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안전자산과 포트폴리오 성과에 관한 연구

  • 염명훈 키움증권 이사
  • 윤주영 Global X Japan CIO
  • 김지훈 연세대학교 정경대학 경영학부 조교수
Baur & Lucey(2010)는 안전자산(safe haven property)을 시장이 불안할 때 다른 위험자산과 음(-)의 상관관계를 갖거나 거의 상관관계가 없는 자산으로 정의하였으며 금이 이러한 성질을 가지고 있음을 보여주었다. 본 연구에서는 KRX금시장 데이터를 중심으로 한국시장에서 금시장이 주식시장에 대한 안전자산 역할을 할 수 있는지 분석하였다. KRX금시장이 개장한 2014년 3월 24일부터 2020년 4월 29일까지의 표본을 사용하여 실증분석을 한 결과, 금과 원달러환율은 주식시장과 유의한 음(-)의 상관관계를 보여 안전자산 역할을 하는 것을 확인하였으며, 특히 KRX금시장의 금가격은 주식 하락기에 높은 수익률을 보이는 것을 확인할 수 있었다. 안전자산을 활용한 포트폴리오 성과를 분석하기 위해 최소분산 포트폴리오와 동일가중 포트폴리오의 역사적 표준편차와 샤프지수를 분석하였다. 실증분석 결과, 금은 주가 하락기에서 포트폴리오 수익률 하락폭을 만회하여 성과를 높인다는 측면에서 전통적인 안전자산인 채권과 유사한 역할을 함을 확인할 수 있었다. 특히 금이 포함된 포트폴리오는 최소분산 포트폴리오보다 동일가중 포트폴리오로 구성되었을 때 주가 하락기에서의 성과가 우수함을 확인하였다. 이는 채권과 다르게 금은 주식과의 상관계수가 안정적이지 않기에 동일가중 포트폴리오가 분산행렬 추정 오류에 대해 강건하게 작용하기 때문으로 보인다. 또한 금과 미국달러 그리고 주식시장의 시차에 따른 영향을 VAR 모형을 통해 분석한 결과, 한국 주식시장 수익률과 금 수익률 간에는 동태적으로도 유의한 음(-)의 관계가 있음을 확인하였다.

Is Gold a Good Safe Haven for the Korean Stock Market?

  • Myeonghoon Yeom
  • Jooyoung Yun
  • Jihun Kim
During the economic downturn, the demand for safe haven properties increases, which is known as the flight-to-quality phenomenon. Thereafter, the global financial crisis increase demand for safe assets. Interest in safe haven property and flight-to-quality phenomenon has increased not only in practice but also in academic circles. Baur & Luecy(2010) defined a safe haven property as an asset that has a negative correlation or little correlation with other risky assets when the market is unstable. This study analyzed whether the gold market can function as a safe haven property to the Korean stock market, focusing on KRX gold market data. Gold traditionally has the nature of a safe asset because of its physical scarcity and the historical facts that itself served as currency. Studies investigating the gold market and stock market after the financial crisis confirm that the gold market serves as a sure safe haven for advanced countries especially with key currencies. Baur and Lucy (2010) showed that gold serves as a safe haven for the stock markets of the United States and major European countries, and studies such as Ciner et al. (2013), Baur and McDermott (2010), and Liu (2010) also show that gold serves as a safe haven in developed countries. However, several studies investigate whether gold plays a role as a safe asset in emerging markets, while no consistent consensus has yet been achieved. Emerging markets are well known to have different characteristics from advanced countries during the financial crisis while emerging central banks and others increase the weight of gold to hedge the depreciation of the U.S. dollar during the financial crisis, and demand for gold will be different from advanced countries. For this reason, the results of gold serving as a safe haven for the stock market in emerging markets vary depending on the sample period. Many studies on the gold market in emerging markets, including Korea, does not directly use the domestic gold market, so there is a time difference when using daily data. As a result, they do not reflect properly the price information of gold. For this reason, it is necessary to study using domestic gold market data. The KRX gold market which is corresponding to the Koran stock markets in opening time and has relatively low investment costs. We analyze the correlation between KOSPI and the safe haven assets and compare the performance of the portfolios including KOSPI and the safe haven assets. We also include analyzing the dollar and bonds, which is a traditional risk-free asset. We employ daily returns of gold prices in the KRX Gold Market from March 24, 2014, which is the opening day of the KRX Gold Market, to April 29, 2020. We also use daily returns of the bond ETF, which underlying asset is the 3-year Korean Treasury-Bond, and use daily returns of KRW-USD exchange rate during the same sample period to the KRX Gold Market. As a result of empirical analysis gold and USD shows a significant negative correlation with the Korean stock market, respectively, which implies both gold and USD paly role of a safe asset against the Korean stock market. In particular, the KRX gold market shows high returns during the periods when stock markets fell down. Furthermore, we analyzed the effects of the properties of safe assets such as gold and the US dollar on portfolio performance, through the historical standard deviation and the Sharpe ratio index of the minimum variance portfolio and the equal-weighted portfolio. In terms of portfolio performance, gold plays a similar role as a traditional safe asset such as Treasury bonds improving performance by recouping the decline in stock returns within the stock price down turns. Gold price increases could further enhance portfolio performance than Treasury bonds. Whereas the KRX gold market, unlike treasury bonds, is not stable in correlation with KOSPI. When constructing the equal-weighted portfolio, performance is better on the basis of excess returns and Sharpe ratio indices rather than constructing minimum variance portfolios that change the proportion of gold. Furthermore, we analyze the dynamics among gold, stock, and USD employing an analysis of the vector autoregression (VAR) model, and find that there is a significant negative (-) response between gold and the Korean stock market. However, there was no significant negative reaction between the U.S. dollar and the Korean stock market. In conclusion, the empirical analysis of the stock market, including gold, shows that the gold market serves as a safe haven for Korean stock investors and that it can increase performance when incorporated in the investing portfolio. Characteristics of gold as a safe asset is also expected to provide new insights to stock investors. In general, safe assets are only known to hedge risk, but it would be helpful research in practice and academia to improve returns if they were operated with risky assets.
Safe haven,Gold,Dollar,Optimal portfolio,KRX gold market