서브프라임과 주가변동성

• 영문명: Sub-Prime and the Volatility of Korean Stock Market
• 발행기관: 건국대학교 경제경영연구소
• 저자명: 장국현(Kook Hyun Chang) 홍민구(Min Goo Hong)
• 간행물 정보: 『상경연구』제34권 제1호, 1~14쪽, 전체 14쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2009.03.30

영문 초록

This paper tries to estimate the volatility of Korean stock market and that of won/dollar exchange rate using jump-diffusion model with GARCH heteroscedasticity during the period from January 3, 1996 to November 11, 2008. According to the empirical results of this study, the volatility of Korean stock market has been increasing since the sub-prime mortgage crisis, but the volatility during the IMF crisis has been higher than the volatility during the sub-prime crisis. Also we have found the same results as to the volatility of won/dollar exchange rate.

목차

Abstract

Ⅰ. 서론

Ⅱ. 이분산성(Heteroscedasticity)을 고려한 점프확산모형(Jump-diffusion model)

Ⅲ. 실증분석

Ⅳ. 결론

참고문헌