국민연금기금의 해외 투자를 위한 독일 증권거래의 행정규제와 위험관리에 관한 실증적 연구

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The purpose of the national pension Act is to contribute to the stabilization of livelihoods and the promotion of national welfare by providing pension benefits in case of old-age, disability or death and the Minister for Health, Welfare and Family Affairs shall establish the National Pension Fund that serves as a liability reserve to secure the finances necessary with regard to the National Pension program and to finance the pension benefits under this Act. So the national pension is a legal reserve for stable pension payment in the future. Therefore the fund requires long-term financial stability and is employed for old age income security and welfare improvement. And the key principles considering on employing the fund are profitability, stability, and publicity. The scale of annual fund including national pension increases exponentially. The fund scale in national pension is 249 billion won at end of July, 2009 and was employed and invested in financial and welfare section. The most of the scale was invested in financial section. And hence foreign investment for the fund is required urgently. Risk management through hedge trading of derivatives is required in order to invest overseas with above key principles about the fund employment. This paper studied fundamental difference of deposit money system between Korean and Germany in future trading. It then examined cross-hedge and mutual interrelationship of variables between KOSPI 200 Futures and DAX for risk management on investing stock at Germany. We ex amine the interdependence of KOSPI 200 Futures and DAX for 299 trading days from May 26, 2003 to February 16, 2009 for risk management in National Pension Fund of Investing DAX. In this paper we analyze the hedge performance of KOSPI 200 Futures and DAX for risk management in National Pension Fund of Investing DAX. The analysis employs Unit Root tests, cointegration test and the traditional minimum variance hedge model(Ordinary Least Squares Model of Regression Analysis) using weekly returns on DAX and KOSPI 200 Futures. The hedge performance analysis was performed by out-of-sample and in-sample. The hedge ratio was estimated using minimum variance hedge model with excepting data for 2 months 40 days in order to analyze the hedge performance using out-of-sample. With the parameter obtained in estimation of the model, hedge performance was measured and analyzed using data for 2 months 40 days. Measurement of hedge performance in this study is the decrease rate that subtracted one from the ratio of hedged portfolio variance to unhedged portfolio variance. This study carried into effect the cross-hedge to manage risk on investing DAX using KOSPI 200 Future. Assumptions for empirical analysis of cross-hedge are as follows. First, KOSPI 200 Future is that roll over for month trading is unrestricted. Second, there is no maket impact cost on investing DAX and KOSPI Future. Third, there is no trading commission and trading tax on investing DAX and KOSPI 200 Future. Fourth, when hedge using KOSPI 200 Future, DAX investment can use KOSPI 200 Future freely. This research showed following main results with above assumptions. First, from basic statistic analysis, both DAX and KOSPI 200 Futures has unit roots, Second, there is at least one cointegration between them. In addition, we find that while the effect from DAX to KOSPI 200 Futures is relatively Strong. This study suggests that there is a strong relation between KOSPI 200 Futures and DAX stock market.