국내 헤지펀드와 해외 헤지펀드시장 수익률, KOSPI 수익률, 국고채 수익률간의 정보이전 효과

This study implements the calculation of rate of return on 83 hedge funds invested from Oct 2003 to June 2010 (6 years 9 months) and the comparison analysis between monthly averages of 81 hedge funds and its benchmark in the same periods as well as research on mechanism of information transfer. Time series analysis is used for the rates comparison to verify various movements and for mechanism of information transfer with VAR model and GARCH models. Main analysis result is as follows;Rates of return on overseas market have stronger prediction capability compared to those of KOSPI and Korean Treasury Bond in terms of information transfer, and it influences significantly fluctuation of the investment rates. Moreover, it is found that there exists mechanism of information transfer on hedge funds analyzing the pattern of the rate of return on overseas market, KOSPI and Korean Treasury Bond. Implication of this study is that institutional investors must consider not only past performance of funds but quantitative analysis such as stability of fund management institutions, management philosophy and management style etc. and realizing there exists mechanism of information transfer about financial markets through nations, they must secure a system to be response to change in the overseas financial markets and determine investment ratio of domestic/overseas assets just in time