The object of this paper is to examine the difference of the volatility between the Stock market and the KOSDAQ market and to analyze the dynamic relations to the volatility between them. EGARCH(1, 1) model is used to estimate the volatility based on ...
The object of this paper is to examine the difference of the volatility between the Stock market and the KOSDAQ market and to analyze the dynamic relations to the volatility between them. EGARCH(1, 1) model is used to estimate the volatility based on daily excess returns of KOSPI and KOSDAQ index from July 1996 to June 2006.
Empirical results show that there is no statistically significant difference of the volatility between the Sock market and the KOSDAQ market, and that there is a sharp and significant increase in the volatility after 1997 foreign exchange crisis. The results of VAR approach show that there is the evidence that the volatility of the Stock market causes that of the KOSDAQ market.