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이슬람과 서구전통 주식시장간의 변동성 이전

Volatility Transmission between Conventional Finance and Islamic Finance in Stock Markets

김홍배
한국금융공학회 (Korean Association of Financial Engineering)|2017.03|金融工學硏究 (Korean Journal of Financial Engineering)|제16권 제1호|pp. 75-92|DOI 10.35527/kfedoi.2017.16.1.004

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참고문헌

키워드

샤리아Bivariate GARCH변동성이전이슬람금융시장다우죤스 이슬람주가지수이변량 조건부분산모형Volatility transmissionSharia principleDJIMIslamic financial market
주제분류경영학

초록

이슬람 금융은 이자, 위험추구, 도박 등을 금지하는 반면에 위험/이익 공유, 자산기반거래, 윤리투자를 강조하는 이슬람법인 샤리아(Shariah) 원리에 따라 발전하여왔다. 만약 이슬람 금융시장이 서구시장과 분리되어 있다면 국제금융 위기시 손실에 대한 방어막이자 위기를 회복시킬 수 있는 처방수단이 될 수도 있을 것이다. 따라서 본 연구는 BEKK(Baba-Engle-Kraft-Kroner)의 이변량 GARCH(Bivariate GARCH)모형을 통해 서구 전통 주식시장인 미국 시장과 이슬람 주식시장들 간의 변동성 이전을 검토하였다. 연구결과 미국의 다우죤스 주가지수인 DJIA의 변동성이 미국내 샤리아(Sharia) 원리를 준수하는 기업으로 구성된 S&P샤리아지수 (SHX)와 이슬람 국가(말레이시아,인도네시아,파카스탄,사우디아라비아) 샤리아 지수에 단일 방향으로 변동성이 이전 되었고 역방향은 나타나지 않았다. 그러나 DJIA의 변동성이 글로벌 다우죤스 이슬람지수인 DJIM으로 이전되지 않았으며 DJIM의 변동성도 DJIA에 이전되지 않아 양 지수간 상호 변동성 이전이 없었다. 또한 파키스탄 거래소 주가지수(KSE)도 DJIA와 상호 영향을 주고 받지 않았다. DJIM가 DJIA 영향을 받지 않은 이유는 지수구성에 있어 국가별 업종별 분산이 잘 이루어져 있을 뿐만 아니라 재무비율에서 샤리아 원리에 따른 질적/양적 기준이 엄격히 적용되고 있기 때문인 것으로 해석할 수 있다. 결론적으로 이슬람 금융시장은 국제시장의 위기에 따른 충격의 전염위험에 전반적으로 노출되어있다. 그럼에도 본 연구는 이슬람 경제 그룹중에서 투자를 다양화한다면 제한적 편익을 얻을 수 있음을 제안한다. 포트폴리오 변동성 관리 측면에서 잘 분산된 글로벌이슬람지수와 파키스탄 시장에 투자하는 것은 분산편익을 얻을수 있음을 제시한다.

Abstract

This paper empirically investigated the volatility spillover effect between the conventional finance market and the Islamic finance market. Our empirical results show a unidirectional volatility spillover from the U.S. conventional stock market to the Islamic stock indexes of Islamic countries, but not vice versa. The Islamic stock index (S&P 500 Sharia—SHX) of firms listed in the United States is also influenced by the U.S. conventional stock index (Dow Jones Industrial Average—DJIA). However, our empirical results also show there is no volatility spillover from the U.S. conventional stock index (DJIA) to the Dow Jones Islamic Market (DJIM) index of globally diversified Islamic stocks established on Sharia principles. This also holds for the Pakistan stock exchange index. This study highlights the diversification benefits of investing in the various Islamic stock markets in perspective of portfolio variance.

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