선진국과 신흥국의 주식시장간 글로벌 변동성에 대한 연구

• 영문명: A Study on Global Volatility of Stock Markets between Advanced and Emerging Countries
• 발행기관: 한국무역연구원
• 저자명: 김경수(Kyung Soo Lee) 이경희(Kyung Hee Lee)
• 간행물 정보: 『무역연구』제9권 제6호, 353~375쪽, 전체 23쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2013.11.30

영문 초록

This study is to examine the relevance of volatility in global stock markets between developed countries and emerging countries. The findings were summarized as follows. First, the unit roots were present in unit root tests. And China(Japan) after(before) the crisis showed the long-term memory in the ARFIMA model and a long-run equilibrium relationship. Second, after the global financial crisis, US had the largest influence in the conditional mean equation of a multivariate EGARCH-M model and it showed the maximum mean spillover effects from US to China and were followed by Korea to US and US to Korea. The expected rate and conditional volatility of return showed the highly positive relevance in India, Korea, and Japan. In the conditional variance equation, the size effects of Japan were the largest and was followed by China and Korea. There were the largest spillover effects of the conditional volatility from German to Korea and were followed by German to China and Japan to India The leverage and asymmetric effects existed in own market of Taiwan and the leverage effects had the highest from India to Taiwan and the asymmetric effects were also present in the order of Japan to Taiwan, UK to China. The asymmetry was increased by about 1.703 times from India to Taiwan and followed by Japan to Taiwan, domestic market of Taiwan, UK to China. The volatility persistence of UK had the highest and was followed by German and India. Third, the cointegration relationship from VEC model showed that stock market in lndia, US and Japan were adjusted to restore partially in the short term respectively. Therefore, the spillover, leverage and asymmetric effects of global volatility were present between stock market of developed countries and emerging economies in this study and after the global financial crisis, the relationship among stock market was confirmed to be expanded more closely.

목차

Abstract

Ⅰ. 서론

Ⅱ. 연구방법론

Ⅲ. 자료와 예비분석

Ⅳ. 실증결과

Ⅴ. 요약 및 결론

참고문헌

키워드

volatility ARFIMA EGARCH-M spillover effect