동아시아 주요국의 주가 변동 요인 분석
Stock Market Volatility in East Asia: Is it from Domestic Factor or External One?
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본 연구는 2000년〜2010년 기간 중 동아시아 8개국의 주가 변동요인을 세계시장의 공통요인, 동아시아 지역시장의 공통요인 및 개별국가의 고유한 요인으로 구분한 뒤, 주성분분석과 구조적 벡터자기회귀(SVAR)모형을 사용하여 분석하였다. 분석결과, 이들 국가들에서 다음과 같은 특징이 나타났다. 첫째, 장기적으로 동아시아에서 주가의 가장 큰 변동요인은 대체로 개별국의 고유한 요인인 것으로 나타났다. 둘째, 글로벌 요인과 동아시아 지역요인을 비교할 때, 지역요인이 글로벌 요인보다 각국의 주가 변동에 미치는 영향이 컸던 것으로 나타났다. 셋째, 글로벌 금융위기를 중심으로 기간을 구분하여 주가 변동요인을 살펴본 결과, 국내 고유한 요인의 비중이 감소한 반면 글로벌 요인의 영향력이 커졌고, 지역요인의 비중은 크게 변하지 않은 것으로 제시되었다. 넷째, 동아시아 주가 변동요인에서 대외요인이 차지하는 비율은 1990년대 후반인 유럽통화통합 이전의 유럽 수준에 접근하는 것으로 평가되었다.
Abstract
This paper applies the SVAR model and principal component analysis method to identify the underlying shocks of stock price indices of East Asian counties into “global”, “regional” and “country-specific” shocks from 2000 to 2010. In addition, we divide the sample period into two subsample periods of ‘before global financial crisis’ and ‘after global financial crisis’ and check the difference of the importance of these shocks. From this analysis, we find several important facts as follows. First, the most important shock of the stock price indices in East Asia is the domestic one and second, the regional common factor is more important than the global common factor to explain the movement of stock price indices of East Asia. Third, during global financial crisis period, the domestic factor becomes less important while the global one become more important. Finally, the importance of external factor in East Asia is as large as that of Europe countries before the monetary union.
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