Comovement between Korean Stock and Government Bond Markets

• 발행기관: 한국자료분석학회
• 저자명: Hyunchul Lee Jinsu Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.12 No.5, 2407~2418쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2010.10.30

영문 초록

This paper investigates an impact of market’s expectation for future financial market uncertainty on comovement(realized correlations) between Korean equity and 5 year government bond markets from 4th January 2001 to 30th June 2008. We find evidence that the lower financial uncertainty is associated with an increased time-variation in comovement between Korean stock and government bond markets. The government bond yield has a positive relation with the KVIX whereas the stock return has a negative one with it. These findings support a flight to quality hypothesis that market participants readjust their portfolios to a safer asset(i.e. government bond) in times of financial uncertainty in Korean security market. Thus, Our study provide investors and policy makers with valuable implications to improve a portfolio diversification and to coordinate a macroeconomic policy for stabilizing the financial system in the country.

목차

1. Introduction

2. Methodologies

3. Data Issues

4. Empirical results

5. Summary and concluding remarks

References

키워드

Comovement Financial uncertainty Realized correlation Flight to quality