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신흥 채권시장에서의 자국편의 결정요인 분석

Determinants of Home Bias in Emerging Bond Markets

이해영|김병준
한국재무관리학회 (Korea Financial Management Association)|2010.12|재무관리연구 (THE KOREAN JOURNAL OF FINANCIAL MANAGEMENT)|제27권 제4호|pp. 111-152

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참고문헌

키워드

자국편의과잉반응가설스프레드Credit SpreadHome BiasOverreaction HypothesisEconomic Fundamentals경제적 기초여건채권시장 유동성Bond Market Liquidity
주제분류경영학

초록

신흥국 채권시장의 자국편의(home bias)는 자본시장의 세계화가 진행되고 있음에도 불구하고 최근까지 매우 높게 나타나고 있다. 이러한 결과는 국제 채권시장에서 효율적인 국제투자자금의 분산투자 효과를 저하시키고, 신흥국에서의 자본조달 기능을 약화시키는 요인으로도 작용할 수 있다. 본 연구의 목적은 선진국에서보다 상대적으로 높게 나타나는 신흥국에서의 채권시장 자국편의를 결정하는 요인들을 파악하고자 하는데 있다. 실증적 분석결과 사전 예상대로 신흥국에서의 경제적 기초여건(fundamentals)이 빈약할수록, 채권시장의 유동성이 낮을수록 자국편의가 높게 나타나는 것으로 분석되었다. 그러나 사전 기대와는 반대로 신흥국 채권시장 스프레드의 경우 스프레드가 확대될수록 자국편의는 오히려 감소하는 것으로 나타나고 있다. 그 이유는 선진국투자자들이 신흥국에서의 스프레드 확대를 적극적인 차익투자 확대의 기회로 활용하기 때문이라고 파악되었다. 또한 이 같이 자국편의에 대한 채권시장 스프레드 변화의 영향력이 음(-)으로 나타난 결과는 해외투자자들이 신흥국에서의 스프레드 확대를 경제적 기초여건에 근거한 장기적 요인이 아닌 투자자들의 과잉반응에 의해 초래된 일시적 요인으로 파악하여 신흥국에서의 투자를 오히려 확대시킨 결과로도 해석될 수 있다. 즉, 이 결과는 약세시장에서의 스프레드의 상승이 과잉반응에서 비롯되었다는 기존 연구들의 견해를 본 연구에서도 지지한다고 추론할 수 있다.

Abstract

This study analyzes determinants of home bias in emerging bond markets. Based on the calculated results of home bias in each individual country during 2001 and 2008, it is confirmed that home biases in emerging market are bigger than those of developed countries and their sources mainly stem from bond market-specific factors rather than from country-specific macroeconomic factors. Major results of panel regression on the 18 emerging bond markets’home biases are as follows. First, it is significantly confirmed that increase in per capita GDP and decrease in country leverage ratio negatively affect the home biases in these emerging markets, reassuring the assumption that inbound bond investment from abroad can be expanded with the improved fundamentals in a certain country. Second, bond market liquidity and real exchange rate among market variables are shown to significantly have a negative and positive influence on the home bias in each emerging market,respectively, reassuring also market efficiency hypothesis. Third, the most interestingly in this paper, the countries’ credit spreads have a negative impact on each country’s home bias, which support such hypothesis as market overreaction postulating the market pariticipants’ contradictory behavior who recognize increases of spread in a certain country as a temporary overactive phenomenon rather than as a long-term signal for a change of fundamentals and expand their investment in that country resulting in reduction of home bias. Last, bond market volatility and skewness are proved to have an indirect positive and negative influence on the home bias, respectively, which can be another clue for investors’ sentiment hypothesis as shown in the third result.

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