부동산간접투자상품과 포트폴리오 성과에 관한 연구: 부동산인프라 ETF를 중심으로

As an investment point of view, real estate supports safety, profitability, and inflation hedging effects traditionally. The results of related prior studies often differ depending on the sample period, so it can be inferred that the correlation or portfolio effects may differ depending on the financial market situation. Based on the results of previous studies, this study examines whether the results of correlations between indirect real estate investment products and other financial market variables appear different when the financial market experiences rising, falling and sideways market. And also tried to verify the validity of the argument that the performance of indirect real estate investment products is relatively superior in the sideways market than in the rising or falling. Using daily data from 2019.07.19 to 2021.12.30 dividing the period into rising, falling, and sideways phases, this study analyzed the relation between indirect real estate investment products using real estate ETF as a sample and other financial variables. And this study analyzed the portfolio performance to analyze whether the correlation with other financial products varies depending on the phases and in which phase has the greatest portfolio performance. As a result of the empirical analysis, the correlation between real estate ETF and other financial variables in the sideways phase was different, and evidence was also found in the dynamic analysis using the vector autoregressive model(VAR model). In the sideways phase, the standard deviation of real estate ETF was maintained at a relatively low level, while the average rate of return became superior and the correlation with other financial market variables became decreased. The dynamic analysis showed that the Granger causality between real estate ETF and other financial market variables decreased, and the influence of other financial market variables on real estate ETF decreased in the sideways phase. In order to analyze the effect of real estate indirect investment products on portfolio performance, the portfolio was composed of stocks, bonds and real estate ETF and the Sharpe ratio and standard deviation were calculated. It was verified that the risk-return ratio of the portfolio including real estate ETF showed better performance than a portfolio consisting of only stocks, bonds or stocks and bonds in the sideways phase. The results of this study provide implications that indirect real estate investment products can be used as useful investment strategies for market participants or the development of new real estate-related financial instruments. In addition, as a result of analyzing the characteristics and portfolio effects of indirect real estate investment products by classifying the market situation, this study has been verified that portfolio effect of indirect real estate investment products showed larger effect in the sideways phase.