earticle

영어

The study investigates the symmetric and asymmetric information spillover effects between the returns of single stock futures and those of spot among Samsung Electronics, LG Electronics, and SK hynix with the Granger-causality test and MA(1)-GJR-GARCH(1, 1) model. The daily data of the spot return and futures return are employed from December 14, 2009 to August 22, 2012. The main results are as follows. The samples employed are representatives of IT industry in Korea. Until now, many papers have been published related to the price discovery with macro data. Most of previous researches have verified the US stock market leads to other countries’ stock markets in the broad perspective. On the other hand, those papers have tried to show the information spillover effect between futures markets and spot markets with various futures products such as stock index futures, physical product futures, interest futures, exchange futures. In particular, most papers specified to stock index futures markets which are successful in introduction of index stock futures haven’t shown the consistent results, which futures markets may lead spot markets. Even domestic researches related to information spillover effects have focused on KOSPI 200 futures index market. These results also haven’t suggested consistent performances similar to other previous results. This paper tries to analyze the relationship between returns of single stock futures and those of stocks on the microscopic aspects. The research employes three single stock futures like Samsung Electronics, SK hynix, LG Electronics among total 25 SSFs listed in Korea Exchanges. The returns of spot and those of nearby single stock futures are calculated taking the natural log of the price at t by the price at t-1. We employed the Granger-causality test to get preliminary information about information spillover effects between spot and futures of samples. The main results with returns of the single stock futures and spots as follows. On the basis of Granger causality test, the study implies that there are feedback lead-lag relations between Samsung Electronics and LG Electronics at the significant level, even rejecting the null hypothesis that LG Electronics does not granger cause Samsung Electronics is higher. The paper studies whether this information spillover effects result from bad news or good news by the asymmetric model, MA(1)-GJR-GARCH(1, 1). First, the asymmetric information spillover effect from the spot returns of Samsung Electronics to those of LG Electronics results from both bad news and good news of the previous return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the spot returns of LG Electronics to those of Samsung Electronics results from bad news of the previous return change of LG Electronics. Second, the asymmetric information spillover effect from the spot returns of Samsung Electronics to the futures returns of LG Electronics results from both bad news and good news of the previous spot return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the futures returns of LG Electronics to the spot returns of Samsung Electronics is due to bad news of the previous futures return change of LG Electronics. Third, the asymmetric information spillover effect from the futures returns of Samsung Electronics to the spot returns of LG Electronics results from both bad news and good news of the previous futures return change of Samsung Electronics. Inversely the asymmetric information spillover effect from the spot returns of LG Electronics to the futures returns of Samsung Electronics results from bad news of the previous spot return change of LG Electronics. Fourth, the asymmetric information spillover effect from the futures returns of Samsung Electronics to the futures returns of LG Electronics doesn’t exist. Inversely the asymmetric information spillover effect from the futures returns of LG Electronics to the futures returns of Samsung Electronics is due to bad news of the previous futures return change of LG Electronics. In conclusion, both bad news and good news of Samsung Electronics’ spot returns and futures returns effect LG Electronics’ spot returns but only bad news of LG Electronics’ spot returns influence Samsung Electronics’ spot and futures returns. The bad news of futures returns of LG Electronics effects Samsung Electronics’ futures returns. Through such results, the paper suggests some implications. Even Samsung Electronics and LG Electronics are representative companies of IT industry in Korea. However the results provide the asymmetric information spillover effects. The reasons we can guess are the investors had taken the long position of Samsung Electonics with simultaneous short position through LG Electronics for risk aversion from Samsung Electronics through 2012. The strategy of these investors results in the increasing of Samsung Electronics and stable or decreasing of LG Electronics. Currently, the stock prices of Samsung Electronics have shown the stable of decreasing trend but those of LG Electronics have been in the increasing trend since the beginning of 2013. This results from the long position of undervalued LG Electronics and the short position of overvalued Samsung Electronics. In spit of above implications, this research doesn’t suggest the enough source of asymmetric information spillover effect.

한국어

본 연구는 2009년 12월 14일부터 2012년 8월 22일까지 IT산업을 이끌고 있는 삼성전자, 엘지전자 및 SK 하이닉스 현물과 선물의 일별종가 수익률 671개를 표본으로 설정하였다. 이들 개별주식의 현물과 선물시장간의 선도․지연효과가 존재하는지를 분석하기 위해 그랜즈 인과관계모형을 사용하였다. 또한 표본간의 변동성에 대한 비대칭적 정보전달메커니즘을 규명하기 위해 MA(1)-GJR-GARCH(1, 1)모형을 이용하였으며 주요 분석결과는 다음과 같다. 첫째, 그랜즈 인과관계 검정결과, 삼성전자 현․선물수익률과 엘지전자 현․선물수익률 사이에는 상호피드백(feedback)적인 정보이전효과가 존재하는 것으로 나타났으며, 특히 엘지전자로부터 삼성전자로의 정보이전효과에 대한 예측력이 상대적으로 강하게 나타났다. 둘째, 비대칭적 정보이전 효과에 대한 검정결과, 엘지전자 현물수익률에 대한 삼성전자 현물수익률의 정보이전효과는 과거의 삼성전자 현물수익률변화의 악재정보(bad news)와 호재정보(good news)에 기인함을 추론해 볼 수 있다. 반면 삼성전자 현물수익률에 대한 엘지전자 현물수익률에 대한 정보이전효과는 과거 엘지전자 현물수익률변화의 악재정보에 기인하는 것으로 보인다. 셋째, 엘지전자 선물수익률에 대한 삼성전자 현물수익률의 정보이전효과는 과거의 삼성전자 현물수익률변화의 악재정보와 호재정보에 의한 것으로 나타났다. 반면 삼성전자 현물수익률에 대한 엘지전자 선물수익률의 정보이전효과는 과거의 엘지전자 선물수익률변화의 악재정보에 기인한 것으로 판단된다. 넷째, 엘지전자 현물수익률에 대한 삼성전자 선물수익률의 정보이전효과는 과거 삼성전자 선물수익률 변화의 악재정보와 호재정보에 의한 것으로 나타났다. 반면 삼성전자 선물수익률에 대한 엘지전자 현물수익률의 정보이전효과는 과거 엘지전자 현물수익률변화의 악재정보에 의한 것임을 추론할 수 있다. 마지막으로 양시장의 선물수익률간의 결과는 삼성전자 선물수익률에 대한 엘지전자 선물수익률만이 정보이전효과가 존재하는 결과를 보였으며 이는 과거 엘지전자 선물수익률변화의 악재정보에 의한 것으로 나타났다.