한국 주식시장의 비대칭적 변동성에 관한 재고찰

• 영문명: A Re-examination on Asymmetric Volatility in the Korean Stock Market
• 발행기관: 한국무역연구원
• 저자명: 배진호(Jin-Ho Bae)
• 간행물 정보: 『무역연구』제10권 제1호, 509~534쪽, 전체 25쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

This paper re-examines whether volatility is asymmetric in the Korean stock market, focusing on how the stylized fact of stock returns is influenced by the currency crisis of 1997. The GJR-GARCH and EGARCH models are recursively estimated using only historically available data at each point, that is, the starting point of the sample period is held fixed at Feb. 1980 and the end point recursively runs from Jan. 1986 through Dec. 2012. The main findings for the returns of the KOSPI composite index are as follows: 1) no evidence of asymmetric volatility is found when the end point comes before the crisis, 2) strong asymmetric volatility is present for the end points between Oct. 1997 and Sep. 1998, the period of the crisis, 3) for the end points at and after Oct. 1998, the degree of asymmetric volatility is weakened slightly. These results imply that the currency crisis have had a substantial impact on the asymmetric volatility phenomenon of the Korean stock market.

목차

Abstract

Ⅰ. 서론

Ⅱ. 모형

Ⅲ. 실증분석 결과

Ⅳ. 결론

참고문헌

키워드

Asymmetric Volatility Currency Crisis GJR-GARCH EGARCH