WTI 원유시장과 주식시장간의 동학적인 상관관계에 관한 실증연구 = An Empirical Study on the Dynamic Correlation between WTI Crude Oil Market and Stock Market

국문 초록 (Abstract)

이 연구는 WTI 기준 국제유가시장과 각국 주식시장간의 비대칭 시간 가변 파급효과를 분석하기 위해서 조건부 평균에 전통적인 공적분항과 부분공적분항을 고려하고 있고, 또한 조건부 분산에 레버리지 효과를 고려한 고정상관관계 GARCH와 동적상관관계 GARCH 모형을 이용하였다. 연구결과는 다음과 같다. 첫째, 장기기억을 나타내는 모수의 추정치는 모든 국가와 모형에서 통계적으로 유의적이었다. 둘째, 두 시장 간의 장기적인 균형관계가 성립하지 않는 경우 개별시장은 어떻게 반응하는가를 나타내는 오차항의 계수는 독일, 영국, 일본의 경우에는 부분공적분을 고려한 모형의 경우 WTI 유가시장에서, 나머지 홍콩, 중국, 한국의 경우 고려하고 있는 모든 모형의 경우 WTI 유가시장에서 모두 통계적으로 유의적인 결과를 보여주고 있다. 셋째, 두 시장 간의 변동성 파급효과를 나타내는 계수는 모두 통계적으로 유의하게 나타나 서로 영향을 주고받는 것으로 나타났다. 넷째, 레버리지 효과는 주식시장에서는 모두 유의적으로 정(+)의 값을 가지나, WTI 유가시장에서는 모두 통계적으로 유의적인 결과를 얻지 못하였다. 그러나 두 시장 모두에서 비대칭의 효과는 통계적으로 유의적인 것으로 나타나고 있다.

다국어 초록 (Multilingual Abstract)

This article investigates the interrelationships in daily returns using fractionally integrated error correction term and volatilities using constant conditional correlation and dynamic conditional correlation GARCH with asymmetries between oil and stock markets. Our findings are in orders. First, the long memory parameters, d, vary from 0.1176 to 0.4553 for all models considered and are all statistically significant. Fractionally integrated processes exhibit long memory and generate very slow decay in the impulse-response weights in individual markets. Second, the coefficients for the error correction term are all statistically significant for the oil market of Hongkong, China, and Korea, but are significant only in the model with fractionally cointegrated error correction terms for the oil market of the other three countries. Of particular interest are the signs of the estimates for the error correction term, which are all negative for the oil markets, implying that when the oil price is too high relative to the stock price the current oil price will be adjusted downward to meet the long-run equilibrium relationship. Third, for the asymmetric specifications there are bidirectional volatility spillovers between both markets and the direction of the information flow seems to be stronger from stock to oil. Fourth, the coefficients for the asymmetric term are all significantly negative for both markets, but the oil market does not have a significant effect for all models. However, the coefficients for the asymmetric term are all significant, implying that the leverage effect does exist in the oil and stock markets.

목차 (Table of Contents)

• I. 서론
• II. 모형
• III. 분석모형
• IV. 실증분석
• V. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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