Volatility Transmission between Commodity and Stock Markets: Evidence from the Korean Stock Market

• 발행기관: 한국자료분석학회
• 저자명: 강상훈(Sang Hoon Kang) 윤성민(Seong-Min Yoon)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.17 No.4, 1759~1769쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2015.08.30

영문 초록

This study investigated the volatility transmission between commodity futures (gold and crude oil) and Korean stock markets. To examine volatility transmission, we utilized the trivariate AR-DCC-GARCH model and weekly closing price index series from 2 January 1998 to 20 January 2015. We also considered the potential impacts of structural breaks on the volatility of these markets using the modified ICSS algorithm, and calculated optimal portfolio weights and hedge ratios using the estimated conditional covariances between commodity futures and Korean stock returns. The result revealed significant volatility transmission between two markets. In particular, we found significant variability in the time-varying conditional correlations between the considered markets during both bull and bearish markets, particularly from early 2007 to summer 2008. We analyzed the optimal portfolio weights and time-varying hedge ratios based on estimates of the trivariate AR-DCC-GARCH model. These findings are of practical importance to portfolio investors and may be useful for making optimal portfolio allocation decisions and developing cross-market hedging strategies.

목차

1. Introduction

2. Empirical methodology

3. Data

4. Empirical results

5. Conclusions

References

키워드

Volatility transmission Financial crisis Time-varying conditional correlation Optimal portfolio weight Hedge ratio