What Explains the Idiosyncratic Volatility in the Korean Stock Market?
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
Using the Fama-French three-factor model, this paper provides an explanation for the variation of idiosyncratic return in the Korean stock market over the period of 1990-2012. There had been an upward trend until 1999 in idiosyncratic volatility and its trend has been reversed afterwards. Our analysis yields three main results. Firstly, it appears that all four explanatory variables, two fundamentals related variables of the variance of return on equity and a proxy of growth options and two trading volume related variables of trading volume and foreign ownership ratio, explain considerable proportion of idiosyncratic return variation. Most interestingly, foreign investors have stabilizing effect on firm-specific risk in the Korean stock market. Secondly, a firm’s characteristics such as size and export orientation exert some influence on idiosyncratic volatility. While the role of variance of ROE is comparatively stable across both the sample periods and the group of stocks, growth options and foreign ownership ratio are more explanatory in large companies and major export industries. Lastly, the absolute and relative explanatory powers of the four explanatory variables vary through time and diminish as the sample period ends, implying the need to search for further explanatory variables.
Abstract
Using the Fama-French three-factor model, this paper provides an explanation for the variation of idiosyncratic return in the Korean stock market over the period of 1990-2012. There had been an upward trend until 1999 in idiosyncratic volatility and its trend has been reversed afterwards. Our analysis yields three main results. Firstly, it appears that all four explanatory variables, two fundamentals related variables of the variance of return on equity and a proxy of growth options and two trading volume related variables of trading volume and foreign ownership ratio, explain considerable proportion of idiosyncratic return variation. Most interestingly, foreign investors have stabilizing effect on firm-specific risk in the Korean stock market. Secondly, a firm’s characteristics such as size and export orientation exert some influence on idiosyncratic volatility. While the role of variance of ROE is comparatively stable across both the sample periods and the group of stocks, growth options and foreign ownership ratio are more explanatory in large companies and major export industries. Lastly, the absolute and relative explanatory powers of the four explanatory variables vary through time and diminish as the sample period ends, implying the need to search for further explanatory variables.
참고문헌 (33)
- Andrews, D. W. K., "Inference in Nonlinear Econometric Models with Structural Change", Review of Economic Studies, 55(4), pp.615~639 (1988)
- Inference in Econometric Models with Structural Change, "Andrews, D. W. K", Yale University, ~, pp.Cowles Foundation Discussion Paper , No. 832 (1987)
- Ang, A., "The Cross-Section of Volatility and Expected Returns", Journal of Finance, 51(1), pp.259~299 (2006)
- Ang, A., "High Idiosyncratic Volatility and Low Returns : International and Further U. S. Evidence", Journal of Financial Economics, 91(1), pp.1~23 (2009)
- Corporate Innovation, Price Momentum, and Equity Returns, "Apendjinou, K", Columbia University, ~ (2004)
- Bekaert, G., "Emerging Equity Market Volatility", Journal of Financial Economics, 43(1), pp.29~77 (1997)
- Boyer, B, "Expected Idiosyncratic Skewness", Review of Financial Studies, 23(1), pp.169~202 (2010)
- Brandt, M., "The Idiosyncratic Volatility Puzzle : Time Trend or Speculative Episodes?", Review of Financial Studies, 23(2), pp.863~899 (2010)
- Brown, G., "Firm-Specific Risk and Equity Market Development", Journal of Financial Economics, 84(2), pp.358~388 (2007)
- Campbell, J. Y, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk", Journal of Finance, 56(1), pp.1~43 (2001)
- Cao, C., "Can Growth Options Explain the Trend in Idiosyncratic Risk?", Review of Financial Studies, 21(6), pp.2599~2633 (2008)
- Chan, L, "The Stock Market Valuation of Research and Development Expenditures", Journal of Finance, 56(6), pp.2431~2456 (2001)
- Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, 33(1), pp.3~56 (1993)
- Fama, E. F., "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, 51(1), pp.55~84 (1996)
- Gallant, A. R., "Stock Prices and Volume", Review of Financial Studies, 5(2), pp.199~242 (1992)
- Guo, H., "On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns", Journal of Financial and Quantitative Analysis, 49(1), pp.271~296 (2014)
- Guo, H., "Average Idiosyncratic Volatility in G7 Countries", Review of Financial Studies, 21(3), pp.1259~1296 (2008)
- Irvine, P. J, "Idiosyncratic Return Volatility, Cash Flows, and Product Market Competition", Review of Financial Studies, 22(3), pp.1149~1177 (2009)
- Jones, C. M, "Transactions, Volume, and Volatility", Review of Financial Studies, 7(4), pp.631~651 (1994)
- Karpoff, J. M., "The Relation between Price Changes and Trading Volume : A Survey", Journal of Financial and Quantitative Analysis, 22(1), pp.109~126 (1987)
- 고봉찬, "저변동성 이상현상과 투자전략의 수익성 검증", 한국증권학회지, 43(3), pp.573~603 (2014), 한국증권학회
- Kim, J., "Market Liberalization and Foreign Equity Portfolio Selection in Korea", Journal of Multinational Financial Management, 19(3), pp.206~220 (2009)
- 김태혁, "한국 주식시장에서 3요인 모형을 이용한 주식수익률의 고유변동성과 기대수익률 간의 관계", 한국증권학회지, 40(3), pp.525~550 (2011), 한국증권학회
- Ko, K., "Characteristics and Performance of Institutional and Foreign Investors in Japanese and Korean Stock Markets", Journal of the Japanese and International Economies, 21(2), pp.195~213 (2007)
- Li, D., "Large Foreign Ownership and Firm-Level Stock Return Volatility in Emerging Markets", Journal of Financial and Quantitative Analysis, 46(4), pp.1127~1155 (2011)
- Malkiel, B. G, "Investigating the Behavior of Idiosyncratic Volatility", Journal of Business, 76(4), pp.613~645 (2003)
- Analysis of Korean Industries’ Export Diversification Pattern, "Min, S. H.", Korea Institute for Industrial Economics and Trade, ~ (2011)
- Newey, W. K, "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55(3), pp.703~708 (1987)
- Pastor, L., "Stock Valuation and Learning about Profitability", Journal of Finance, 58(5), pp.1749~1789 (2003)
- Pyun, C. S, "Volatility and Information Flows in Emerging Equity Market : A case of the Korean Stock Exchange", International Review of Financial Analysis, 9(4), pp.405~420 (2000)
- Schwert, G. W., "Stock Volatility in the New Millennium : How Wacky is Nasdaq?", Journal of Monetary Economics, 49(1), pp.3~26 (2002)
- Wei, S. X, "Why Did Individual Stocks Become More Volatile?", Journal of Business, 79(1), pp.259~292 (2006)
- Zhang, C., "A Reexamination of the Causes of Time-Varying Stock Return Volatilities", Journal of Financial and Quantitative Analysis, 45(3), pp.663~684 (2010)