국내 채권지수 및 채권시장에 대한 분석

This paper compares the major domestic bond indices (KIS bond indices and KBP bond indices) and analyzes the risk and return relationship of domestic bond market using the bond indices. From the empirical study for the domestic bond indices, we can find the followings. First, the correlation coefficient of KIS aggregate bond index and KBP aggregate bond index is 0.9973, and this figure is similar to the correlation coefficients between major American aggregate bond indices-0.997〜0.998. Second, the monthly tracking deviations of domestic bond indices are higher than those of American bond indices. Therefore, in Korean bond market, the selection of a target bond index is very critical issue in the evaluation of bond portfolio performance. Third, the required return for the unit risk of domestic bond market is a little higher than that of American bond market. Fourth, the linear relationship between the duration and the expected return of a bond index is similar to that between the volatility and the expected return of the bond index, so the duration can be used as an explanatory variable instead of volatility in the trade-off relationship of risk and return. Fifth, Sharpe ratio and Jensen's alpha are used as the performance measures, and the two measures give the similar results for the domestic bond indices.