구조변화시점 전ㆍ후 미국과 중국증시간의 대칭적ㆍ비대칭적 수익률 및 변동성 전이효과연구
The Return and Volatility Linkages between the S&P500 Stock Index and the Shanghai Composite Stock Index
0
조회
0
다운로드
11
인용
0
참고문헌
키워드
초록
본 연구는 1999년 1월 4일부터 2007년 6월까지 미국 S&P500지수선물과 중국의 상하이종합주가지수 수익률 및 변동성간의 대칭적 및 비대칭적 상호연관성(linkage)에 관한 실증 분석을 실시하였다. 이를 위하여 분석자료의 비정규성 및 이분산성 등을 잘 반영할 수 있는 Engle(1982, 1983) 및 Bollerslev(1986)의 ARCH 및 GARCH류 모형을 확장한 AR(1)-GARCH(1,1)-M 모형과 AR(1)-GJR-GARCH(1,1)-M모형을 추정하였으며 주요 실증분석결과는 다음과 같다. 먼저, AR(1)-GARCH(1,1)-M 모형의 추정결과 S&P500지수와 상하이종합주가지수간에는 대칭적인 정보이전효과가 존재하는 것으로 나타났으며, 이러한 현상은 구조변화이후기간동안에 더 강하게 존재하는 것으로 나타났다. 다음으로, AR(1)-GJR-GARCH(1,1)-M모형을 이용한 비대칭적인 정보이전효과분석결과 구조변화기간이후 중국증시는 미국증시의 호재(good news)보다는 악재(bad news)에 더 민감하게 반응하는 비대칭적 정보이전효과가 존재하는 것으로 나타났으나, 중국증시의 미국증시에 대한 비대칭적인 영향력은 존재하지 않는 것으로 나타났다. 이러한 분석결과로부터 두 증권시장은 서로 다른 시장에서 발생한 정보에 대하여 비효율적으로 반응하고 있음을 추론해 볼 수 있으며, 이는 국제분산 투자자들의 투자 및 위험관리전략수립에 기여를 할 수 있을 것으로 보인다.
Abstract
This study investigates the information transmission mechanism between the S&P500 cash index and the Shanghai composite stock index markets with AR(1)-GARCH(1,1)-M and AR(1)-GJR-GARCH(1,1)-M for symmetric and asymmetric spillover effects, respectively. The sample period is covered from January, 1999 to June, 2007. The main findings are as follows; First, according to the symmetric model US stock market can significantly influence on the movement of Chinese stock market, and vice versa. This kind of spillover effect between the two stock markets is much more strong after the structure break even date. Second, we also find that the Shanghai composite stock index is more influenced by the bad news than good news of S&P500 stock index. From these empirical results, we infer that S&P500 and Shanghai stock index market is inefficient market.
참고문헌 (36)
- 김인무, "한국, 일본, 미국 주식시장의 정보전달: KOSDAQ, JASDAQ, NASDAQ과거래소시장을 중심으로", 증권학회지, (28), pp.481~513 (2001)
- 김찬웅, "한미일 주가지수선물자료를 이용한 국제자본시장들간의 情報移轉效果에 관한 實證的 硏究", Asia-Pacific Journal of Financial Studies, 31, pp.257~292 (2002), 한국증권학회
- 유태우, "미?일 주가의 한국주가에 미치는 영향에 대한 실증분석", 증권금융연구, 3(1), pp.1~20 (1997), 서울대 증권?금융연구소
- Andrews, Donald Q. K., "Tests for Parameter Instability and Structural Change with Unknown Change Point", Econometrica, 61(4), pp.821~856 (1993)
- Becker K. G., "The Intertemporal Relation Between the U.S. and Japanese Stock Markets", Journal of Finance, 14(4), pp.1297~1306 (1990)
- Bekaert G., "Emerging equity market volatility", Journal of Financial Economics, 43, pp.29~77 (1997)
- Bekaert, G., "Asymmetric volatility and risk in equity markets,"?Review of Financial Studies", 1~42 (2000)
- Berndt, E. K., "Estimation and Inference in Nonlinear Structural Models", Journal of Economic and Social Measurement, pp.653~665 (1974)
- Black, F., "Studies of stock price volatility changes", Proceedings of the 1976 meetings of the American Statistical Association, pp.177~181 (1976), Business and Economical Statistics Section
- Bollerslev, T., "Generalized Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31, pp.307~327 (1986)
- Bollerslev, T., "ARCH modeling in finance", Journal of Econometrics, 52, pp.5~59 (1992)
- Cifarelli, G., "Volatility spillovers and the role of leading financial centres," Banca Nazionale del Lavoro Quarterly Review", 37~71 (2001)
- Chan, K., "Intraday Volatility in the Stock Index and Stock Index Futures Markets", Review of Financial Studies, 4(4), pp.657~684 (1991)
- Chow, Gregory C., "Tests of Equality Between Sets of Coefficients in Two Linear Regressions", Econometrica, 28(3), pp.591~605 (1960)
- Christie, A. A., "The stochastic behavior of common stock variances-value, leverage and interest rate effects", Journal of Financial Economics, pp.407~432 (1982)
- Daly K. J., "Southeast Asian Stock Market Linkages: Evidence from Pre- and Post-October 1997", ASEAN Economic Bulletin, 20, pp.73~85 (2003)
- Dornau, R., "Shock around the clock-on the causal relations between international stock markets, the strength of causality and the intensity of shock transmission." An econometric analysis, ZEW-Working Paper", 98~13 (1998)
- Engle, R. F., "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation", Econometrica, 50, pp.987~1007 (1982)
- Engle, R. F., "Estimates of the Variance of U. S. Inflation Based upon the ARCH Model", Journal of Money Credit and Banking, 15(3), pp.286~301 (1983)
- Engle, R., "Estimating Time Varying Risk Premia in the Term Structure: the ARCH-M Model", Econometrica, 55, pp.391~407 (1987)
- Errunza, V., "The behavior of stock prices on LDC markets," Journal of Banking and Finance", 561~575 (1985)
- Eun, Cheol S., "International transmission of stock market Movements", Journal of Financial and Quantitative Analysis, 24, pp.241~256 (1989)
- Ghosh, A, "Who Moves the Asia-Pacific Stock Markets - US or Japan?" Empirical Evidence Based on the Theory of Cointegration", Financial Review, 34, pp.159~170 (1999)
- Glosten, L., "On the Relation between the Expected Value and the Volatility of the National Excess Return on Stocks", Journal of Finance, 48(5), pp.1779~1801 (1993)
- Hamao, Yasushi, "Correlations in Price Changes and Volatility across International Stock Markets", Review of Financial Studies, 3(2), pp.281~307 (1990)
- Hansen, Bruce E., "Testing for Structural Change in Conditional Models", Journal of Econometrics, 97(1), pp.93~115 (2000)
- Hansen, Bruce E., "The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity", Journal of Economic Perspectives, 15(4), pp.117~128 (2001)
- Hilliard, J., "The relationship between equity indices on world exchanges", Journal of Finance, pp.103~114 (1979)
- Koch, P. D., "Evolution in dynamic linkages across daily national stock index", Journal of International Money and Finance, 10, pp.231~251 (1991)
- Lin, W. L., "Do bulls and bears move across borders? International transmission of stock returns and volatility", Review of Financial Studies, 7, pp.507~538 (1994)
- Liu, Y. A., "Mean and volatility spillover effects in the U.S. and pacific-basin stock markets," Multinational Finance Journal", 47~62 (1997)
- McLeod, A., "Diagnostic Checking ARMA Time Series Models Using Squared Residual Autocorrelations", Journal of Time Series Analysis, 4, pp.269~273
- Susmel, P., "Hourly volatility spillovers between international equity markets", Journal of International Money and Finance, 13, pp.003~025 (1994)
- Theodossiou, P., "Volatility reversion and correlation structure of returns in major international stock markets," Financial Review", 205~224 (1997)
- Theodossiou, P., "Mean and volatility spillovers across major national stock markets: further empirical evidence," Journal of Financial Research", 337~350 (1993)
- Wu, G., "The determinants of asymmetric volatility," Review of Financial Studies", 837~859 (2001)