한국과 독일 주식시장에서의 변동성 전이|RISS 상세보기

다국어 초록 (Multilingual Abstract)

In this study, mutual volatility spillover effects between stock markets of Korea and Germany have examined, using symmetric and asymmetric bivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba, Engle, Kraft, and Kroner) regression models. The GARCH-BEKK model is based on a framework without any restrictions on the conditional correlations of the multivariate model. Accordingly this model can differentiate directions and magnitudes of volatility spillovers. Additionally, the asymmetric model can differentiate downward shock (resulting from unexpected increase in return) and upward shock (unexpected decrease in return), therefore it is chosen in this study to find out existence of this asymmetry. It is shown that there is a obvious distinction between downward and upward shock from many recent studies.
Total sample period of this paper is 4,173 days from the beginning of 1997 to the end of 2012. However, to discover the volatility spillover effect in times of crisis more precisely, I add another sub-sample period of Global Financial Crisis from July 1, 2008 to June 30, 2009.
Major findings are as follows.
First, shock spillover from Korea to Germany is shown to be significantly positive, contrary to the significantly negative effect of that from Germany to Korea, from the estimation of symmetric model during the whole sample period of 1997 to 2012.
Second, downward shock spillovers stemming from the unexpected decrease in market return in both directions turn out to be negative in the whole sample period, suggesting mutual diversification effect between these two countries.
Third, during the Global Financial Crisis times, results for the shock spillovers from the symmetric model are changed to be just the opposite from the results during the whole sample period. In other words, shock spillover from Germany to Korea turns out to be positive whereas that from Korea to Germany is shown to be negative.
Finally and most importantly, downward shock from Germany to Korea during the GFC times turns out to be significantly negative while that from Korea to Germany shows still positive, signaling diversification effect in portfolio formation from Korea especially in the crisis times.
The last finding is perhaps for the first time and quite surprising and valuable among the studies for international volatility spillovers in the global stock market. The last finding is the existence of significantly negative shock spillover, i.e., shock reduction from the developed market to the emerging market.

번역하기

참고문헌 (Reference)

1 김석진, "한국, 중국 및 미국 주식시장의 동조화" 한국재무관리학회 28 (28): 1-23, 2011

2 김병준, "한·중·일 주식시장에서의 충격전이효과 분석" 한국생산성학회 26 (26): 65-95, 2012

3 김병준, "신흥주식시장에서의 변동성반응가설 검정" 한국재무관리학회 26 (26): 191-234, 2009

4 신범철, "세계자본시장 변동성이 국내 외환시장과 주식시장에 미치는 비대칭적 전이효과 분석" 한국기업경영학회 18 (18): 261-276, 2011

5 김병준, "상태공간모형을 이용한 신흥국 채권수익률 스프레드 분석" 아시아.유럽미래학회 7 (7): 1-23, 2010

6 남주하, "미국 주식시장의 동아시아 주식시장으로의 비대칭적 변동성 이전효과 분석" 한국국제경제학회 9 (9): 119-148, 2003

7 김권식, "금융위기와 신흥국 채권스프레드의 과잉반응" 한국기업경영학회 17 (17): 241-254, 2010

8 Baldwin, R., "Zeros, Quality and Space: Trade Theory and Trade Evidence" 1-48, 2007

9 Steeley, J. M., "Volatility Transmission between Stock and Bond Markets" 16 (16): 71-86, 2006

10 Skintzi, V. D., "Volatility Spillovers and Dynamic Correlation in European Bond Markets" 16 (16): 23-40, 2006