동성을 파악한다면 투자 예측에 도움이 될 수도 있다. 또한 글로벌 포트폴리오 차원에서 자산배분의 투자위험을 감소할 수도 있다. 이를 위해 지난 163개월 동안의 국가별 월별 수익률 자료를 이용하여 상승률과 상관계수, 회귀분석 등을 산출하고 비교 분석하였다. 상관관계를 분석한 결과 한국은 대만이나 홍콩과 높은 상관관계를 보인 반면 중국과는 낮은 상관관계를 보여주었다. 중국은 홍콩을 제외하고 다른 국가와 낮은 상관관계를 보여 동아시아에서 독자적인 시장을 형성하고 있었다. 홍콩은 동아시아 주식시장 내 다른 국가와 동행성이 가장 높은 시장으로 판단되어 홍콩시장이 동아시아 주식시장의 방향성을 제시할 수도 있다.

• East Asian Economic Review
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• 제23권4호
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• pp.333-351
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• 2019

We use a data-mining bootstrap procedure to investigate the predictability test in the eight Asia-Pacific regional stock markets using in-sample and out-of-sample forecasting models. We address ourselves to the data-mining bias issues by using the data-mining bootstrap procedure proposed by Inoue and Kilian and applied to the US stock market data by Rapach and Wohar. The empirical findings show that stock returns are predictable not only in-sample but out-of-sample in Hong Kong, Malaysia, Singapore, and Korea with a few exceptions for some forecasting horizons. However, we find some significant disparity between in-sample and out-of-sample predictability in the Korean stock market. For Hong Kong, Malaysia, and Singapore, stock returns have predictable components both in-sample and out-of-sample. For the US, Australia, and Canada, we do not find any evidence of return predictability in-sample and out-of-sample with a few exceptions. For Japan, stock returns have a predictable component with price-earnings ratio as a forecasting variable for some out-of-sample forecasting horizons.

• The Journal of Asian Finance, Economics and Business
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• 제5권2호
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• pp.43-51
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• 2018

We study the impact of economic policy uncertainty (EPU) of Asian four countries such as Korea, Japan, Hong Kong, and China on housing market returns in Korea. Also, we document the relationship between the EPU index of those four countries and the housing market including macroeconomic indicators in Korea. The EPU index of those four countries has significantly a negative effect on the housing purchase price index, housing lease price index in Korea. The EPU index in Korea and Japan has significantly a negative effect on the CPI. The EPU index in only Japan has significantly a negative effect on the PPI. The EPU index in Hong Kong and Korea has significantly a negative effect but the EPU index in China significantly has a positive effect on the stock price index in construction industry. The EPU index in only Korea has significantly a negative effect the stock price index in banking industry. This study shows the EPU index of the Korea has the negative relationships on the housing market economy rather than other countries by VECM. And this study has an important evidence of the spillover of several macroeconomic indicators in Korea for the EPU index of the Asian four countries.

• Communications for Statistical Applications and Methods
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• 제23권3호
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• pp.203-213
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• 2016

We investigate volatility spillover aspects of realized volatilities (RVs) for the log returns of the Korea Composite Stock Price Index (KOSPI) and the Hang Seng Index (HSI) from 2009-2013. For all RVs, significant long memories and asymmetries are identified. For a model selection, we consider three commonly used time series models as well as three models that incorporate long memory and asymmetry. Taking into account of goodness-of-fit and forecasting ability, Leverage heteroskedastic autoregressive realized volatility (LHAR) model is selected for the given data. The LHAR model finds significant decompositions of the spillover effect from the HSI to the KOSPI into moderate negative daily spillover, positive weekly spillover and positive monthly spillover, and from the KOSPI to the HSI into substantial negative weekly spillover and positive monthly spillover. An interesting result from the analysis is that the daily volatility spillover from the HSI to the KOSPI is significant versus the insignificant daily volatility spillover of the KOSPI to HSI. The daily volatility in Hong Kong affects next day volatility in Korea but the daily volatility in Korea does not affect next day volatility in Hong Kong.

• 문화기술의 융합
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• 제10권4호
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• pp.711-719
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• 2024

본 연구는 기관투자자 제도, 해외 증시와의 교차거래 제도, A주의 글로벌 지수 편입, 신규 보드 개설 등의 네 가지 측면에서 중국 A주 시장의 대외개방 정책 및 그 성과에 대해 살펴보았으며, 아울러 이러한 A주 시장의 대외개방 정책이 상하이종합주가지수와 선전종합주가지수에 미치는 영향에 대해 1994년 1월 3일부터 2024년 5월 30일까지의 시계열 자료를 이용하여 실증적으로 분석하였다. 분석 결과 QFII·RQFII와 같은 기관투자자 제도, 후강퉁·선강퉁과 같은 해외 증시와의 교차거래 제도, A주의 MSCI EM 지수나 FTSE Russell 지수와 같은 글로벌 지수에의 편입, 과학혁신보드와 같은 신규 보드 개설 등의 모든 대외개방 정책이 주가지수에 통계적으로 유의미한 양의 영향을 미침이 확인되었다. 이러한 분석 결과를 토대로 우리는 중국이 향후 주식시장 대외개방을 더욱 확대해야 하고, 특히 개인투자자들의 중국 주식시장에 대한 접근성을 더욱 확대해야 하며, 외국과 정치적 갈등을 완화하고 이해를 증진시키기 위한 상호 노력이 필요하며, 부동산을 비롯한 산업규제 완화가 중국의 경기회복과 외국인의 A주 시장 투자에 긍정적인 영향을 미칠 것이라는 결론을 도출하였다.

• Journal of Contemporary Eastern Asia
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• 제19권1호
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• pp.97-122
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• 2020

This paper examines the existence of herd behaviour in fifteen (15) global stock markets, which consist of Developed Markets (Canada, Hong Kong, Japan, Singapore and the United Kingdom), Advanced Emerging Markets (Brazil, Malaysia, Mexico, Poland and South Africa) and Secondary Emerging Markets (Chile, China, Indonesia, the Philippines and Russia) by using Cross Sectional Absolute Deviation (CSAD) method of Chiang and Zheng (2010). It also seeks to explore the impact of social factors such as prosperity, education, ageing society, industry orientation and gender on the existence of market-wide herding. The findings of this paper indicate that herd behaviour exists in Singapore (Developed Market), Mexico, Poland and South Africa (Advanced Emerging Markets) and China and the Philippines (Secondary Emerging Markets). No evidence of herding is observed for Canada, Hong Kong, Japan, United Kingdom, Brazil, Malaysia, Chile, Indonesia and Russia. Ageing society is also found to have significant impact on the existence of herd behaviour. Nonetheless, prosperity, education, industry orientation and gender are found to be insignificant to herding. This study sheds some light on whether social factors determine herding behaviour in the 15 selected stock markets.

• The Journal of Asian Finance, Economics and Business
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• 제8권9호
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• pp.287-300
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• 2021

The study is conducted to find out the impact of the country- and corporate-level governance and firm internationalization on stock liquidity of 120 listed firms in Japan, Hong Kong, Pakistan, and India. Panel data is used in the current study. The annual time span covered in the current study is 10 years. The current study explores results based on secondary data. The findings of the 'robust panel corrected standard error' estimator shows that the internationalization strategy of firms positively influences the stock liquidity. The internationalization strategy of multinational corporations proves to be an effective methodology for improving stock liquidity in the home market as well as abroad. The study also shows that a stronger relationship exists between stock liquidity and internationalization in those countries where the regulatory settings are effective, the judiciary system is efficient and shareholders' rights are protected. Corporate governance and stock liquidity are negatively associated. The study also finds a negative relationship between country-level governance mechanisms and stock liquidity. Whereas the 'robust panel corrected error' estimator shows a positive association between corporate governance mechanisms and firm internationalization. The study depicts that effective corporate governance motivates multinational companies to expand their business abroad.