한국자본시장에서 보험업 주가의 불변 및 시변 분산-공분산 구조에 관한 연구
A Study on Constant and Time Varying Covariance Dynamics of Insurance Stock Price in Korean Capital Market
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초록
주가 동학의 분산-공분산 구조는 분산투자효과, 헤지비율 산정, 자본관리 등 다양한 활용영역이 존재한다. 최근 Najand, Griffith and Marlett (2007)는 시변(time varying) 분산 구조를 이용해 보험업 주가수익률이 시장수익률을 초과함을 실증분석하였다. 이는 그 동안 학계에서 보험업의 주가 동학이 다른 업종과 차별된 이질성이 있음을 입증한 것이다. 본 논문은 요인분석, 군집분석, Harris, Stoja and Tucker(2007)이 제시한 S- GARCH모형 등을 적용하여 분산-공분산 구조를 도출하고 한국 자본시장에서도 보험업 주가동학의 이질성 여부를 검증하였다. 한국 자본시장의 18개 대표 업종지수를 기준으로 분산-공분산 구조를 적합시킨 결과, 미국 자본시장에 대한 선행연구와 같이 보험업의 이질성이 한국 자본시장에서도 유효함을 확인하였다. 특히, 보험업의 불변 및 시변 분산-공분산 구조가 경기변동에 덜 민감하게 반응하는 현상이 발견되어 보험업이 위험조정수익률이나 분산투자효과 측면에서 여타 산업에 비해 우수할 개연성이 있음을 발견하였다.
Abstract
The variance-covariance structure is very important in area of diversification effect, hedge ratio, capital management, and so on. Recently, adopting time varying variance structure, Najand, Griffith and Marlett(2007) showed that insurance sector could outperform over market. This study implies that dynamics of insurance stock price has idiosyncratic characteristics comparing to other industries. This paper has forecasted variance and covariance structure of insurance stock to examine whether insurance stock of Korean capital market is idiosyncratic, by factor analysis, cluster analysis and S-GARCH methods introduced by Harris, Stoja and Tucker(2007). The empirical results dealing with constant and time varying variance-covariance structure of 18 industry indices in Korean capital market show that idiosyncratic characteristics of insurance stock price is effective as previous US market studies. In other words, dynamics of insurance stock has other determinants comparing to other industries. Especially, in case of bear market, co-movement between insurance sector and market is lower than other industries, so risk adjusted return and diversification effect would be larger than other industries
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