ETF를 활용한 글로벌 대체투자 자산들의 동적 연결성과 포트폴리오 최적화에 관한 연구
A Study on the Dynamic Connectedness and Portfolio Optimization of Global Alternative Investment Assets Using ETFs
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초록
본 연구에서는 2011년 1월 2일부터 2023년 9월 30일까지, 미국에서 거래되고 있는 5개의 ETF(원유, 부동산, 인프라, 친환경 에너지, 주식)를 대상으로 변동성 전이행태에 기초한 동적 연결성(dynamic connectedness)을 파악하고, 최적 헤지비율 및 포트폴리오 투자비중을 추정하였다. 본 연구에서 제시하는 표본기간동안의 실증분석 결과는 다음과 같다. 첫째, 분석 대상 ETF 간의 총 연계성은 비교적 중간수준에 해당하는 36.8%로 추정된 가운데, 인프라 시장은 원유․부동산․친환경 에너지․주식 시장의 변동성에 가장 큰 기여를 한 것으로 나타났다. 또한 인프라 시장은 순유출, 주식시장은 순유입이 지배적이었다. 둘째, 시간 가변적 헤지비율의 추정결과에 따르면 원유․부동산․주식 ETF에 대해 인프라 ETF를 이용할 때 헤지비용이 가장 컸으며, 친환경 에너지․인프라 ETF의 경우 주식 ETF가 높은 헤지비용을 유발시키는 것으로 나타났다. 그리고 동적 관계를 바탕으로 포트폴리오 위험분산 효과를 높이려면 원유 ETF에 대해서는 주식 ETF, 주식 ETF에 대해서는 인프라 ETF가 적합하였다. 셋째, 동적 헤징전략이 포트폴리오 가중치 전략보다 효율성이 높게 추정되었으며, 포트폴리오 가중치 전략에 따르면 원유 ETF와 주식 ETF를 각각 50%의 투자비중으로 포트폴리오를 구성하는 경우에만 통계적으로 유의한 결과를 얻었다.
Abstract
This paper investigated dynamic connectedness based on volatility spillover for five ETFs (crude oil, real estate, infrastructure, eco-friendly energy, and stocks), and estimated the optimal hedge ratio and portfolio weight using daily data for the period from January 2, 2011 to September 30, 2023. The results of empirical analysis during the sample period are as follows. First, the total connectedness between ETFs analyzed was estimated to be 36.8%, which is a relatively intermediate level, and the infrastructure market contributed the most to the volatility of crude oil, real estate, clean energy, and stock markets. In addition, net outflow was dominant in the infrastructure market, and net inflow was dominant in the stock market. Second, hedge costs were the highest when using infrastructure ETFs for crude oil, real estate, and stock ETF, and stock ETF cause high hedge costs. In addition, stock ETF were suitable for crude oil ETFs and infrastructure ETFs for stock ETFs to increase the portfolio diversification effect based on dynamic connectedness. Third, the dynamic hedging strategy was estimated to be more efficient than the portfolio weighting strategy, and according to the portfolio weighting strategy, statistically significant results were obtained only when the crude oil ETF and stock ETF were organized with 50% investment weight, respectively.
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