Journal of Service Research and Studies (서비스연구)

The Society of service Science (서비스사이언스학회)
권호 표지
DOI QR코드

DOI QR Code

Analysis on the Investment Effect of ETFs

ETF(상장지수펀드)의 투자효과 분석

  • Jung, Hee-Seog (Sungkyul University, Department of Business Administration) ;
  • Kim, Sun-Je (Sungkyul University, Department of Business Administration)
  • Received : 2019.01.26
  • Accepted : 2019.03.28
  • Published : 2019.03.31
Download PDF
⟨ Previous Next ⟩

Abstract

The purpose of this research is to analyze the ETF market, which has a large increase in the number of listed shares and the market capitalization, and to identify the investment effects of ETFs. The study procedure and method used to calculate the return and change trend of ETFs for the sample of the transaction information, the transaction amount, and the market capitalization for the period from 2010 to 2018, and performed correlation and regression analysis. As a result, the ETF's total return was 2.11%, the domestic underwriting market ETF yield was 2.39%, and the stock ETF yield was 2.59%, which was lower than the KOSPI 200 index and the KOSPI 200 index. Index ETF was 2.63%, followed by stock ETF and oversea underwriting market ETF. The problem with ETF investment is that the annual return of ETFs and domestic ETFs is as low as 2%, which is not enough for investors to expect more than 5%. The study contributes to the realization of the ETF by analyzing the actual effect of the investment and to establishing considerations when buying ETFs from the viewpoint of investors. The direction of the research is to accumulate more ETF data and present the investment direction precisely.

상장종목 수와 시가총액이 급증하고 있는 ETF 시장을 분석하여 ETF의 투자 효과를 규명함으로써 투자 방안을 제시하는 것이 연구목적이다. 연구 절차와 방법은 2010년~2018년 기간 동안 거래내역과 거래금액, 시가총액 등 표본을 대상으로 ETF 종류별로 수익률 및 변화추이를 산출하였고, 상관관계와 회귀분석을 실시하였다. 연구결과, ETF 전체수익률은 2.11%, 국내기초시장 ETF 수익률은 2.39%, 주식 ETF 수익률은 2.59%로서 코스피 지수와 코스피200 지수상승률 보다 낮아서 투자자들이 기대했던 수익률 보다 낮았으며, 가장 수익률이 높은 ETF는 인덱스 ETF로서 2.63%를 기록하였고, 다음은 주식 ETF, 해외기초시장 ETF 순으로 나타났다. ETF 투자의 문제점은 전체 ETF와 국내기초시장 ETF의 연간수익률이 2%대로 낮아서 투자자들이 기대하는 5%이상의 수익률에는 미흡하였다. 연구기여도는 실제로 달성 가능한 ETF 투자효과를 분석하여 투자유의사항을 정립한 데 있고, 연구방향은 ETF 자료를 더 많이 축적해서 투자방안을 정밀하게 제시하고자 한다.

Keywords

References

  1. D. Nanigian(2018). "What Matters in ETF Selection", California State Univ, 2018.9.
  2. E. Sherrill and J. Stark(2018). "ETF Liquidation Determinants", Illinois State Univ, 2018.9.
  3. J. H. Chen, J. F. Diaz and Y. F. Huang(2013). "High Technology ETF Forecasting : Application of Grey Relational Analysis and Artificial Neural Networks", Frontiers in Finance and Economics, 10(2), 129-155.
  4. K. T. Saunders(2018). "Analysis of International ETF Tracking Error in Country-Specific Funds", Atlantic Economic Journal, 46(2), 151-160. https://doi.org/10.1007/s11293-018-9574-x
  5. L. R. Piccotti(2014). "ETF premiums and liquidity segmentation", Financial Review, 53, 117-152. https://doi.org/10.1111/fire.12148
  6. S. Peterburgsky(2018). "Leveraged ETF Pairs: An Empirical Evaluation of Portfolio Performance", CUNY Brooklyn College, 2018.10.
  7. T. Vashakmadze(2012). "ETF Portfolio Rebalancing for Retail Investors", Global Academic Society Journal : Social Science Insight, 5(13), 13-22.
  8. C. S. Hur, H. C. Kang and K. S. Eom(2012). "Price Efficiency of Exchange-Traded Funds in Korea". Journal of Money & Finance, 26(1), Korea Institute of Finance, 39-70.
  9. D. H. Kim and T. K. Park(2017), "A Study on the Investor Sentiment and Irrational Investors' Behavior Based on the Commodity ETF Market". The Korean Journal of Financial Engineering, 16(2), Korean Association of Financial Engineering, 87-106. https://doi.org/10.35527/kfedoi.2017.16.2.005
  10. H. K. Park(2013). "A study on the Tracking Error and Pricing Deviation of Equity related ETFs in Korean Markets", Doctorate thesis. Kookmin Univ, Seoul, 2014.2.
  11. H. K. Park, Y. J. Kwon and C. H. Hong(2014). "A study on the Tracking Error and Pricing Deviation of Index ETFs in Korean Markets", The Korean Journal of Financial Engineering, 13(4), Korean Association of Financial Engineering, 21-45. https://doi.org/10.35527/kfedoi.2014.13.4.002
  12. J. M. Jung(2012). "Tracking Error of ETF tracking KOSPI200. The Journal of Financial Management", 29(2), Korean Financial Management Association, 91-124.
  13. K. S. Eom and J. h. Park(2014). "Return Distributions of KOSPI200 Index ETFs and Investors'Limited Attention". Korean Journal of Financial Studies, 43(3), Korean Securities Association, 633-656.
  14. M. H. Yeom(2015). "Price discovery of the KOSPI200 nighttime futures and NYSE Korean ETF", Doctorate thesis. Hankuk University of Foreign Studies, Seoul, 2015.8.
  15. O. R. Kong(2013). "A study on Attention Effect and Asymmetric Volatility in Korea ETF Market", Doctorate thesis. Hanyang Univ, Seoul, 2014.2.
  16. S. K. Kang(2013). "A study of Profitability on Arbitrage trade using ETF", Korean Journal of Financial Studies, 42(3), Korean Securities Association, 619-637.
  17. S. K. Kang, Y. T. Byun and J. h. Park(2014). "An Empirical Study on Volatility Spillover Effect among KOSPI200, Futures, ETFs Markets", Korean Journal of Futures and Options, 22(4), Korea Derivatives Association, 675-697.
  18. S. W. Kim, Y. M. Kim and G. R. Kim(2018). "Determinants of ETF Differentials by Type, Journal of Money & Finance, 32(4), Korea Money & Financial Association, 151-178. https://doi.org/10.21023/JMF.32.4.5
  19. S. W. Lee(2013). "The Study of Analysis on Price and Performance about Leverage ETF", The Korean Journal of Financial Engineering, 12(4), Korean Association of Financial Engineering, 27-48. https://doi.org/10.35527/kfedoi.2013.12.4.002
  20. S. W. Lee(2018). "Tracking Error and Price Deviation of the Inverse ETFs", Korean Management Consulting Review, 18(1), The Korean Society of Management Consulting, 55-64. https://doi.org/10.20434/KRICM.2018.02.9.1.55
  21. Y. M. Kim(2018). "Analysis on Asymmetric Volatility of the Yield Rate of ETF", Journal of Industrial Economics and Business, 31(3), Korean Industrial Economic Association, 765-789. https://doi.org/10.22558/jieb.2018.06.31.3.765
  22. Y. T. Byun(2014). "Hedging Performance Using KODEX200 ETF", The Thesis Journal of Korea Contents Association, 14(11), The Korea Contents Association, 905-914. https://doi.org/10.5392/JKCA.2014.14.11.905