주식간 연결구조와 효율적 포트폴리오
Stock Network an Efficient Portfolio in Korean Stock Market
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초록
본 연구는 주식수익률간 관계를 시스템적으로 거시적 관점에서 관찰하고자 하는 대안적 방법인 주식간 연결구조 접근법을 재무분야(Markowitz 효율적 포트폴리오)로의 실제적 적용을 통하여 그 활용가능성을 평가하고자 하였다. 관찰된 검증결과, 즉 주식간 연결구조와 효율적 포트폴리오를 결합하여 위상학적 속성을 관찰한 검증결과에 의하면, 효율적 포트폴리오 구성주식들은 시장공통요인(시장지수)과 관련된 속성은 낮은 수준인 반면에, 개별주식과 관련된 속성은 높은 수준을 나타내었다. 이로 인하여 주식간 연결구조에서 효율적 포트폴리오의 구성주식들은 다른 주식과 1개 혹은 2개의 연결개수만을 갖고, 따라서, 효율적 포트폴리오 구성주식 대부분이 주식간 연결구조의 외곽부분에 위치하는 경향이 확인되었다. 이상의 검증결과를 통하여, 기존연구에서 제안된 주식간 동적 연결구조의 접근법을 재무분야의 효율적 포트폴리오 이론과 결합하였을 때, 접근법은 기존 효율적 포트폴리오 구성주식들에 대한 새로운 시각을 제공할 수 있다는 것을 확인할 수 있었다.
Abstract
This paper try to combine the connection structure between stocks with efficient portfolio and investigate the topological characteristics of efficient portfolio. Several recent studies have been attempting to explain that the connection structure between stocks is organized by Power-Law distribution, this implies that most stocks have a few links, but only a few stocks have very large number of links. And researchers want to investigate the reason why the connection structure between stocks exhibited by Mantegna's approach is Power-Law distribution. Reasons are, the number of connection between stocks is determined by market factors and specific firm factors among many other factors. If a stock is more affected by common factors than specific factors, the stock has large number of links with other stocks, otherwise more affected by specific firm factors, the stock has a few links. Observed results is that more efficient stocks(investment weight is positive) in efficient portfolio are always located on the outer leaves of connection structure between stocks. This is the fact that more efficient stocks in efficient portfolio have a few link with other stocks and are more affected by specific firm factors than common factors.
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