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거시경제위험에 따른 이슬람시장 vs 서구 전통 주식시장

The Relationship between Low-frequency Volatility and Macroeconomic Risk in the Islamic Stock Markets

김홍배
한국금융공학회 (Korean Association of Financial Engineering)|2019.12|金融工學硏究 (Korean Journal of Financial Engineering)|제18권 제4호|pp. 197-222|DOI 10.35527/kfedoi.2019.18.4.007

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참고문헌

키워드

저빈도 변동성거시경제위험전통주식시장이슬람주식시장비대칭 스플라인 시간조건부 이산모형유사무관 회귀모형Low-frequency volatilityMacroeconomic riskConventional stock marketsIslamic stock marketsAFS-GARCH ModelSUR Regression
주제분류경영학

초록

본 연구는 거시경제 위험이 주식시장의 저빈도 변동에 미치는 영향을 분석하였다. 특히 서구전통 주식시장과 이슬람 주식시장 간에 미치는 거시경제 위험의 영향을 비교하였다. 총 변동성에서 저빈도 변동성을 추출하는 새로운 방법을 이용하여 분석한 연구결과는 다음과 같다. 첫째, 저빈도 변동성은 GDP, 상장기업수, 산업생산 변동성 보다는 이슬람시장과 시가총액이 높은 시장에서 낮게 나타났다. 둘째, 저빈도 변동성은 이슬람시장이 포함될 때 낮게 나타났다. 거시경제 위험에 대한 이슬람시장의 특이성은 다양한 하위표본, 임의 시장효과와 고정효과 등의 추정모형에서 일관되게 나타났다. 저빈도 변동성이 이슬람 시장에서 음의 값을 갖는 것은 체계적 금융위험이 주식시장에 영향을 미쳤을 때 포트폴리오 분산으로서 이슬람시장을 고려할 수 있음을 의미한다. 셋째, 저빈도 변동성은 거시경제 요인인 GDP, 실업, 단기이자율, 인플레, 통화공급(안정기), 환율 등의 변동성이 높을 때 같이 높았다. 그러나, 금융위기 시에 통화공급 기관이 통화량 증가를 결정한다면 저빈도 변동성은 낮아질 수 있었다. 이러한 결과들은 하위표본 뿐만 아니라 다양한 회귀모형에 있어서도 강건하였고, 이슬람시장의 종교성이 시장변동성을 축소시킬 수 있다는 함의를 갖게 하였다.

Abstract

This study investigates the relationship between macroeconomic risk and low-frequency volatility of stock markets, albeit, making a comparison between conventional and Islamic stock markets from around the world. The study uses the novel approach of Rangel and Engle(2012) to extract ‘low-frequency’ volatility from aggregate volatility shocks and then investigates whether this low frequency volatility can be explained by macroeconomic risk. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries (and) markets with more number of listed companies, (and) higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. Our findings imply that religiosity has an influence on the correction of market volatility.

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