Impact of the Global Financial Crisis on Volatility Spillover between U.S. and Asia-Pacific Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Sang Hoon Kang Seong-Min Yoon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.19 No.3, 1187~1195쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2017.06.30

영문 초록

We examined the impact of the global financial crisis (GFC) on volatility spillover between the stock market in the United States and those markets in seven Asia-Pacific countries: Australia, China, Hong Kong, Japan, Korea, Singapore, and Taiwan. We used the daily closing spot price of the Morgan Stanley capital index (MSCI) of these markets, and the multivariate fractionally integrated asymmetric power autoregressive conditional heteroskedasticity (FIAPARCH)-dynamic conditional correlation (DCC) model as the measure of spillover, considering long memory and asymmetry as features of volatility. Our empirical results provide strong evidence of asymmetry and long memory in the conditional volatility of, and significant dynamic correlations between, the U.S. and Asia-Pacific stock markets. Moreover, we compared the optimal portfolio weights and time-varying hedge ratios before and after the GFC, and concluded that portfolio investors paid more hedge costs after the GFC.

목차

1. Introduction

2. Multivariate FIAPARCH-DCC model

3. Data

4. Estimation results and implications

5. Conclusions

키워드

Global financial crisis Optimal portfolio weight Structural breaks Time-varying hedge ratio Volatility spillover