한국주식시장 내에서 환위험을 고려한 분산투자 효과 측정

초록

How to hedge global asset allocation has been an important topic. The Korean investors have increased global investment significantly and rapidly. Majority of the Korean retail investors ‘hedge’ their global portfolio from exchange rate fluctuations by default. However, there have been debate whether such practice expands or narrows the investment opportunity set of the retail investors. We investigate how currency hedging affects the performance of global asset allocation from the perspective of Korean investors. We analyze efficient frontiers on the exhaustive combinations of global asset allocation and hedging. In addition, we perform the two kinds of analysis: all period analysis and rolling analysis. We analyze stock indexes, risk-free rates and exchange rate for six countries. The countries are USA, Japan, Germany, UK, China, Hong Kong. The stock indexes are Korea-KOSPI, USA-S&P500, Japan-Nk225, UK-FTSE100, Germany-DAX. China-Shanghai Composite index, Hong Kong-Hang Seng index. The risk free rates are Korea-CD91, USA-T-bill (1 year), Japan-T-bill (1 year), UK-T-bill (1 year), Germany-EURO LIBOR (3 months), China-benchmark rate, Hong Kong-benchmark rate (HKMA). The data period is from January 2005 to December 2013. We also analyze whether structural breaks exist around the global financial crisis. Then, we compare the performances of hedged portfolios with the unhedged portfolios. Our findings are as follows. First, on average unhedged global asset allocation outperforms hedged allocation. Stock indexes and currency rates tend to show negative correlation. This produces natural hedging. Eliminating currency exposure can remove this natural hedging. Second, the benefit of currency hedging tends to decrease overtime, in particular after late 2000 financial crisis. It becomes better to unhedge currency fluctuation after the crisis. This reflects the response of central banks to economic shock. Central banks hedge their capital market with currency rates. This increases the benefit of natural hedging between currency and asset, which increases the benefit of unhedging the currency risk. The results of analysis remain robust regardless of rolling window scale. However, the larger the rolling window size, the smaller the gap between hedged and unhedged efficient frontiers. Third, the benefit of global asset allocation tend to decrease. This reflects increasing co-movement of global assets. Our findings suggest the challenges to global asset managers and risk managers. If global asset managers and risk managers want to invest foreign market, they should carefully watch market conditions. The benefits of diversification in assets and currencies tend to decrease. However, our limitation is that we only consider foreign stock investors in Korea so that we not cover other asset. Next table summarizes our results.

키워드