2019, Vol.7, No.2

Asset Management Review 2023 KCI Impact Factor : 0.55

pISSN : 2288-6672 / eISSN : 2713-6248
https://journal.kci.go.kr/capm

This paper analyzes the law of one price and the possibility of arbitrage trading through the representative crypto-currency, Bitcoin. First, we examine the difference in price of Bitcoin between Korea and US, namely, the existence and size of ‘Kimchi Premium’. Second, after establishing three hypotheses such as market segmentation by rational motivation or psychology of investors, and limit of arbitrage hypothesis, we analyze the factors that determine the difference of domestic and foreign price of Bitcoin. As a result of analysis, psychology variables such as Google trend index difference, Naver trend index, and variables related limit of arbitrage such as transaction cost and Mempool transaction number are statistically significant. The above results support psychological market segmentation hypothesis or limit of arbitrage hypothesis. This means that the surge of interest and the hot wind of Bitcoin in Korea causes the KRW price to rise abnormally. Also, there are limit of arbitrage that can not resolve the difference in domestic and overseas prices quickly.

This study divides Korean investors invest in Chinese fund's performance into stock selection ability and market forecasting ability and evaluates it's performance and performance persistence. The analysis method can be divided into the growth cycle of China's stock market or the identification of portfolios according to the market excess return of funds. The empirical results are as follows. Firstly, from the perspective of China's overall conspiracy fund industry, considering the growth cycle of China's stock market, the stock selection ability and market forecasting ability are verified by market states. During the whole period, there is no fund selection ability, and the market forecast ability is low. Second, 1-month, 3-month, 6-month and 12-month portfolio performance reconfirm that there is no market forecasting ability. Market forecasting ability can be the most important factor of fund performance. Finally, performance persistence of portfolios do not exist There is no time selection ability.

Past studies about asset allocation focus on allocation methodology or estimating expected returns and expected risks. However, each pension fund has developed its own solution to solve these issues. On the other hands, pension funds express more difficulties to make qualitative decisions about target return, risk tolerance level, and optimal asset allocation choice. This study examines whether using decision making model for asset allocation under various scenarios can help pension funds in this domain and improve pension fund performances. Our study found that, if we use conservative decision making model, risk adjusted performance is improved compared to using traditional asset allocation model. When occurrence probability is not recognized, the Sharpe ratio is improved under Minimum-regret rule(Regret) as wee as under Hurwicz rule(Hurwicz2) with 70% weighted toward Minimax rule. When occurrence probability is recognized, the Sharpe ratio of Target-return optimization(Target2), which set real value maintaining(CPI+100bp) level as the target rate, is also improved. This new method also meets the management strategy of pension funds that pursue a stable and sustainable investment performance. Although the use of decision making model is rather qualitative and arbitrary, this kind of alternative approach can help advance the asset allocation process. Considering the practical importance of the topic, we expect similar studies to follow and contribute to the improvement of pension fund performances.