ETF 도입 후의 인덱스펀드의 변화

Abstract

In this paper, we indirectly examine the changes in the investment strategy of index funds, which are the most commonly used passive investment products, around the introduction of the Exchange Traded Fund (ETF) in Korean stock market. Although previous studies have examined the index funds, they have focused on the demand in the market from the fund investor’s point of view rather than the supply which is the fund manager given the structure of index funds which would not allow the fund manager to adjust the portfolio in an active way. Since KOSPI200 was introduced in the Korean stock market in 1990, a great number of investment products following the index have been launched. Out of these products, we examine the index funds and KODEX200, both of which follow the KOSPI200 as a benchmark. The sample period is from January, 1990 to June, 2010 and 175 index funds following KOSPI200 have been examined in this study. We note that the average correlation between daily KOSPI200 return and daily index fund returns has increased significantly from 0.87 during the first half year of 1996 to 0.99 during the first half year of 2010. This increased correlation motivates us to investigate the relation between index funds returns and the KOSPI200 returns. We find that the sensitivity of index fund returns to the KOSPI200 returns significantly increased after the introduction of ETF. This increased sensitivity remains significantly after controlling the fund size, fees, and other variables that are reported to have explanatory power for the fund returns from the previous studies. That is, the index fund manager adjust her investment strategy to attract investors as the strong competitor (ETF) appears to the market. The empirical analysis with the correlations and tracking errors presents the similar results. The correlation between the KODEX200 return and the KOSPI200 return is close to 1 over the sample period and the sensitivity of the KODEX200 return on the KOSPI200 return is close to 1 with very small tracking error. We observe that the tracking error of index fund has decreased since the ETF introduced to the Korean stock market. We categorize the whole sample into two groups-equity index funds and enhanced index funds. In both groups, we find the sensitivity of index funds returns to KOSPI200 returns significantly increased after the ETF was introduced. In general, the enhanced index funds are more sensitive to KOSPI200 returns than the equity index funds are. In the OLS regression analysis, the coefficient for KOSPI200 returns with enhanced index funds is 0.981 but the coefficient with equity index funds is 0.861 over the whole sample period. However, when we add the interaction term with the KOSPI200 return and the dummy variable for the ETF introduction to examine the effect of the emergence of the competitor, the sensitivity increased from 0.921 to 0.984 with enhanced index funds but the sensitivity increased from 0.798 to 0.893 with equity index funds. Thus, equity index fund manager reactive more sensitively to ETF introduction than enhanced index funds manager. From this, we suggest that index fund investors should consider not only the apparent factors such as trading fees but also the implicit factors such as the fund manager’s ability. Since the actual portfolio information for the index funds is not available to the authors, the result from the analysis cannot be interpreted as a direct evidence for the index fund managers behavior. However, this could be resolved as the actual portfolio composition for the individual index fund is examined. We leave it to future research to explore these effects fully.