경기변동을 고려한 주식수익률과 변동성 관계의 변화: 비대칭 GARCH 모형을 이용하여 = Article : Stock Returns and Its Volatility under Business Cycles Changes: Using Asymmetric GARCH Model

국문 초록 (Abstract)

본 연구에서는 우리나라 주식시장의 세 가지 관련된 현상이 논의된다. 즉, 주식의 변동성과 주식의 초과수익률(risk premium)간의 관계, 투자자의 위험회피도(risk averseness), 그리고 비대칭 변동성(asymmetric volatility)이 각각 경기변동에 따라 어떻게 변화하는지 계량적으로 연구되어진다. 이를 위하여, 주식시장의 위험과 주식 초과수익률간의 관계가 EGARCH-M 모형을 이용하여 추정되어진 후, 경기변동 더미변수를 이용하여 경기변화의 효과를 살펴보게 된다. 추정결과에 따르면 주식 투자자의 위험회피도는 경기에 의존적이며, 유의하게 경기선행적으로 나타났다. 또한 비대칭변동성은 호황이 시작되기 직전의 기간에 약화되는 것으로 추정되었다.

다국어 초록 (Multilingual Abstract)

We study how three interrelated phenomena-excess stock returns and risk relation, risk aversion, and asymmetric volatility movement-change over business cycles in Korean stock market. In a single framework of asymmetric GARCH in mean models, we significantly find that the risk averseness in Korean stock market is dependent on the business cycle and it increases before the boom periods start (i.e., precyclical risk aversion). And also the asymmetric volatility is weakened before the boom periods start. In Korean stock market, while there is a general agreement about the trade-off between risk and expected return for cross-sectional securities within a given time period, there seems to be no such an agreement about the relation between risk and return over time. There is an extensive empirical literature that has tried to establish the existence of such an intertemporal tradeoff between risk and return for stock market indices. Unfortunately, the results have been inconclusive. Related to this, recently it has been debated whether risk aversion is state-dependent and whether it is pro-cyclical or counter-cyclical. In this paper, we have explored these issues using an empirical model. We have employed a representative asymmetric GARCH-M model allowing for potential business cycle effects to examine a time-varying inter-temporal relation between excess return and risk using a series of business cycle dummy variables. Given our finding of a time-varying risk-return relation over business cycles, we have attempted to infer its implication for time-varying risk aversion over the business cycles. Our findings can be summarized as follows. First, in the simple GARCH models without allowing for the business cycle effect, the risk premium coefficient does not show any clear and significant relation between risk and excess return in Korean stock market over 1995 to 2008 period. Even though we allow for a business cycle factor (boom and recession), the risk premium coefficient is still insignificantly changed between the boom and recession periods. This result is quite consistent over previous studies about Korean stock market. However the risk premium coefficient significantly increases in the `3-month before the boom start` period. Since the coefficient of volatility in the excess mean return equation is usually characterized as measuring the time-varying risk aversion parameter [e.g., Merton (1980)], our finding suggests increased risk aversion in the `3-month before the boom start` period or a precyclical movement of risk aversion. Secondly, we find that the asymmetric movement of volatility is also state-dependent, and the intensity of it changes over business cycles. Specifically, we find that asymmetric volatility is weakened significantly in the `3-month before the boom start` period. Our finding of state-dependent and procyclical risk aversion helps us understand not only the larger risk premium for a given risk in the `3-month before the boom start` period but also weakened asymmetric volatility during the `3-month before the boom start` period, in particular by extending Campbell and Hentschel`s (1992) argument, both of which are observed based on GARCH-M models with business cycle dummies. Regarding the asymmetric volatility movement, Black (1976) argues that it could be due to an increase in leverage that occurs when the market value of a firm declines. However, we find that investors are strongly risk-averse during the `3-month before the boom start` period. As such, investors become more sensitive to the leverage effect, and the leverage effect hypothesis anticipates that asymmetric volatility will get stronger in the `3-month before the boom start` period. This prediction is not easily compatible with our finding of weakened asymmetric volatility during the `3-month before the boom start` period.

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