한국 자본시장에서 펀드플로우가 금융자산의 수익률과 변동성에 미치는 영향：주식시장을 대상으로
A Study of the Effects of Fund Flow on Market Return and Market Volatility：Evidences from the Korean Stock Market
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초록
본 연구에서는 한국 자본시장의 자료를 이용하여 주식형펀드의 펀드플로우와 주식시장의 수익률 및 변동성 간의 관계를 검증하고, 펀드플로우의 변동이 주식시장을 얼마나 교란할 수 있는지를 분석하였다. 연구결과는 한국 주식시장에서 펀드플로우와 주식수익률간의 관계가 가격압박가설이나 정(+)의 가격추종거래가설보다는 부(-)의 가격추종거래 또는 정보효과가 없는 정보시현(information revelations) 가설로 일부 설명될 수 있음을 말해준다. 펀드플로우와 주식시장변동성 간의 관계에 대한 분석결과는 한국 주식시장에서 펀드플로우와 주식시장변동성 간의 관계가 전통적인 수요-공급이론의 관점에서 해석될 수 있음을 보이며, 미국 시장에서 보인 변동성타이밍(volatility timing) 가설과는 배치되는 결과를 보여준다. 전이지수의 구성을 통해 펀드플로우의 변화가 주식시장의 수익률과 변동성의 변화를 얼마나 설명할 수 있는지를 분석한 결과는, 설명 비율이 5% 이하로 낮은 수준이며 시간에 따라 가변적이다. 다만, 주목할 것은 한국 자본시장에서 서브프라임 사태의 영향이 본격화된 시기인 2007년 말 이후 펀드플로우에 가해진 충격이 주식시장의 수익률과 변동성의 변화를 설명하는 비율이 상대적으로 높아져 상당기간 지속된다는 것이다. 이는 이 시기에 펀드시장에서 발생한 충격이 주식시장에 지속적으로 전이되었음을 말해준다. 그러나 분산분해의 설명력과 VAR 모형의 추정결과를 고려할 때, 펀드플로우에 가해진 충격이 주식시장의 수익률과 위험 변동을 설명하는 설명력은 매우 제한적으로, 이러한 충격이 주식시장 전체로 확산될 가능성은 그리 높지 않음을 보여준다.
Abstract
In this paper, we examine the dynamic relationships between equity fund flow and stock market return, and stock market volatility at the aggregate level in the Korean capital markets. We estimate some regression and VAR models, and construct a spillover index based on daily data. The spillover index of our study represents that how much shocks in fund flow can explain changes of market return or market volatility. Main results of this paper are as follows：First, current and lagged unexpected fund flows have a negative, but not significant relationship with market returns. Meanwhile, lagged stock market returns have a significant negative relationship with unexpected fund flows. These results mean that the relationship between fund flow and stock market return can be partly explained by negative feedback trading hypothesis(or information revelation hypothesis without information effect). Second, lagged fund flows have a significant positive relationship with stock market volatility, but lagged market volatilities have an insignificant positive relationship with unexpected fund flows. This means that a positive shock in fund flow predicts an increase in market volatility and that in the Korean capital markets the relationship between fund flow and market volatility can be partly explained by traditional demand-supply theory, not volatility timing hypothesis. Lastly, we construct and analyze a spillover index based on the forecast error variance decomposition of VAR model. The results show that explanatory powers of fund flow shocks are time-varying but very low under 5%, but in the period from the end of 2007 to the middle of 2008 surrounding the subprime mortgage crisis, the impacts of shocks in fund flow on market return and volatility are relatively high and persistent. This means that shocks in fund flow can be a cause of increasing the marketwide fluctuation of stock market. However, considering the estimation results of regression and VAR models, and the explanatory power of variance decomposition and spillover index, we can conclude that it is not very likely to induce the sudden and large marketwide fluctuation by changes of fund flow in the Korean stock markets.
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