MA(1)-GJR-GARCH(1,1)모형을 이용한 정보비대칭성에 관한 연구: 국내 IT기업을 중심으로

Abstract

The study investigates the symmetric and asymmetric information spillover effects between the returns of single stock futures and those of spot among Samsung Electronics, LG Electronics, and SK hynix with the Granger-causality test and MA(1)-GJR-GARCH(1, 1) model. The daily data of the spot return and futures return are employed from December 14, 2009 to August 22, 2012. The main results are as follows. The samples employed are representatives of IT industry in Korea. Until now, many papers have been published related to the price discovery with macro data. Most of previous researches have verified the US stock market leads to other countries’ stock markets in the broad perspective. On the other hand, those papers have tried to show the information spillover effect between futures markets and spot markets with various futures products such as stock index futures, physical product futures, interest futures, exchange futures. In particular, most papers specified to stock index futures markets which are successful in introduction of index stock futures haven’t shown the consistent results, which futures markets may lead spot markets. Even domestic researches related to information spillover effects have focused on KOSPI 200 futures index market. These results also haven’t suggested consistent performances similar to other previous results. This paper tries to analyze the relationship between returns of single stock futures and those of stocks on the microscopic aspects. The research employes three single stock futures like Samsung Electronics, SK hynix, LG Electronics among total 25 SSFs listed in Korea Exchanges. The returns of spot and those of nearby single stock futures are calculated taking the natural log of the price at t by the price at t-1. We employed the Granger-causality test to get preliminary information about information spillover effects between spot and futures of samples. The main results with returns of the single stock futures and spots as follows. On the basis of Granger causality test, the study implies that there are feedback lead-lag relations between Samsung Electronics and LG Electronics at the significant level, even rejecting the null hypothesis that LG Electronics does not granger cause Samsung Electronics is higher. The paper studies whether this information spillover effects result from bad news or good news by the asymmetric model, MA(1)-GJR-GARCH(1, 1). First, the asymmetric information spillover effect from the spot returns of Samsung Electronics to those of LG Electronics results from both bad news and good news of the previous return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the spot returns of LG Electronics to those of Samsung Electronics results from bad news of the previous return change of LG Electronics. Second, the asymmetric information spillover effect from the spot returns of Samsung Electronics to the futures returns of LG Electronics results from both bad news and good news of the previous spot return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the futures returns of LG Electronics to the spot returns of Samsung Electronics is due to bad news of the previous futures return change of LG Electronics. Third, the asymmetric information spillover effect from the futures returns of Samsung Electronics to the spot returns of LG Electronics results from both bad news and good news of the previous futures return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the spot returns of LG Electronics to the futures returns of Samsung Electronics results from bad news of the previous spot return change of LG Electronics. Fourth, the asymmetric information spillover effect from the futures returns of Samsung Electronics to the futures returns of LG Electronics doesn’t exist. Inversely the asymmetric information spillover effect from the futures returns of LG Electronics to the futures returns of Samsung Electronics is due to bad news of the previous futures return change of LG Electronics. In conclusion, both bad news and good news of Samsung Electronics’ spot returns and futures returns effect LG Electronics’ spot returns but only bad news of LG Electronics’ spot returns influence Samsung Electronics’ spot and futures returns. The bad news of futures returns of LG Electronics effects Samsung Electronics’ futures returns. Through such results, the paper suggests some implications. Even Samsung Electronics and LG Electronics are representative companies of IT industry in Korea. However the results provide the asymmetric information spillover effects. The reasons we can guess are the investors had taken the long position of Samsung Electonics with simultaneous short position through LG Electronics for risk aversion from Samsung Electronics through 2012. The strategy of these investors results in the increasing of Samsung Electronics and stable or decreasing of LG Electronics. Currently, the stock prices of Samsung Electronics have shown the stable of decreasing trend but those of LG Electronics have been in the increasing trend since the beginning of 2013. This results from the long position of undervalued LG Electronics and the short position of overvalued Samsung Electronics. In spit of above implications, this research doesn’t suggest the enough source of asymmetric information spillover effect.