ELS와 DLS 및 ELF 파생결합증권상품 간상호 영향에 관한 실증적 연구

Title
ELS와 DLS 및 ELF 파생결합증권상품 간상호 영향에 관한 실증적 연구
Other Titles
An Empirical Study on the Mutual Influence among ELS, DLS and ELF in the Derivatives Market
Author(s)
임병진최원근[최원근]
Keywords
ELS; DLS; ELF; derivatives-linked security market; Granger Causality; correlation
Issue Date
201408
Publisher
한국무역연구원
Citation
무역연구, v.10, no.4, pp.915 - 930
Abstract
This empirical study on the mutual influence among ELS(equity-linked security),DLS(derivatives-linked security, DLS) and ELF(equity-linked fund, ELF) in thederivatives-linked security market used monthly data over the period from January 2010 toJune 2014 covering 41 trading months in the research. In this paper, the data weredifferentiated by taking natural logarithms. Data were analysed using VAR(VectorAutoregressive), impulse response, variance decomposition and Granger causality. The main findings of the study were as follows. First, the correlation between ELS andDLS was found to be strong at (+)0.702410, while the correlation between ELS and ELF was(-)0.020266 and the correlation between DLS and ELF was (+)0.182662. Second, the levelvariables of the monthly sales for ELS and DLS were found to be non-stationary, but theirfirst difference of Log provided a stationary time series. The monthly sales variables of ELFwere, however, shown to be non-stationary both before and after their first difference. Third,there was at least one cointegration relationship between ELS, DLS and ELF. Finally, DLSand ELF Granger caused ELS.
URI
http://hdl.handle.net/YU.REPOSITORY/30966
ISSN
1738-8112
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경영대학 > 경영학과 > Articles
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