아시아와 선진국간 주식수익률의 변동성에 대한 연구 = A Study on the Volatility of Stock Returns between Asian and Developed Countries

다국어 초록 (Multilingual Abstract)

This study attempts to examine the global volatility in the short－term and long－term stock returns between Asian and developed countries using the ACGARCH model after the Asian financial crisis of 1997. The results of this study can be summarized as follows：First, the leverage effect and the asymmetric volatility exist over the periods. Second, the results of Hadsell(2006) and Shively(2007) are different from those of this paper in the transitory component(short－run volatility) related with the financial crisis, meaning that a transitory volatility resulting from the negative impact exists even lower in the high volatility regime. Third, the permanent component(long－run volatility) show the highest in the whole period with the crisis. Fourth, although the permanent component of the volatility has some changes after the crisis, the long－term volatility can still control conditional variance. Fifth, Shively’s(2007) results are not cosistent with the findings of this study because of the higher volatility caused by increasing the long－run volatility after the Asian crisis. Thus this study supports previous studies that decompose volatility into the short－run and long－run component. And we confirmed that the long－run asymmetric volatility is higher after the Asian crisis, indicating that the fluctuations in the short－run volatility are gradually decreasing after the crisis.

국문 초록 (Abstract)

본 연구는 ACGARCH모형을 이용하여 1997년 말 아시아의 금융위기이후 아시아와 선진국간 주식수익률의 단기와 장기 변동성을 검정하는데 있다.
본 연구의 결과를 요약하면, 첫째, 대부분의 기간에서 레버리지효과와 일시(단기) 비대칭 변동성이 존재하였는데 전체기간의 한국이 가장 낮았다. 둘째, Hadsell(2006)의 일시적 요소(단기 변동성)의 평균값의 결과는 전체기간에서 가장 높고 위기중에서 가장 낮았으므로 단기 변동성이 위기중의 고변동성국면에서 더욱 낮게 나타났다. 셋째, Engle and Lee(1993)의 영구적 요소(장기 변동성)의 평균값은 위기전에서 가장 낮고 위기후에서 가장 높았으므로 주식시장의 변동성을 더욱 증가시키며 비대칭성을 확대시켰다. 넷째, 타국의 주식시장의 변동성에서 한국의 주식시장의 변동성으로의 전이와 한국과 타국의 주식시장간 일방향 또는 양방향의 비대칭적 반응을 관찰함으로써 한국과 타국의 주식시장의 변동성간의 여러 관련성을 보여주었다.
따라서 본 연구는 변동성을 일시와 장기적 요소로 분해하여 단기와 장기 변동성을 모두 파악하였고, 특히 아시아의 금융위기이후 더 높은 변동성은 단기 변동성보다는 장기 변동성의 증가로 발생하였다는 사실을 확인하였다.

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