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국면에 따른 한국 주식시장의 산업별 변동성 전이효과

Regime-dependent Industry volatility spillover effects in the South Korean stock market

김영민|최성렬
국가데이터연구원 (Statistics Research Institute)|2024.07|통계연구 (Journal of the Korean Official Statistics)|제29권 제2호|pp. 53-80|DOI 10.22886/jkos.2024.29.2.53

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키워드

베이지안 추정주식시장Stock MarketBayesian EstimationVolatility Spillover변동성 전이효과마코프 국면전환Markov-switching
주제분류경제학

초록

본 연구에서는 변동성 국면에 따른 한국 주식시장의 업종별 위험의 전이효과를 분석한다. 이를 위해 Diebold and Yilmaz(2012)의 전이효과 분석 방식에 마코프-국면전환을 도입한 모형을 베이지안 MCMC 추정 방법을 사용하여 추정한다. 2003년 1월 2일부터 2023년 5월 24일까지 한국주식시장의 섹터별 실현 변동성 주별 자료로 추정한 결과 산업재, 소재 및 경기소비재 등 제조업관련 산업은 국면의 전환 여부와 관계없이 주요한 위험 전이의 주체로 작용했다. 또한, 경기 변동에 둔감하다고 알려진 유틸리티, 통신서비스 섹터는 안정적인 국면과 불황 국면 모두에서 위험을 전이 받는 수신자로서 작용했다. 본 연구의 결과는 국면 의존적인 업종 간 영향력 변화에대한 실증적 증거를 제공하며 이를 기반으로 위험관리를 목적으로 하는 경제 주체에게 효율적인위험관리에 대한 기반을 제공한다.

Abstract

In this study, we analyze sector-specific risk spillover effects in the South Korean stock market across different volatility regimes. To this end, we employ the model of Kim and Lee (2022, 2023), which incorporates the Markov regime-switching into the spillover effects analysis proposed by Diebold and Yilmaz (2014). According to our empirical results with the weekly realized volatility from January 2, 2003, to May 24, 2023, manufacturing sectors (industrial goods, materials, and discretionary goods) act as significant risk transmitters regardless of regime changes. However, defensive sectors (utilities and communication services) exhibit risk receivers in both stable and recessionary periods. These findings provide empirical evidence of the regime-dependent inter-sectoral connectedness and the basis for effective risk management.

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