차익거래 비대칭이 고유변동성 퍼즐에 미치는 영향: 한국 주식시장
The Effect of Arbitrage Asymmetry on the Idiosyncratic Volatility Puzzle: Korea Stock Market
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초록
본 논문은 국내 주식시장에서 차익거래 비대칭이 IVOL 퍼즐에 미치는 영향을 검증한다. 차익거래 비대칭을 구별하기 위해 Stambaugh, Yu and Yuan(2015)에서 사용된 시장이상 현상을 이용한다. 주요 실증분석 결과를 보면, 첫째, 국내 주식시장에서 IVOL별로 5분위 그룹으로 나눌 경우 IVOL이 높은 하위 포트폴리오에서 기대수익률이 음(-)으로 나타나는 효과가 미국 주식시장을 분석한 Stambaugh, Yu and Yuan(2015)의 결과보다 더 강하게 나타난다. 이는 IVOL 추정방법과 관계없이 항상 일정한 패턴을 보인다. 둘째, 가격오류별로 5분위 그룹으로 나눌 경우 Stambaugh, Yu and Yuan(2015)과 마찬가지로 과대평가된 하위 포트폴리오에서 음(-)의 수익률을 보이지만 과소평가된 하위 포트폴리오에서는 양(+)의 수익률을 보이는 것이 많다. 이는 IVOL 추정방법과 관계없이 항상 일정한 패턴을 보인다. 전체적인 구분성과는 Stambaugh, Yu and Yuan(2015)에 비해 다소 떨어지는 것처럼 보일 수 있다. Stambaugh, Yu and Yuan(2015)에서는 가격오류가 과소평가된 그룹에서 대부분 수익률이 양(+)으로 나타나는 반면 본 논문의 수익률은 음(-)의 수익률이 양(+)으로 전환하는 것이 많지 않기 때문이다. 그러나 이는 가장 높은 IVOL 하위 포트폴리오의 IVOL이 높고 음(-)의 수익률이 강해서 많이 낮아지기는 했지만 양(+)으로 전환하지 못하는 것이 이유인 것으로 생각된다. 비록 과소평가된 하위 포트폴리오의 수익률이 양(+)으로 전환하지 못한 것이 많지만 그 크기는 현저하게 줄어들어서 차익거래 비대칭의 효과는 충분히 나타나는 것으로 생각된다.
Abstract
This paper tests the effect of arbitrage asymmetry on the idiosyncratic volatility puzzle in the domestic market. We also use the market anomaly to distinguish arbitrage asymmetry used in Stambaugh, Yu and Yuan(2015). The main results are as follows. Firstly, the expected returns of the Korean stock market are more strongly negative in the lower IVOL groups of the quintile portfolios than those of the US market in Stambaugh, Yu and Yuan(2015). The negative patterns are constant regardless of the estimation methods of IVOLs. Secondly, the expected returns are negative in the overpriced groups of the quintile portfolios, but many expected returns turn into positive in the underpriced groups same with the results in Stambaugh, Yu and Yuan(2015). These patterns are also constant regardless of the estimation methods of IVOLs. These patterns seem to be less evident than those in the Stambaugh, Yu and Yuan(2015). Because while the expected returns are negative in the overpriced groups of the quintile portfolios, almost all the expected returns turn into positive in the underpriced groups in the Stambaugh, Yu and Yuan(2015), but many negative expected returns do not turn into positive in our results. IVOLs are higher in the higher IVOL groups and the expected returns are more negative in our results than those in Stambaugh, Yu and Yuan(2015). So, even though the absolute amounts of the negative returns get much smaller, they fail to turn into positive in our results. Because even though many expected returns fail to turn into positive in the underpriced groups in our results, the absolute amounts of the negative returns get much smaller, we think the effect of arbitrage asymmetry on the idiosyncratic volatility puzzle is evident in the domestic market.
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