신용스프레드와 주식시장간 변동성이전
Volatility Spillover between Credit Spread and Stock Market of Korea
0
조회
0
다운로드
6
인용
0
참고문헌
키워드
초록
본 연구는 2000년부터 2007년 미국 신용위기 전까지의 국내 신용스프레드와 주식시장간 관계를 회사채시장과 주식시장간 관계와 비교 연구하였다. 선도 지연 검정 결과, 만기별로 5년/10년보다 3년만기 회사채 BBB 등급 신용위험을 반영하는 신용 스프레드 변동이 주식시장에 선행적으로 움직였다. 신용스프레드의 경우 시간가변적 이분산성과 변동성 지속성을 갖고 있지만, 주식수익률은 변동성 지속성만 갖고 있으며 2 시계열자료 모두 변동성 지속효과가 크게 나타났다. 신용스프레드 변화와 주식수익률 간에 부의 관계가 있어 신용스프레드가 감소할수록 주식수익률이 상승하는 동시에, 주식수익률의 상승은 신용스프레드의 감소로 나타났다. 또한 양자 간의 변동성 이전에 있어서는 신용스프레드의 변동성만이 주식시장의 변동성에 영향을 주었다. 따라서 자산배분 및 투자전략 수립에 있어 신용스프레드 및 변동성 추이는 주식투자 결정에 유용함을 본 연구에서 확인할 수 있었다. 따라서 실무에 있어서 주식투자 및 위험관리로서 회사채 수익률만 아니라 신용스프레드의 추이를 적극 고려하여야 한다.
Abstract
This study looks at the relationship between credit spread and stock market in Korean market for periods from 2,000 to prior financial crisis in United States in 2007. Review of examining Granger-causality between credit spread variations and stock market returns indicates that credit spread reflecting BBB rated 3 year corporate bonds has influenced equity market more vigorously in advance than that of longer term tenor(5 to 10 year maturity) of corporate bonds does. Whereas in case of credit spreads both type of bonds have features of both GARCH effect and ARCH effect, Korean stock market has GARCH effects only and 2 time series data have shown both larger GARCH effects. Negative relation prevails between credit spread variations and return on equity in bull times and volatility of credit spread influenced volatility of equity market. volatility of equity market including volatility of credit spread has affected return on equities. Henceforth, this study could confirm that credit spread and its trend is very useful in investment decision of stocks, particularly when mapping out asset allocation and investment strategies. Accordingly, business circle shall monitor closely trend of credit spread as well as yield in bonds as part of managing their equity portfolios and risk management.
참고문헌 (30)
- 구본일, "채권시장과 주식시장의 동적상관성과 가격결정에 관한 연구", 재무연구, 12(2), pp.257~280 (1999)
- 김홍배, "달러-엔 금리차와 주식시장간 변동성 전이", 대한경영학회지, 22(5), pp.2769~2788 (2009), 대한경영학회
- 유한수, "주식시장 변동성과 채권시장 변동성", 기업경영연구, 15(2), pp.41~51 (2008), 한국기업경영학회
- 장병기, "주식시장과 채권시장간의 관계변화에 관한 국가간 비교분석", Asia-Pacific Journal of Financial Studies, 34(1), pp.95~128 (2005), 한국증권학회
- 정진호, "채권시장의 비대칭적 변동성에 관한 연구", 金融工學硏究, 7(4), pp.31~52 (2008), 한국금융공학회
- 변영태, "거시경제변수의 주식시장에 대한 변동성전이효과에 관한 실증연구", 재무관리논총, 14(1), pp.97~117 (2008)
- Bernanke, B. S, "Inside the block box：the credit channel of monetary transmission", Journal of Economic Perspectives, 9, pp.27~48 (1995)
- Bernanke, B. S, "The Financial accelerator and the flight to quality", Review of Economic Statistics, 78, pp.1~15 (1996)
- Campbell, "Equity volatility and corporate bond yields", Journal of Finance, ~ (2003)
- Explaining the level of credit spreads: option-implied jump risk premia in firma value model, "Cremers, M", Yale Univ, ~ (2005)
- Individual stock-option pricess and credit spread, , Yale Univ, ~ (2006)
- Chen, N, "Financial investment opportunities and the macroeconomy", Journal of Finance, 46, pp.529~554 (1991)
- Macro conditions and the puzzles of credit spreads and capital structure, "Chen, H", Univ. of Chicago, ~ (2007)
- An analysis of the relationship between national bond markets, "Clare, A", ~, pp.no 123
- Christie, A, "The stochastic behaviour of common stock variances: value, leverage and interest rates", Journal of Financial Economics, 10, pp.407~432 (1982)
- Das, S, "Pricing credit sensitive debt when interest rates, credit ratings and credit spreads are stochastic", Journal of Financial Engineering, 5, pp.161~198 (1996)
- Duffee, G, "Stock returns and volatility： A firm level analysis", Journal of Financial Economics, 37, pp.399~420 (1995)
- "The relationship between treasury yields and corporate bond yield spread", Journal of Finance, 53, pp.2225~2241 (1998)
- Duffie, D, "Modelling term structures of default bonds", ~ (1999)
- Elton, E. J, "Explaining the rate spread on corporate bond", Journal of Finance, 56, pp.247~277 (2001)
- Fama E, "Stock returns, Real activity, inflation, and money", American Economic Review, 71(4), pp.545~565 (1981)
- Fama, E. F, "Business condition and expected returns on stocks and Bonds", Journal of Financial Economics, 25, pp.23~49 (1989)
- Glosten, et al, "On the relation between the expected value and the volatility of the nominal excess return on stocks", Journal of Finance, 48, pp.1979~1801
- Guha, D, "The aggregate credit spread and business cycles", Internatioal Review of Financial Analysis, 11, pp.219~227 (2002)
- Hamao, Y, "Correlation in price changes and volatility across international stock markets", Review of Financial Studies, 3, pp.5~13 (1990)
- How much of the corporate treasury yield spread is due to credit risk?, "Huang, E. J", penn state univ, ~ (2003)
- Leland, H, "Optimal capital structure, endogeneous bankruptcy, and the term structure of credit spreads", Journal of Finance, 51, pp.987~1019 (1996)
- Longstaff, "A simple approach to valuing risky and floating rate debt", Journal of Finance, 50, pp.789~819 (1995)
- Schwert, G. W, "Why does stock market volatility change over time ?", Journal of Finance, 44, pp.1115~1153 (1989)
- Steeley, "Volatility transmission between stock and bond market", International Finance Markets and Money, 16, pp.71~86 (2006)