earticle

영어

In this study, I examine the fund performance of National Pension Service (NPS) of Korea and analyzed the mutual risk transfer (volatility spillover) effect between Korea Composite Stock Price Index (KOSPI) and several investment sectors of NPS funds. Major findings are as belows. Firstly, almost every sector of NPS funds reveals favorable performance on the basis of risk-adjusted return measure such as Sharpe ratio, Treynor ratio, and Jensen's alpha. However, it is required to enhance the share of stock investment in the near future resulting from the fact that annual profitability of stock on average is far better than that of bond in the past 14 years according to the additional separate analysis. Secondly, the volatility shock from the NPS' domestic stock sector shows significant positive impact on the KOSPI market through the estimation results of multivariate GARCH(generalized autorgressive conditional heteroscedasticity) model. Accordingly, it is needed that NPS should decrease the weight of domestic stock investment as well as increase the weight of overseas stock investment to mitigate the volatility shock of the overall domestic stock market from the NPS stock holdings. Thirdly, down shock from the NPS' bond holding sector is shown to be transferred to the Korean stock market as well as the NPS' stock holding sector. This means that NPS' bond holding sector as the biggest institutional bond investor in Korea may lead to the stock market disturbances. Accordingly, it is desirable to decrease the domestic bond investment weight gradually as well as to increase the foreign stock investment weight in order to mitigate the shock from the NPS' bond holding sector. Finally, it is required to accelerate the globalization of investment target, specialization of risk management process instead of satisfying the past favorable fund performance of NPS if we remember the fact that NPS' pension fund is the last resort for the basic senior life planning of the ordinary people in Korea.