2021, Vol.9, No.1

Asset Management Review 2023 KCI Impact Factor : 0.55

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

Transaction taxes were introduced to reduce abnormal stock price movements and to reduce excessive volatility by suppressing noise traders' activities in the stock market. However, prior researches report that transaction taxes have unexpected side effects. This study analyzed the impact of transaction taxes on market efficiency and others in the case of Korea Post, which was exempted from securities transaction tax imposed during arbitrage, which is part of transaction tax. The main results are as follows. First, the transaction tax exemption improved market efficiency, but only showed significant results when the futures price was higher than the spot price. Second, the transaction tax exemption improved market stability by reducing the volatility of individual stocks and futures. Third, the exemption of transaction taxes contributed to the revitalization of the market by expanding liquidity in the spot and futures markets. This study is meaningful in that it included the KOSDAQ150 index and stock futures and analyzed by market situation between spot and futures.

The purpose of this paper is to extend zero-coupon bond (ZCB) mean-variance portfolio optimization model to coupon bearing bond (CBB) counterpart and perform the empirical analysis for the efficient portfolio of KTB (Korean Treasury Bond). As KTB is issued as the semi-annual coupon bond, it is appropriate for CBB portfolio model to be used. We introduce the no arbitrage condition between CBBs and ZCBs as an additional constraint into an otherwise standard mean-variance bond optimization model. From the empirical analysis of KTB from 2006 to 2020, our finding is four-fold. First, the optimal CBB portfolio is similar to ZCB portfolio. Second, CBB portfolio is slightly different from the ZCB portfolio when considering target duration constraint. Third, the selection of maturities and introduction of strips result in the substitution effect between maturities. Fourth, from the perspective of financial institutions such as bank and insurance companies, some concentrated allocations (corner solutions) and the abrupt changes in weights are needed to be mitigated. The implication of our study is that it is appropriate to use this parsimonious CBB portfolio optimization model for strategic bond portfolio management.

This paper evaluates the flow–performance relationship of overseas equity funds invested in China. Considering the growth cycle of China's stock market and market conditions, this paper investigates the fund's performance-cash flow sensitivity to understand the reaction of Korean investors. The empirical findings are as follows. First, in order to analyze the sensitivity of past performance and net cash flow of overseas equity funds invested in China, the past 1 month, 3 months, 6 months and 12 months' performance as the performance measurement period to measure the impact of past performance on cash flow, the results show that there is a significant positive (+) relationship between fund performance and cash flow. Second, from the perspective of China's public fund industry, considering the growth cycle of China's stock market, the relationship between fund performance and cash flow is verified by stages. During the opening period of China's stock market (2016-200), there is a significant positive relationship between fund performance and net cash flow. Thirdly, to use the piecewise linear regression model to test the robustness of the flow–performance relationship and convexity is observed for the relationship between fund performance and cash flow. Fourth, considering the stock market of China's uncertainty and great variability, according to the stock market states, the high past performance portfolio of overseas equity funds is more sensitive to cash flow during the period of high market risk premium. By analyzing the cash flow of overseas equity fund investors invested in China, the investment decisions of individual investors and the scope of investors' understanding of trading behavior can be more deeply understood.