S&P500
Asia Moo CEO I
II
S&P500 OI ( ) ( ( ) III
IV
............... 1. 1. 8. 10. 13. 15.. 18... 18... 22... 28... 39... 49 V
.. 59... 60... 61... 64... 72... 80 91. 92. 99. 111. 119 127. 127. 132... 134... 139... 141... 142 VI
1-1 2-1 3-1 4-1 4-2 4-3 4-4 4-5 4-6... 17... 49... 65 OI... 94 OI... 94 OI... 97... 103... 104... 106 1-1 2-1 2-2 2-3 2-4 2-5... 16... 42... 46... 50 S&P500... 53 S&P 500 (2005/05/03)... 55 2-6 S&P 500 (2005/05/03)... 56 2-7 3-1 (2005 5 6 )... 58... 63 VII
3-2 3-3 3-4 3-5 3-6 ( )... 66... 70... 76... 79 ( )... 90 4-1 COT OI ( ) ( : 1988/1~2003/12)... 92 4-2 COT ( ) ( : 1988/1~2003/12)... 95 4-3 OI ( 1988/1~1989/12)... 96 4-4 OI ( 1990/1~2003/12)... 96 4-5 4-6 OI... 97 OI ( ) ( 1988/1~1989/12)... 100 4-7 4-8 4-9 4-10 ( T )... 102 ( T )... 105 ( )... 106 (Granger Causaliy )... 108 4-11 4-12 4-13 (VAR )... 108 ( )... 116 ( )... 117 VIII
4-14 ( ) ( 1990/1/15~1994/1/4)... 118 4-15 4-16 4-17 4-18 (VAR )... 120 ( )... 121 (VAR )... 122 ( )... 123 4-19 4-20 (VAR )... 124 ( )... 125 6-1 OI ( ) ( 1999/1~2000/12)... 139 6-2 6-3... 141 ( )... 142 6-4 ( )... 144 6-5 ( )... 146 IX
2-1 LSV... 23 2-2 CSSD... 24 2-3 CSAD... 24 2-4 Sae Space... 25 3-1 OI (RLOI )... 64 H 3-2 ( TR )... 68 S 3-3 ( TR )... 68 3-4 COT OI (LSR )... 68 3-5 (Bias)... 69 3-6 (RSI)... 69 3-7 (Sd )... 71 3-8 (Dep )... 71 3-9 (HI )... 80 3-10 OI ( )... 81 3-11 (HFB )... 83 3-12 (AHFB )... 84 3-13 ( ) 84 3-14 (Granger Causaliy )... 84 3-15 (VAR )... 85 3-16 ( )... 85 3-17... 87 X
3-18 (VAR ) 88 3-19 ( )... 88 3-20 (VAR ) 88 3-21 ( )... 88 3-22 (VAR )... 89 3-23 ( )... 89 XI
(CAPM) (Haugen, 2001) ( 2003) (Herding Behavior) 1
1 2 3 (Nofsinger and Sias, 1999) (Coe and Sander, 1997) LSV 4 (CSSD) (CSAD) 5 1 2 3 4 LSV Lakonishok e al.(1992) Lakonishok e al.(1992) Wermers(1999) Bowe(2004) Bowe 5 CSSD CSAD Chrisie and Huang (1995) Chang, Cheng and Khorana(2000) CSSD CSAD CSSD 2
Nofsinger and Sias(1999) Iihara, Kao and Tokunaga(2001) (Lakonishok e al., 1992; Oehler, 1998; Wermers, 1999; Sias, 2004; Fong, Gallagher, Gardner and Swan, 2004) (Oehler, 1998; Fong, Gallagher, Gardner and Swan, 2004) (Wermers, 1999; Fong, Gallagher, Gardner and Swan, 2004) (Hwang and Salmon, 2004; Chen, 2002; Bowe and Domua, 2004) (Lakonishok e al.,1992; Wermers, 1999; Choe, Kho and Sulz, 1998; Bowe and Domua, 2004) (Pael, Zeckhauser, and Hendricks, 1991; Lakonishok, Shleifer and Vishny, 1994; Sirri and Tufano, 1998) (CAPM) 3
Gilber(2000) Wang(2004) Gleason, Lee and Mahur(2003) Gilber(2000) 1993~1995 (Open Ineres OI) OI OI Gilber Wang(2004) 1992 10 2003 3 Wang Gleason, Lee and Mahur(2003) 1986~1998 CSSD CSAD CSSD CSAD KR-CRB(Knigh Ridder-Commodiy Research Bureau) Gilber 4
Wang Gleason, Lee and Mahur T-Bill S&P500 CSSD CSAD S&P500 LSV ( ) OI 6 ( OI ) T 6 OI OI 5
( ) S&P500 OI Gilber Gilber (1993/9 ~1994/6 1994/6~1995 ) OI (14 ) 6
( ) 7
S&P500 ( ) ( ) ( ) OI (Chang, Cheng and Khorana, 2000) (, 2003) (Hwang and Salmon, 2004; Bowe and Domua, 2004) 8
Devenow(1996) 9
LSV OI S&P500 10
S&P500 Gilber(2000) Gilber Gilber (2003) 2002/7 2003/1 1992/9/30 COT 11
S&P500 Devenow(1996) 12
1988/1~2003/12 S&P500 OI 1988/1~1989/12 CFTC OI (COT) 1992/9/30 S&P500 CFTC (COT) COT COT LSV CSSD CSAD 13
14
( 1-1) ( 1-1) 15
1-1 1. 1. 1. 2. 2. 2. 1. 1. 1. 2. ( 2. ) ( ) 1. 1. 1. 2. 2. 2. 3. 3. 3. 16
1-1 1. T 1. T 2. VAR 1. VAR 1. 2. 17
LSV CSSD CSAD Sae Space Model S&P500 1936 (The General Theory) Froo, Sharfsein and Sein(1992) X Y X X Y X Y X X Y X 18
Banerjee(1992) Nofsinger and Sias(1999) Coe and Sander(1997) Hwang and Salmon(2004) (Bikhchandani, Hirshleifer, and Welch, 1992) Devenow(1996) (Admai and Pfleiderer, 1988; Chowdhry and Nanda, 1991) 19
Morck e al.(1989) (Rajan, 1994) IPO (Welch, 1992) Corb(1993) Chen(1995b) (D Arcy and Oh, 1996) (Graham, 1999) ( ) (Lee, 1992; Avery and Zemsky, 1995; Wermers, 1994) 20
21
LSV CSSD CSAD Sae Space LSV Lakonishok, Schleifer, and Vishny (1992) LSV 2-1 Wermers(1999) Bowe(2004) LSV Choe, Kho and Sulz(1998) Oehler(1998) Jones, Lee and Weis(1999) Oehler and Chao(2000) Lobao and Serra(2003) Bowe and Domua(2004) Sias(2004) Dorn, Huberman and Sengmueller(2004) Fong, Gallagher, Gardner and Swan(2004) (1995) (1997) (1998) (2000) (2000) (2001) (2001) (2002) (2003) (2004) 22
2-1 LSV H () i = B() i p ( () ()) () AF() i B i S i B(i) i S(i) P() AF(i) i B( i) p ( () ()) () B i S i CSSD CSAD Chrisie and Huang (1995) CSSD 2-2 Chrisie and Huang Chang, Cheng and Khorana(2000) CSAD 2-3 CSSD CSSD CSAD Gleason(2003 and 2004) CSSD CSAD ETF Hwang(2004) Henker(2004) (2001) (2002) (2002) 23
2-2 CSSD CSSD = N ( Ri, Rm, ) i= 1 N 1 2 CSSD = L L U U α β D β D ε R i, i R m, N L D U D 1% 5% 10% 1 1% 5% 10% 1 2-3 CSAD CSAD = 1 N N = 1 R i, R m, CSAD = α γ R γ R ε m [ m ] 1, 2, 2 Sae Space Model Hwang and Salmon(2004) CSSD CSAD SMB HML ( S&P500 Moody AAA BAA ) Sae Space 2-4 CSSD CSAD 24
CAPM (Bea ) 1 log Sae Space [ ( )] log Sd β log( 1 h ) (= H m C im ) Sae Space Hwang and Salmon(2004) SMB( ) HML( ) S&P500 Moody AAA BAA H Hwang and Salmon(2004) H m 2-4 Sae Space b E ( ri ) b = β im = β im hm ( β im 1) E ( r ) m m m b Sd C ( β im ) = EC (( β = Sd ( β )(1 h ) C im m im h m ( β im 1) 1) 2 ) = E C (( β im 2 1) )(1 h m ) b log[ Sd ( β )] = log[ Sd ( β )] log(1 h ) log Sd C im b [ C im ] m m m C im ( β ) = µ H ν ( µ E[ log[ ( β ) ] 2 m = Sd C im ν m ~ iid(0, σ mν ) H m = log( 1 hm ) ) m s.. H m = mh m 1 φ η m 25
E r ) ( m b E r ) i ( i b β im i β im i 0 i h m 1 i 1 LSV CSSD CSAD Sae Space S&P500 S&P100 MidCap 400 S&P SmallCap 600 S&P SmallCap 2002 S&P500 T-Bill 26
50 LSV VAR 27
ETF Chrisie and Huang(1995) CSSD Chang, Cheng and Khorana(2000) CSAD Chrisie and Huang(1995) NYSE AMEX Henker(2004) 2000~2002 ASX Chang, Cheng and Khorana (2000) 28
Hwang and Salmon(2004) CSSD CSAD Bea 1993~2002 Hwang and Salmon(2004) ETF Gleason, Lee and Mahur(2003) 1986 1998 KR-CRB (Knigh Ridder-Commodiy Research Bureau) CSSD CSAD Gleason and Mahur(2004) ETFs S&P500 CSSD CSAD ETF Lakonishok e al.(1992) LSV 29
Lakonishok e al.(1992) 1985~1989 Oehler(1998) 1988~1993 28 Wermers(1999) 1975~1994 Fong, Gallagher, Gardner and Swan(2004) 1994~2001 30 Voronkova and Bohl(2003) 1999~2001 Lobao and Serra(2003) 1998~2000 32 Oehler and Chao(2000) 57 Nofsinger and Sias(1999) 1977~1996 Jones, Lee and Weis(1999) 1984~1993 1,205 Iihara, Kao and Tokunaga(2001) 1975~1996 Chen(2002) 1995~2000 Sias(2004) 1983~1997 Bowe and Domua(2004) 1997~1999 JSX Dorn, Huberman and Sengmueller(2004) 1999,1,1~2000,5,31 30
(Bowe and Domua, 2004) CFTC (COT) Gilber(2000) Wang(2004) Gilber(2000) 1993~1995 Wang(2004) 1992,10~2003,3 COT ( ) ( ) ( ) (OI) SMB( ) HML( 31
) CSSD Chrisie and Huang(1995) NYSE AMEX Gleason, Lee and Mahur(2003) Gleason and Mahur(2004) ETFs Henker(2004) ASX (Chang, Cheng and Khorana, 2000) Hwang and Salmon(2004) SMB HML S&P500 Moody AAA BAA (Lakonishok e al., 1992; Oehler, 1998; Wermers, 1999; Sias, 2004; Fong, Gallagher, Gardner and Swan, 2004) (Oehler, 32
1998; Fong, Gallagher, Gardner and Swan, 2004) Sias(2004) (Informaional Cascades) Bowe and Domua(2004) (Lakonishok e al., 1992) Lobao and Serra(2003) Wermers(1999) Fong, Gallagher, Gardner and Swan(2004) Gilber(2000) Wang(2003) OI ( ) 33
7 1997 7 1998 5 1998 9 1997 7 1998 9 Hwang and Salmon(2004) Chen(2002) Bowe and Domua(2004) JSX 7 (2003) 2002/7 2003/1 1992/9 34
S&P500 1997 9 1998 9 Lakonishok e al.(1992) 8 Hwang and Salmon(2004) Lakonishok e al.(1992) Choe, Kho 8 S&P500 35
and Sulz(1998) KSE Wermers(1999) Jones, Lee, and Weis(1999) Bowe and Domua(2004) JSX Wermers(1999) Nofsinger and Sias(1999) Iihara, Kao and Tokunaga (2001) Iihara, Kao and Tokunaga (2001) Wang(2003) (Shiller, 1984; De Long e al., 1990) (Pael, Zeckhauser, and Hendricks, 1991; Lakonishok, Shleifer and Vishny, 1994; Sirri and Tufano, 1998) 36
(Disposiion Effec) (Shefrin and Saman, 1985; Odean, 1998) (Falkensein, 1996; Del Guercio, 1996) (Scharfsein and Sein, 1990; Lakonishok, Shleifer, and Vishny, 1994; Haugen, 1995) Lakonishok e al.(1992) Choe, Kho and Sulz(1998) KSE Nofsinger and Sias(1999) Jones, Lee and Weis(1999) Iihara, Kao and Tokunaga(2001) Chen(2002) Voronkova and Bohl(2003) Fong, Gallagher, Gardner and Swan(2004) Nofsinger and Sias(1999) Bowe and Domua(2004) JSX Sias (2004) COT Wang(2003) COT COT 37
CFTC 38
LSV (1995) 1993/6~1996/3 (1997) 1996/10~1997/12 (1998) 1996/11~1998/12 (2000) 1997/1~1999/6 (2000) 1993/6~1999/9 39
(2000) 1997~2001 (2001) 1995/1~2000/8 (2001) 1995/9~2000/8 (2001) 1994/1~2000/12 (2002) 1996/1~2000/12 (2002) 1998/1~2001/9 1991/1~2001/9 (2002) 1996~2001 40
(2003) 2002/1~2003/3 2002 7 2003 1 (2003) 1999/1~2001/6 (2004) 2001/4~2004/3 (2004) 2000,1,1~2000,6,30 (2002) (2003) 41
2-1 ( ) ( ) Lakonishok e LSV 1. al. 1985~1989 ( ) Nraio & Draio 2. (1992) Chrisie and Huang (1995) Choe, Kho and Sulz (1998) Oehler (1998) Nofsinger and Sias (1999) Wermers (1999) Jones, Lee and Weis (1999) NYSE AMEX ( )1962,7~1988,12 ( )1925,12~1988,12 ( ) KSE ( ) 1996,11,30 ~1997,12,31 1988~1993 ( ) 1977~1996 ( ) CSSD 1. LSV 1. 2. LSV 1. HF HV 2. 1. 2. 1. 1975~1994 LSV ( ) 2. 1984~1993 ( ) LSV 1. Nraio & Draio 2. ( Exdemand ) 42
Oehler and Chao (2000) Chang, Cheng and Khorana (2000) Iihara, Kao and Tokunaga (2001) Chen (2002) Voronkova and Bohl (2003) Gleason, Lee and Mahur (2003) Wang 1993~1995 ( ) LSV 1. HF HV ( )1963,1~1997,12 1. ( )1981,1~1995,12 CSSD ( ) 1976,1~1995,12 CSAD 2. ( )1976,1~1995,12 ( ) 3. ( )1978,1~1995,12 1. 1975~1996 2. ( ) 1. 1995,1,5 VAR 2. ( ) ~2000,11,28 LSV 1. 1999~2001 Nraio & Draio ( ) 2. Exdemand 1986~1998 13 CSSD ( 1. ( ) CSAD ) 15 1992,10~2003,3 1. 43
(2003) ( ) 2. 3. Lobao and 1. 4~5 Serra 1998~2000 LSV 2. ( ) (2003) 3. Gleason and Mahur (2004) Bowe and Domua (2004) Hwang and Salmon (2004) Sias (2004) ETFs ( ) 1999,1,4 ~2002,9,30 JSX 1997,1~1999,12 ( ) 1993,1~2002,11 ( ) 1983,3~1997,12 ( ) CSSD CSAD 1. 1. 2. LSV 3. 4. 5. CSSD Sae Space Model 1. 2. 3. 4. 1. 44
Dorn, Huberman and Sengmueller (2004) Fong, Gallagher, Gardner and Swan (2004) Henker (2004) 1999,1,1 ( ) ~2000,5,31 1994,1,2 ~2001,12,31 ( ) ASX 2000~2002 ( ) LSV LSV 1. VAR 2. 1. LSV 2. CSSD 1. CSAD 2. 45
1. 2-2 ( ) ( ) (1995) (1997) (1998) (2000) (2000) 2. 1993,6~1996,3 LSV ( ) 3. 1. LSV 2. 1996,10~1997,12 ( ) 3. 4. LSV 1. 1996,11~1998,12 2. ( ) 3. 1. 2. 1997,1~1999,6 LSV ( ) 3. VAR 1. 1993,6~1999,9 ( ) LSV 2. 46
(2000) 1997~1999 ( ) 196 1995,1~2000,8 (2001) ( ) 1995,9~2000,8 (2001) ( ) ( ) 1994,1~2000,12 (2001) ( ) ( ) 1997,1~2000,12 1996,1~2000,12 (2002) ( ) ( )1998,1~2001,9 (2002) ( )1991,1~2001,9 1. VAR 2. 1. 2. LSV 3. Probi 4. 5. CSSD CSAD 1. LSV 2. VAR 1. LSV 2. 3. LSV 1. CSSD 2. CSAD 3. CSSD 1. CSAD 2. 47
( ) 3. 1. CSSD 1996~2001 2. (2002) ( ) CSAD 3. 1. Granger 2002,1~2003,3 (2003) ( ) VAR 1. 1999,1~2001,6 LSV (2003) ( ) 2. 1. 2001,4~2004,3 LSV 2. (2004) ( ) 3. 2000,1,1 (2004) ~2000,6,30 ( ) 1. LSV 2. Logisic 3. 48
1848 82 (Chicago Board of Trade, CBOT) 1865 1971 (Breon Woods Agreemen) 1972 (Commodiy Fuures Trade Commiee, CFTC) (Naional Fuures Associaion, NFA) 2-1 2-1 (CFTC) (NFA, FIA) (CBOT, CME, ec) : 1998-1999 ISSA Handbook, US 49
(CFTC) 1974 (Commimen of Trader, COT) OI COT (Naional Fuures Associaion, NFA) 1982 (Fuures Indusry Associaion, FIA) 1955 1978 2-3 2-3 CBOT www.cbo.com (Chicago Board of Trade) CME www.cme.com (Chicago Mercanile Exchange) NYME www.nymex.com (New York Mercanile X Exchange) NYBT www.nybo.com (New York Board of Trade) MCE www.midam.com (Mid America 50
Commodiy Exchange) KCBT www.kcb.com (Kansas Ciy Board of Trade) MGE www.mgex.com (Minneapolis Grain Exchange) PBOT (Philadelphia Board of Trade) 2003 CME S&P500 (Chicago Mercanile Exchange CME) CME 1874 (Chicago Produce Exchange) 1919 (Eurodollar Fuures) 2003 Trade Daa Global Services CME ( ) (Eurex) (Euronex) 2004 1 9 CME (GLOBEX) GLOBEX 2:00 3 6 15 51
2002 CME ( ) 2004 54.08% 38.67% 5.98% 1.27% CME 37.21 E-mini S&P 500 E-mini Nasdaq CME 1. CME (Inernaional Money Marke, IMM) 1972 2. 1981 3. 1982 (Index and Opion Marke, IOM) S&P 500 4. CME 1995 (Growh and EmergingMarkes, GEM) IPC (Mexican Peso) (Brazilian Real) (Brady Bonds) S&P 500 capializaion weighed NYSE AMEX NASDAQ 52
70% 2-4 2-4 S&P500 S&P 500 ( Sandard & Poor 500 ) 8:30AM 3:15PM ( ) GLOBEX2 5:00PM 8:15AM 3:30PM 5:00PM 8:15AM SP 250 S&P 0.1 25 90 (GLOBEX2 15 ) ( ) (CFTC) 1974 (The Commodiy Fuures Trading Commission Ac) CBOT CME CFTC (COT) CFTC COT COT 1992 53
9 30 1995 COT 2-5 (Commercial and Non-commercial Traders) CFTC 70% 90% 2-6 (Gross-Basis) (Ne-Basis) 54
2-5 S&P 500 (2005/05/03) S&P 500 Sock Index Chicago Mercanile Exchange Fuures Only Posiions as of 05/03/05 Reporable Posiions Non-Commercial Commercial Toal Non-reporable Posiions Long Shor Spreads Long Shor Long Shor Long Shor (S&P 500 Index x $250.00) Open Ineres: 689,971 Commimens 59,396 72,601 11,874 484,927 496,866 556,197 581,341 133,774 108,630 Changes From 04/26/05 (Change in Open Ineres: -366) -1,688 203 2,309 1,236-3,053 1,857-541 -2,223 175 Percen of Open Ineres for each Caegory of Traders 8.6 10.5 1.7 70.3 72 80.6 84.3 19.4 15.7 Number of Traders in each Caegory (Toal Traders: 194) 34 39 17 95 61 143 103 Commimens of Traders Repors hp://www.commimenofraders.com/ 55
2-6 S&P 500 (2005/05/03) S&P 500 Sock Index Chicago Mercanile Exchange Commimens of Traders Fuures Only May 3, 2005 Commimens of Traders Repors hp://www.commimenofraders.com/ 56
CME 2005 1 2-7 OI OI COT OI OI OI 57
2-7 (2005 5 6 ) ( ) ( ) ( ) ( ) 2005 22 88% 25 100% 25 100% 25 100% 25 5 (12) (48%) (13) (52%) (17) (68%) (17) (68%) 26 76.50% 34 100% 32 94.10% 34 100% 34 (12) (35.30%) (15) (44.10%) (19) (55.90)% (19) (55.90)% 2005 305 96.20% 315 99.40% 314 99.10% 317 100% 317 6 (23) (7.30%) (25) (7.90%) (250) (78.90)% (250) (78.90)% 308 91.40% 331 98.20% 326 96.70% 337 100% 337 (26) (7.70%) (34) (10.10%) (245) (72.70)% (250) (74.20)% 2005 226 100% 226 100% 225 99.60% 226 100% 50 5 (50) (22.10%) (50) (22.10%) (42) (18.60)% (42) (18.60)% 270 99.30% 272 100% 266 97.80% 272 100% (50) (18.40%) (50) (18.40%) (79) (29%) (79) (29%) 2005 4415 45.50% 6285 64.80% 4508 46.50% 5599 57.70% 5 (4415) (45.50%) (4951) (51%) (3179) (32.80)% (3861) (39.80%) 9699 4415 44.40% 6285 63.20% 4513 45.40% 5618 56.50% (4415) (44.40%) (4951) (49.80%) (3179) (32%) (3861) (38.80%) 9941 2005 1109 11.20% 1789 18.10% 7100 71.70% 8713 88% 5 (183) (1.80%) (333) (3.40%) (7100) (71.70%) (8713) (88%) 1109 10.50% 1869 17.60% 7131 67.30% 8757 82.70% (183) (1.70%) (333) (3.10%) (7131) (67.30%) (8757) (82.70%) 226 272 9902 10592 2005 8740 25% 11257 32.10% 9891 28.20% 13075 37.30% 5 (4498) (12.80%) (4914) (14%) (9891) (28.20%) (11325) (32.30%) 35030 10203 22.90% 13688 30.70% 14356 32.20% 17881 40.10% (4950) (11.10%) (5516) (12.40%) (14356) (32.20%) (16554) (37.10%) 44614 58
Chrisie and Huang(1995) 1997/7 ~1998/9 (Hwang, 2004; Bowe, 2004) (, 2003;, 2004) (Samuelson, 1965; Jarrow, 1994) VAR 59
S&P500 1988/1~2003/12 16 CFTC (Commimens of Trader, COT) 1992/9/30 702 1988/1 1989/12 2 48 1990/1 2003/12 14 654 2 14 (R 2 Adj-R 2 ) 1999/1 2000/12 2 104 60
S&P500 Moody s AAA BAA S&P500 S&P500 CME CFTC Yahoo! Finance (OI) CFTC COT OI CFTC Gilber(2000) Wang(2003) COT COT OI OI COT Daasream Moody s AAA BAA S&P500 Gilber(2000) Wang(2003) 61
Gilber(2000) S&P500 (10 ) (30 ) Gilber Wang(2003) 90 S&P500 Wang Wang S&P500 OI CME CFTC Yahoo! Finance Daasream 3-1 62
3-1 1. S&P500 2. CME 3. CFTC S&P500 1. 2. Yahoo! S&P500 1. Finance S&P500 1. 1. COT COT 2. OI 1. COT 1. Moody s Daasream AAA BAA 1. S&P500 1. 63
OI ( RLOI ) 3-4 LSV Lakonishok(1992) Bowe(2004) OI OI ( OI ) 3-1 OI (RLOI ) RLOI = OI LSV OI COT OI COT 64
3-1 3-2 3-1 OI 1. 2. 1. 2. 1. 65
3-2 ( ) OI OI OI OI ( OI OI ) OI OI Moody s ( ) S&P500 ( ) COT ( OI ) ( ) ( ) COT 66
( I 1 2 ) Moody s (AAA) (BAA) ( I 3 S&P500 ( I ) OI OI OI ( ) OI ( ) (COT) COT OI 67
OI H ( TR TR S ) OI ( LSR ) 3-2 3-3 3-4 (TT ) H 3-2 ( TR ) TR H = S 3-3 ( TR ) TR S = 3-4 COT OI (LSR ) ( ) LSR = ( ) ( ) (, 2001) (Bias) (RSI) 3-5 3-6 Bias -5% Bias 5% RSI 20 68
RSI 80 3-5 (Bias) 6 6 = *100% 6 3-6 (RSI) 6 = 100 * 6 6 ( ) 5% L U D D ( ) COT CTD 1 ( D ) 69
( ) COT CFTC OI 1992/9/30 T 1 ( D ) ( ) 1997/7 1998/5 1998/9 Macro 1997/7~1998/5 1 ( D ) 3-3 3-3 5% 5% 1992/9 COT 1997/7 1998/5 1998/9 1997/7~1998/9 70
COT 9 3-8 ( ) 3-7 (Sd ) Sd = * 5 3-8 (Dep ) 1 1 Dep = = λ λ = 9 71
(Froo, Sharfsein and Sein, 1992) (Morck e al., 1989) (Lakonishok e al., 1992; Wermers, 1999; Nofsinger and Sias,1999; Jones, Lee and Weis, 1999) (Iihara, Kao and Tokunaga, 2001) (Fong, Gallagher, Gardner and Swan, 2004) (Chen, 2002) (Bowe and Domua, 2004) 72
Gilber(2000) 1993~1995 OI OI COT Chrisie and Huang(1995) CSSD NYSE AMEX Chang, Cheng and Khorana(2000) (2002) (2002) 73
(Soll and Whaley, 1987 Karolyi, 1996) Samuelson(1965) Hong(2000) Jarrow(1994) (2003) 2002/7 2003/1 (2004) COT S&P500 Choe, Kho and Sulz(1998) Hwang and Salmon(2004) Chen(2002) Bowe(2004) JSX 74
3-4 Jarrow(1994) Samuelson(1965) Bowe(2004) 75
3-4 Panel A Panel B 76
3-5 ( ) (Lakonishok e al., 1992; Choe, Kho and Sulz, 1998; Jones, Lee, and Weis, 1999; Bowe and Domua, 2004) Wermers(1999) 77
( ) (Pagano and Roell, 1996) (Admai and Pfleiderer, 1988; Chowdhry and Nanda, 1991; Devenow, 1996) ( ) 78
10 Wang(2003) (De Long e al., 1990; Nofsinger and Sias, 1999; Iihara, Kao and Tokunaga, 2001) Wang(2003) OI 3-5 10 79
( ) (Nofsinger and Sias, 1999) OI CFTC COT (H) (S) (Z) 3-9 Lakonishok e al.(1992) LSV ( RLOI ) ( ERLOI ) S&P500 HI (Herding Index) T H 0 3-9 (HI ) HI X = RLOI X ERLOI X X : H ( ), S( ), Z( ) 3-10 OI OI COT 80
81 3-10 OI ( ) S H f f H H TT LSR TR TR Vol R R I I RLOI ERLOI ε α α α α α α α α α α α = 10 9 8 7 1 6 5 1 4 2 1 3 1 1 2 1 1 0 S f f f S S RSI Bias TT TR Vol Vol Vol R E R I RLOI ERLOI ε α α α α α α α α α α α α = 11 10 9 8 1 7 2 6 1 5 1 4 1 3 2 1 2 1 1 0 ) ( H f f f Z Z Bias TT LSR TR Vol R R R R RLOI ERLOI ε α α α α α α α α α α α = 10 9 8 7 1 6 1 5 4 2 3 1 2 1 1 0 ERLOI OI RLOI OI 1 I 2 I Moody s f R S&P500 R S&P500 f Vol S&P500 Vol S&P500 H TR S TR LSR OI TT Bias RSI ( )
T Granger Causaliy VAR 3-11 OI HID (Herding Index wih Direcion) 3-9 OI HFB (Herding Index by Following Block Traders) HFB 3-12 AHFB (Adjused Herding Index by Following Block Traders) T ( AHFB ) ( HID ) 3-13 82
3-11 (HFB ) X 1 X 1 X 1 X 1X HID RLOI ERLOI 2 HFB = = = X 2 X 2 X 2 HID RLOI ERLOI Dr Dr X X 1 2 HI HI X X 1 2 If X 1 = Z( ) hen X 2 = H ( ) or S( ) If X 1 = S( ) hen X 2 = H ( ) Dr = 1 if RLOI ERLOI > 0 Dr = 1 if RLOI ERLOI < 0 HID Dr HI 3-9 OI 1-1 3-9 3-12 (AHFB ) X1X 2 X1X 2 X 2 ( 1 X AHFB = Dr LN HFB ) if HFB X 1 X 2 > e AHFB X X1X 1 2 = HFB if HFB e e X 1 X 2 X 2 3-13 ( ) HID HID HID H S Z = α βhid γhid ε S Z Z = α βhid γhid ε H H = α βhid γhid ε S Granger Causaliy VAR 3-14 3-15 Granger Causaliy VAR 83
Granger Causaliy VAR (Impulse Response Analysis) 11 (Variance Decomposiion) 12 Granger Causaliy VAR E-Views Granger Causaliy 13 VAR Granger Causaliy VAR 3-14 (Granger Causaliy ) k k X 2 γ j j j= 1 j= 1 X X 1 HID = α β j HID j 1 HID k k X 2 γ j j j= 1 j= 1 X X 1 HID = α β j HID j 2 HID = H( ) or S( ) or Z( ) X 1 ε ε = H( ) or S( ) or Z( ) X 2 X 1 X 2 11 12 13 Granger Causaliy Y = α k k β jy j γ j X j ε j= 1 j= 1 H0 X Y F γ j 0 84
3-15 (VAR ) k k k Z ϕ j HID j j= 1 j= 1 j= 1 H H S HID = α β j HID j γ j HID j k k k Z ϕ j HID j j= 1 j= 1 j= 1 S H S HID = α β j HID j γ j HID j k k k Z ϕ j HID j j= 1 j= 1 j= 1 Z H S HID = α β j HID j γ j HID j ε ε ε COT 3-16 D L D U 5% D CTD COT T OI D COT Macro 1992/9/30 D 1997/7 1998/9 ( HI ) ( AHFB ) 3-16 ( ) HI α α α α α α D ε L U CTD T = 0 1D 2D 3D 4D 5 Macro AHFB α α α α α α D ε L U CTD T = 0 1D 2D 3D 4D 5 Macro VAR 85
( HI HID ) ( HID ) ( HI ) HID HI VAR VAR 86
VAR (Idenificaion Condiions) 3-17 3-17 (over-idenified) (jus-idenified) (under-idenified) 3-17 pr en pr en en N N ( n n ) N 1 pr pr en N n n 1 N pr en N pr n en n (oal number of predeermined variables in he sysem) (oal number of endogenous variables in he sysem) (oal number of predeermined variables in he equaion) (oal number of endogenous variables in he equaion) 3-19 S&P500 COT 87
88 3-21 3-23 3-6 ( ) 3-18 (VAR ) = = = = = = k 1 j k 1 j j j j j k 1 j k 1 j j j j j Sd HI Sd Sd HI HI ε γ β α ε γ β α 3-19 ( ) Macro T S H D D TR TR I I HI Sd HI ε γ γ γ γ γ γ γ β α = 7 6 5 4 2 3 1 2 1 1 1 Macro T U L S H D D D D RSI TR TR Vol I I Sd HI Sd ε γ γ γ γ γ γ γ γ γ γ γ β α = 11 10 9 8 7 6 5 4 2 3 1 2 1 1 1 ( ) 3-20 (VAR ) = = = = = = k 1 j k 1 j j j j j k 1 j k 1 j j j j j Dep HI Dep Dep HI HI ε γ β α ε γ β α 3-21 ( ) Macro T S H D D TR TR I I HI Dep HI ε γ γ γ γ γ γ γ β α = 7 6 5 4 2 3 1 2 1 1 1 T CTD U L S H f f D D D D TR TR Vol R I Dep HI Dep ε γ γ γ γ γ γ γ γ γ γ β α = 10 9 8 7 6 5 4 3 3 2 1 1 1
89 ( ) 3-22 (VAR ) = = = = = = k 1 j k 1 j f j j j j f k 1 j k 1 j f j j j j R HID R R HID HID ε γ β α ε γ β α 3-23 ( ) Macro 7 T 6 S 5 H 4 2 3 1 2 1 1 f 1 D D TR TR I I HID R HID ε γ γ γ γ γ γ γ β α = Macro CTD U L f f f D D D D LSR Vol I R HID R ε γ γ γ γ γ γ γ γ β α = 8 7 6 5 4 3 3 2 1 1 1
3-6 ( ) S&P500 OI 90
COT ( OI ) Granger Causaliy VAR 91
COT OI COT OI OI OI 4-1 OI OI OI OI 0.008% 0.01% 0.02%~0.04% 10:1 4-1 COT OI ( ) OI ( : 1988/1~2003/12) OI OI OI ( OI ) 222,503 225,643 16,394 31,320 79,977 61,912 (70.14%) (67.42%) (4.79%) (10.52%) (24.43%) (21.42%) 167,297 143,507 12,332 27,718 55,140 57,596 (70.34%) (67.15%) (4.73%) (9.72%) (24.26%) (22.41%) 109,666 134,663 11,884 18,827 45,383 24,073 (3.47%) (8.40%) (1.46%) (4.56%) (2.89%) (5.45%) 67,123 53,611 1,303 3,139 21,753 23,902 (60.07%) (46.53%) (0.94%) (1.08%) (16.21%) (8.14%) 519,887 528,896 55,783 110,876 202,040 185,403 (79.42%) (87.62%) (9.08%) (23.63%) (33.40%) (35.65%) 702 702 702 702 702 702 92
OI OI OI ( OI ) 21 21 30 32 (0.0084%) (0.0079%) (0.0123%) (0.0121%) 21 19 30 30 (0.0084%) (0.0068%) (0.0131%) (0.0108%) 3 5 4 7 (0.0040%) (0.0038%) (0.0060%) (0.0055%) 10 12 17 19 (0.0022%) (0.0028%) (0.0032%) (0.0044%) 33 33 43 51 (0.0244%) (0.0289%) (0.0323%) (0.0407%) 702 702 702 702 4-1 4-2 OI OI OI 60%~80% 15%~34% 0%~10% OI 1996 50%~70% 60%~90% 1999 18%~35% 10% 1995/6 10%~20% 10% OI OI OI 93
4-1 OI 4-2 OI COT COT OI 14 14 COT OI 94
4-2 COT OI OI S&P500 4-2 COT ( ) ( 1988/1~2003/12) 158.88 85.76 75.03 1.17 14.12 20.45 0.77 161 86 77 1.15 13 20 0.69 17.10 8.84 11.72 0.19 5.67 6.76 0.40 106 59 43 0.77 3 6 0.13 202 108 109 1.69 33 44 3.50 702 702 702 702 702 702 702 OI OI 95
0.5 0.3 OI 4-3 OI ( : 1988/1~1989/12) OI 0.5286 0.3302 0.4776 0.5248 0.3288 0.4775 0.0213 0.0890 0.0284 0.4906 0.1524 0.4047 0.5879 0.6219 0.5269 48 48 48 4-4 OI ( : 1990/1~2003/12) OI 0.5102 0.3382 0.5433 0.5087 0.3305 0.5258 0.0384 0.1334 0.0823 0.4253 0.0633 0.3786 0.6144 0.8332 0.7857 654 654 654 4-3 OI 0.1 0.8 OI 0.5 2000 1997~1999 2000 96
OI 0.8 4-3 OI 4-5 VAR Granger Causaliy OI OI OI 4-5 OI OI OI OI OI 1.0000-0.7781-0.8961 OI -0.7781 1.0000 0.5552 OI -0.8961 0.5552 1.0000 97
COT OI OI COT OI OI OI 2000 OI Granger Causaliy VAR 98
OI 1988/1~1989/12 4-6 R 2 0.8 R 2 0.76 R 2 R 2 0.75 0.67 1999/1~2000/12 OI R 2 R 2 0.86 99
4-6 OI ( ) ( 1988/1~1989/12) Coefficien ( -saisics ) OI OI OI 0.1485-0.1554 0.2627 (2.52)** (-0.88) (3.79)*** 0.4942 OI (5.36)*** 0.1775 OI (1.94)* 0.5502 OI (5.41)*** 0.6705 (2.73)*** -6.9005 72.2515 (-2.27)** (4.97)*** -0.1362 1.0249 (-1.88)* (2.12)** -0.6927 0.4934 (-2.07)** (3.72)*** -1.0052 (-2.69)*** -0.1460 0.2873 (-1.78)* (2.26)** -1.0355 (-2.30)** 100
0.0038-0.0094 (1.74)* (-2.34)** 0.0320 (2.56)** 0.0251 (2.08)** -0.1236 (-3.95)*** 0.0463 0.0283 (3.05)*** (1.84)* -0.0224 0.1888 (-2.64)** (5.32)*** OI 0.0471-0.0953 (2.52)** (-3.18)*** 0.0007-0.0025-0.0007 (3.30)*** (-2.35)** (-1.93)* 0.6316 0.3401 (1.73)* (1.72)* 0.0711 (2.56)** R 2 0.8342 0.8178 0.7459 Adj-R 2 0.7882 0.7571 0.6732 47 45 47 * 10% ** 5% *** 1% 101
1990/1~2003/12 HI (Herding Index) 4-7 T 95% 4-7 ( T ) 0.0294 0.1657 0.0678 0.0260 0.1488 0.0602 0.0208 0.1177 0.0354 0.0002 0.0002 0.0000 0.1280 0.6796 0.1900 T 36.0938 36.0126 48.9145 95%CI 0.0280 0.1581 0.0655 95% herding (>1.645) (>1.645) (>1.645) 654 654 654 4-4 0 0 0 0.2 0 102
4-4 OI OI Hwang and Salmon(2004) OI HI OI HID (Herding Index wih Direcion) HID 103
4-5 AHFB (Adjused Herding Index by Following Block Traders) 4-7 4-5 4-5 1990 1994 OI 0 1995 1998 OI 0 4-8 15 15 104
4-6 2002 1995 1998 0 Gilber(2000) 1993~1995 Gilber Gilber 1993/9 ~1994/6 1994/6~1995 Gilber 14 4-8 ( T ) 0.2696-0.0178-0.9727 0.4480 0.0227-1.3914 1.6176 0.6288 2.0128-6.2089-4.2312-6.2569 6.0137 5.6766 6.2272 T 4.2623-0.7257-12.3582 95% herding (>1.645) (<1.645) (<1.645) 95% ani-herding (>-1.645) (>-1.645) (<-1.645) 654 654 654 105
4-6 4-9 T 4-9 ( ) Coefficien ( -saisics ) -3.7094 0.8094 (-20.58)*** (7.93)*** -0.1062 0.0085 (-20.58***) (0.47) 0.1088 0.0399 (7.93)*** (0.47) R 2 0.3430 0.4228 0.3611 Adj-R 2 0.3420 0.4219 0.3592 654 654 654 106
Granger Causaliy VAR 4-10 4-11 4-10 Granger Causaliy F VAR 4-11 VAR Granger Causaliy VAR 107
4-10 (Granger Causaliy ) (H0) F P-Value 2.8 0.06 (*) H0 652 1.49 0.23 H0 7.02 0.00 (***) H0 652 7.88 0.00 (***) H0 4.89 0.01 (***) H0 652 6.29 0.00 (***) H0 4-11 (VAR ) Coefficien ( -saisics ) 0.5648 0.3072-0.1348 (14.02)*** (1.35) (-1.92)* 0.2235-0.3431 0.1377 (5.55)*** (-1.51) (1.97)** -0.0187 0.4326 0.0513 (-2.68)*** (10.94)*** (4.22)*** 0.0104 0.3400-0.0259 (1.47) (8.49)*** (-2.10)** -0.0260-0.0733 0.3404 (-1.26) (-0.63) (9.47)*** 0.0612 0.2795 0.4149 (2.99)*** (2.41)** (11.65)*** 0.0052 0.0244 0.0125 (3.31)*** (2.77)*** (4.59)*** R 2 0.5371 0.5380 0.5156 Adj-R 2 0.5328 0.5337 0.5111 652 652 652 108
LSV OI (R 2 0.75~0.83 R 2 0.67~0.79 ) T LSV T Gilber(2000) Gilber 109
Granger Causaliy VAR VAR 110
4-12 Panel A 111
S&P500 COT S&P500 4-13 11 1990/1 1994/1 1992/9/30 66 4-14 112
Panel A 4-12 Panel B 113
S&P500 ( 4-12) ( 4-14) Panel B 114
( ) Wang(2003) (COT ) ( ) Jarrow(1994) 115
4-12 ( ) Panel A Coefficien ( -saisics ) 0.0386 0.1829 0.0746 (8.81)*** (6.93)*** (9.88)*** -0.0001 0.0399 0.0239 (-0.03) (1.76)** (3.69)*** -0.0021 0.0085-0.0058 (-0.52) (0.35) (-0.86) 0.0002 0.0178 0.0014 (0.07) (1.02) (0.28) -0.0198 0.0047 0.0243 (-7.75)*** (0.31) (5.52)*** -0.0115 0.0347-0.0156 (-4.53)*** (2.28)** (-3.58)*** R 2 0.1362 0.0196 0.1151 Adj-R 2 0.1281 0.0105 0.1069 654 654 654 116
Panel B Coefficien ( -saisics ) -0.0172-0.0286-1.9418 (-0.06) (-0.44) (-5.28)*** -0.3716 0.1324-0.4767 (-1.58) (2.38)** (-1.51) 0.4983 0.0067-0.3258 (2.02)** (0.11) (-0.98) -0.1076 0.0575 0.5942 (-0.59) (1.34) (2.44)** 0.0582 0.0876-0.2243 (0.37) (2.32)** (-1.05) -1.0866 0.1145-0.8988 (-6.89)*** (3.07)*** (-4.24)*** R 2 0.0854 0.0406 0.0758 Adj-R 2 0.0769 0.0317 0.0673 654 654 654 4-13 ( ) 1990/1~1992/9 1992/10~2003/12 373.28 901.00 4.35 13.96 35.35 338.60 306.00 407.25 423.90 1530.20 66 588 117
4-14 ( ) ( 1990/1/15~1994/1/4) Panel A Coefficien ( -saisics ) 0.1617 0.5763 0.0285 (8.13)*** (5.78)*** (1.01) -0.0046 0.0271 0.0125 (-1.43) (1.12) (1.83)* -0.0003 0.0011 0.0001 (-5.72)*** (4.22)*** (0.67) R 2 0.2146 0.2013 0.1128 Adj-R 2 0.2024 0.1889 0.0991 132 132 132 Panel B Coefficien ( -saisics ) -0.2946-0.6615-5.2595 (-0.60) (-2.30)** (-4.93)*** 0.0706 0.2330-0.9894 (0.59) (3.34)*** (-3.82)*** 0.0018 0.0015 0.0124 (1.40) (2.02)** (4.35)*** R 2 0.0746 0.0876 0.1297 Adj-R 2 0.0603 0.0735 0.1162 132 132 132 118
VAR VAR 4-15 4-16 119
4-15 (VAR ) Coefficien ( -saisics ) 0.5299-14.4427 0.4563 1.0258 0.3519 16.7792 (13.89)*** (-0.93) (12.32)*** (0.38) (9.71)*** (2.00)** 0.2422-10.3115 0.3300 2.5432 0.4142 16.5369 (6.34)*** (-0.67) (8.92)*** (0.95) (11.38)*** (1.97)** -0.0001 0.4013 0.0009 0.4035 0.0004 0.3716 (-0.74) (10.71)*** (1.72)* (10.77)*** (2.57)** (9.79)*** 0.0000 0.3015-0.0005 0.3023-0.0002 0.2736 (0.23) (8.07)*** (-0.89) (8.07)*** (-1.52) (7.24)*** 0.0071 3.3061 0.0313 1.9633 0.0145 0.8248 (5.21)*** (6.02)*** (4.69)*** (4.07)*** (6.25)*** (1.54) R 2 0.5259 0.4119 0.5333 0.4107 0.5054 0.4239 Adj-R 2 0.5230 0.4083 0.5304 0.4070 0.5024 0.4204 652 652 652 652 652 652 120
4-16 ( ) Coefficien ( -saisics ) -0.0186-14.5342-0.1382-14.1701 0.0196-15.0854 (-1.97)** (-4.73)*** (-2.58)*** (-4.47)*** (1.18) (-4.87) -51.1960-3.5918 68.0796 (-2.97)*** (-1.02) (3.62)*** -0.0004-0.0005 0.0012 (-2.90)*** (-0.64) (4.26)*** R 2 0.5174 0.5738 0.5184 0.5783 0.4786 0.5704 Adj-R 2 0.5114 0.5658 0.5125 0.5704 0.4721 0.5623 653 653 653 653 653 653 4-17 4-18 121
4-17 (VAR ) Coefficien ( -saisics ) 0.5331 2.3390 0.4557-1.1422 0.3613-8.8926 (13.96)*** (0.55) (12.30)*** (-1.55) (10.06)*** (-3.90)*** 0.2387 3.6601 0.3316-0.0169 0.4094-0.2903 (6.25)*** (0.85) (8.94)*** (-0.02) (11.36)*** (-0.13) -0.0002 0.2282-0.0015 0.2308-0.0013 0.2040 (-0.62) (5.81)*** (-0.78) (5.89)*** (-2.04)** (5.20)*** 0.0006 0.0959-0.0007 0.0962 0.0003 0.0656 (1.61) (2.44)** (-0.35) (2.46)** (0.53) (1.68)* 0.0042 4.6837 0.0509 5.0309 0.0224 5.8744 (1.34) (13.39)*** (2.72)*** (13.51)*** (3.37)*** (13.90)*** R 2 0.5274 0.0829 0.5318 0.0847 0.5035 0.1120 Adj-R 2 0.5245 0.0772 0.5289 0.0790 0.5004 0.1065 652 652 652 652 652 652 122
4-18 ( ) Coefficien ( -saisics ) -0.0387 6.4961-0.1119 6.0431 0.0318 6.1520 (-2.78)*** (8.18)*** (-1.49) (8.25)*** (1.28) (8.35)*** 7.6883-0.2551-7.3979 (1.42) (-0.34) (-1.87)* 0.0033-0.0008-0.0047 (3.05)*** (-0.14) (-2.43)** R 2 0.5031 0.2446 0.5155 0.2345 0.4321 0.2310 Adj-R 2 0.4970 0.2316 0.5095 0.2214 0.4251 0.2178 653 653 653 653 653 653 4-19 T OI 4-20 T 123
S&P500 4-19 (VAR ) Coefficien ( -saisics ) 0.6042-0.0106 0.5236 0.0791 0.3474-0.0547 (16.44)*** (-0.18) (14.82)*** (7.86)*** (9.76)*** (-1.52) 0.3022 0.0520 0.4040-0.0688 0.3810-0.0229 (8.25)*** (0.89) (11.31)*** (-6.76)*** (10.83)*** (-0.64) -0.0279-0.1463-0.4349-0.0534-0.0879-0.1676 (-1.12) (-3.69)*** (-3.11)*** (-1.34) (-2.19)** (-4.14)*** -0.1772-0.0474 1.2570-0.0234-0.2753-0.0621 (-7.16)*** (-1.21) (9.57)*** (-0.62) (-6.95)*** (-1.55) 0.0018 0.0015-0.0018 0.0021 0.0192 0.0075 (2.65)*** (1.40) (-0.56) (2.24)** (8.25)*** (3.19)*** R 2 0.7666 0.0244 0.8337 0.1069 0.5328 0.0308 Adj-R 2 0.7652 0.0183 0.8326 0.1014 0.5299 0.0248 652 652 652 652 652 652 124
4-20 ( ) Coefficien ( -saisics ) -0.0049-0.0036 0.4112-0.0026-0.0100 0.0031 (-0.61) (-1.45) (8.91)*** (-1.14) (-0.70) (0.62) -0.0306 0.0090-0.0492 (-0.99) (2.19)** (-1.31) 0.0349-0.5669-0.2693 (1.07) (-3.06)*** (-4.69)*** R2 0.5202 0.4857 0.8523 0.4828 0.4951 0.5012 AdjR2 0.5142 0.4785 0.8504 0.4756 0.4888 0.4942 653 653 653 653 653 653 VAR OI 125
S&P500 126
(Nofsinger and Sias, 1999) (Coe and Sander, 1997) LSV CSSD CSAD Sae Space S&P500 CFTC (COT) (OI) 127
OI LSV S&P500 T OI ( ) ( ) ( ) 128
VAR OI Gilber(2000) 129
Gilber 130
131
S&P500 (KOFEX) 16 2005 1 OI 16 (OSE) 132
133
2003 10 5-20 45-57 2002 6 2000 1998 2001-1995 - 2004 2001 2001 2002 -- 1997 2001 9 577-608 2004 6 2004 11 134
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6-1 OI ( ) ( 1999/1~2000/12) Coefficien ( -saisics ) OI OI OI 0.1418-0.0370 0.0969 (4.00)*** (-0.33) (2.26)** 0.8041 OI (14.69)*** 0.9573 OI (19.51)*** 0.8181 OI (14.44)*** 0.5818 (3.27)*** -1.1308 2.2712 (-1.63) (0.55) -0.0122 0.1527 (-0.62) (0.35) -0.0127 0.0311 (-0.07) (0.44) -0.0655 (-0.37) -0.0258 0.1325 (-1.18) (1.74)* 139
-0.0785 (-0.19) -0.0015 0.0033 (-1.04) (0.67) 0.0500 (3.20)*** -0.0156 (-1.06) -0.0958 (-2.50)** -0.0028 0.0176 (-1.36) (3.09)*** -0.0129 0.0689 (-1.76)* (1.13) OI 0.0547-0.0948 (5.36)*** (-3.06)*** 0.0001-0.0003-0.0001 (1.88)* (-0.74) (-0.52) 0.5876 0.1770 (2.32)** (0.75) 0.0042 (0.22) R 2 0.9650 0.9312 0.8742 Adj-R 2 0.9610 0.9227 0.8604 103 101 103 140
ADF VAR T T 5% 6-2 T P-Value (HI H ) -0.2008-6.61 0.00(***) 651 (HI S ) -0.1442-5.00 0.00(***) 651 (HI Z ) -0.1771-5.63 0.00(***) 651 (HID H ) -0.0904-4.38 0.00(***) 651 (HID S ) -0.0561-3.23 0.00(***) 651 (HID Z ) -0.1791-5.67 0.00(***) 651 (Sd) -0.2526-7.12 0.00(***) 651 (Dep) -0.5912-10.97 0.00(***) 651 (R f ) -1.0777-14.37 0.00(***) 651 1% -3.44 5% -2.87 10% -2.57 141
6-3 ( ) Coefficien ( -saisics ) -0.0186-14.5342-0.1382-14.1701 0.0196-15.0854 (-1.97)** (-4.73)*** (-2.58)*** (-4.47)*** (1.18) (-4.87) -51.1960-3.5918 68.0796 (-2.97)*** (-1.02) (3.62)*** -0.0004-0.0005 0.0012 (-2.90)*** (-0.64) (4.26)*** 0.3505 0.3726 0.3055 (10.68)*** (11.77)*** (8.19)*** 0.6024 0.5530 0.3725 (18.89)*** (16.98)*** (9.69)*** 0.1478 104.5918 1.0029 97.9922-0.3828 125.3496 (2.32)** (5.07)*** (2.79)*** (4.63)*** (-3.36)*** (5.62)*** 1.3070 482.0163 20.2204 467.5400 1.6659 140.6579 (2.46)** (2.64)*** (6.28)*** (2.03)** (1.84)* (0.78) 3.4845 3.6322 3.6140 (3.40)*** (3.57)*** (3.51)*** -0.0005 2.6408 0.0108 3.0026-0.0050 3.1176 (-0.28) (4.44)*** (1.05) (5.04)*** (-1.55) (5.25)*** 0.0168 7.2100-0.0140 5.5691 0.0136 3.5412 (3.38)*** (4.31)*** (-0.51) (3.48)*** (1.58) (2.06)** 142
-3.2090-3.2797-1.4734 (-3.75)*** (-3.84)*** (-1.47) 9.9991 10.2372 9.3867 (9.81)*** (10.12)*** (8.98)*** 8.5259 8.8270 9.0746 (8.35)*** (8.74)*** (8.89)*** -0.0025 3.9283 0.0120 4.5255 0.0040 3.6012 (-0.96) (4.60)*** (0.83) (5.45)*** (0.89) (4.13)*** 0.0008 2.3184 0.0535 2.7586-0.0013 2.3313 (0.36) (3.19)*** (4.16)*** (3.33)*** (-0.33) (3.20)*** R 2 0.5174 0.5738 0.5184 0.5783 0.4786 0.5704 Adj-R 2 0.5114 0.5658 0.5125 0.5704 0.4721 0.5623 143
6-4 ( ) Coefficien ( -saisics ) -0.0387 6.4961-0.1119 6.0431 0.0318 6.1520 (-2.78)*** (8.18)*** (-1.49) (8.25)*** (1.28) (8.35)*** 7.6883-0.2551-7.3979 (1.42) (-0.34) (-1.87)* 0.0033-0.0008-0.0047 (3.05)*** (-0.14) (-2.43)** 0.1094 0.1150 0.1001 (2.87)*** (3.01)*** (2.56)** 0.5905 0.5555 0.3986 (17.64)*** (17.10)*** (9.94)*** 0.0958 0.8880-0.1939 (1.65)* (2.74)*** (-1.84)* 1.1045 19.5623 2.4273 (2.13)** (6.28)*** (2.63)*** S&P500 40.5078 51.4851 41.3858 (2.72)*** (4.01)*** (2.97)*** -11.0696-10.8348-13.0415 (-3.46)*** (-3.36)*** (-3.81)*** -0.2932-0.3045-0.2418 (-2.60)*** (-2.68)*** (-2.04)** 0.0007-0.5761 0.0075-0.5090-0.0044-0.6079 (0.35) (-2.97)*** (0.67) (-2.56)** (-1.21) (-3.08)*** 144
0.0160-0.9572-0.0218-0.6053 0.0206-0.0427 (3.27)*** (-2.30)** (-0.82) (-1.70)* (2.36)** (-0.09) -1.5936-1.5926-1.6038 (-4.65)*** (-4.60)*** (-4.64)*** -0.9615-1.0071-0.9412 (-2.75)*** (-2.87)*** (-2.66)*** 0.5466 0.5537 0.5504 (2.44)** (2.45)** (2.44)** -0.0054 0.5586 0.0082 0.5515 0.0113 0.6494 (-2.25)** (2.21)** (0.62) (2.16)** (2.58)*** (2.49)** -0.0005 0.0508 0.0027 (-0.23) (4.11)*** (0.70) R 2 0.5031 0.2446 0.5155 0.2345 0.4321 0.2310 Adj-R 2 0.4970 0.2316 0.5095 0.2214 0.4251 0.2178 145
6-5 ( ) Coefficien ( -saisics ) -0.0049-0.0036 0.4112-0.0026-0.0100 0.0031 (-0.61) (-1.45) (8.91)*** (-1.14) (-0.70) (0.62) -0.0306 0.0090-0.0492 (-0.99) (2.19)** (-1.31) 0.0349-0.5669-0.2693 (1.07) (-3.06)*** (-4.69)*** -0.0651-0.0659-0.0757 (-2.28)** (-2.30)** (-2.63)*** 0.6298 0.4622 0.4312 (20.74)*** (14.34)*** (12.41)*** 0.0615-0.0235-0.1744 (1.10) (-0.08) (-1.78)* 0.8350-43.6951 2.2644 (1.67)* (-12.28)*** (2.59)*** S&P500 0.2577 0.1977 0.0762 (2.06)** (1.95)* (0.59) -0.0025-0.0026-0.0020 (-1.82)* (-1.86)* (-1.43) -0.0022 0.1122 0.0000 (-1.32) (10.86)*** (-0.01) 0.0108-0.1281 0.0241 (2.41)** (-5.24)*** (2.99)*** 146
-0.0284-0.0278-0.0266 OI (-2.33)** (-2.28)** (-2.20)** -0.0577-0.0569-0.0565 (-16.35)*** (-16.01)*** (-15.84)*** 0.0587 0.0590 0.0580 (16.25)*** (16.32)*** (16.34)*** 0.0052 0.0047 0.0048 (1.89)* (1.68)* (1.77)* -0.0051 0.0076 0.0106 (-2.13)** (0.59) (2.54)** -0.0010 0.0037-0.0154 0.0023 0.0031 0.0031 (-0.48) (1.49) (-1.37) (0.92) (0.85) (1.22) R2 0.5202 0.4857 0.8523 0.4828 0.4951 0.5012 AdjR2 0.5142 0.4785 0.8504 0.4756 0.4888 0.4942 147