연속수익률의 연쇄충격과 반전충격이 주식시장의 조건부 변동성에 미치는 영향

• 영문명: The Influence of Consecutive and Reversal Shocks of Return Sequence on Conditional Volatility of Equity Markets
• 발행기관: 한국무역연구원
• 저자명: 최완수(Wan-Soo Choi)
• 간행물 정보: 『무역연구』제10권 제1호, 599~618쪽, 전체 19쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

This study analyze the influence of the sequence of consecutive shocks and reversal shocks on the conditional volatility of major equity market indices. We apply Tsay(l987) s CHARMA model to nine world equity markets including Korea, Japan, Hong Kong, Singapore, Australia, United Kingdom., France, Gennany, and United States of America. The sample period is from Jan. 1, 1990 to June 31, 2012. The conclusions of this study can be summarized as follows. First, the consecutive negative shocks generally increase the equity markets conditional volatilities. While, the consecutive positive shocks have no significan effects. Second, the reversal shocks also contribute to the increase of the equity markets volatilities. Third, nonetheless, the effects of consecutive negative shocks on the conditional volatilities are higher than those of consecutive reversal shocks. Finally, these effects still affects on the volatility even when we control a GJR effects.

목차

Abstract

Ⅰ. 서론

Ⅱ. 연구방법론

Ⅲ. 실증분석

Ⅳ. 결론

참고문헌

키워드

CHARMA model Consecutive Shocks Reversal Shocks Asymmetric Volatility