Pricing Factor and Investment Performance of Crude Related ETPs in the U.S. & Korea
Pricing Factor and Investment Performance of Crude Related ETPs in the U.S. & Korea
김성규(미래에셋증권(주)); 백재승(한국외국어대학교)
32권 5호, 1~41쪽
초록
This study explores the interrelationship between crude oil benchmarks and oil-related exchange-traded products (ETPs), with a particular focus on the comparative profitability of futures-based and equity-based oil instruments, as well as the influence of energy policies on investment performance. The analysis investigates the co-movements between WTI crude oil and NYSE-listed ETPs, revealing a ignificant association. In contrast, ETPs listed on the Korea Exchange (KRX) demonstrate a comparatively weaker linkage, suggesting regional disparities in market responsiveness. Analysis further illustrates that NYSE-related ETPs exhibit a rapid dissipation of shocks by the third lag, while KRX-related instruments show a more delayed convergence, typically between the fourth and fifth lags—an outcome plausibly attributed to differences in trading hours and market structure. We also evaluates the relative performance of futures-tracking oil ETFs and those linked to oil production companies. Findings based on the Sharpe ratio indicate that a futures-based ETF demonstrates superior risk-adjusted returns, although an ETF focused on upstream oil producers also delivers favorable performance. By contrast, KRX-based instruments do not exhibit a clear return differential across ETP types, thereby rendering comparative evaluation inconclusive within the Korean context. Finally, the research examines the investment implications of divergent U.S. energy policy regimes by segmenting the sample into the Trump and Biden administrations. Contrary to expectations, the Trump administration’s fossil fuel-oriented policies do not yield a corresponding uplift in returns. Conversely, a marked improvement in investment performance is observed during the Biden administration, despite its climate- forward agenda. This paradox is interpreted as a function of broader macroeconomic recovery following the COVID-19 pandemic and renewed investor confidence amid a globally resurgent equity market.
Abstract
This study explores the interrelationship between crude oil benchmarks and oil-related exchange-traded products (ETPs), with a particular focus on the comparative profitability of futures-based and equity-based oil instruments, as well as the influence of energy policies on investment performance. The analysis investigates the co-movements between WTI crude oil and NYSE-listed ETPs, revealing a ignificant association. In contrast, ETPs listed on the Korea Exchange (KRX) demonstrate a comparatively weaker linkage, suggesting regional disparities in market responsiveness. Analysis further illustrates that NYSE-related ETPs exhibit a rapid dissipation of shocks by the third lag, while KRX-related instruments show a more delayed convergence, typically between the fourth and fifth lags—an outcome plausibly attributed to differences in trading hours and market structure. We also evaluates the relative performance of futures-tracking oil ETFs and those linked to oil production companies. Findings based on the Sharpe ratio indicate that a futures-based ETF demonstrates superior risk-adjusted returns, although an ETF focused on upstream oil producers also delivers favorable performance. By contrast, KRX-based instruments do not exhibit a clear return differential across ETP types, thereby rendering comparative evaluation inconclusive within the Korean context. Finally, the research examines the investment implications of divergent U.S. energy policy regimes by segmenting the sample into the Trump and Biden administrations. Contrary to expectations, the Trump administration’s fossil fuel-oriented policies do not yield a corresponding uplift in returns. Conversely, a marked improvement in investment performance is observed during the Biden administration, despite its climate- forward agenda. This paradox is interpreted as a function of broader macroeconomic recovery following the COVID-19 pandemic and renewed investor confidence amid a globally resurgent equity market.
- 발행기관:
- 한국기업경영학회
- 분류:
- 경영학