함수적 회귀 모형을 이용한 한국과 미국 주식시장의 횡단면 분포 간의 관계 분석
Distributional Relationship between the Korean and the U.S. Stock Markets Analyzed by a Functional Regression Approach
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 논문은 한국의 KOSPI 지수와 미국의 S&P500 지수를 구성하는 전체 개별 주가 수익률들의 횡단면 분포를 분석의 대상으로 삼고, 함수적 회귀(functional regression)모형을 이용하여 두 주식시장 간의 관계를 분석한다. 일별(daily) 자료를 다루며 전체 2005년 1월부터 2013년 12월까지의 기간을 글로벌 금융위기기간과 금융위기 전후의 기간들로 나누어 살펴보고 있다. 한국 주식시장 횡단면분포의 평균, 분산 및 양쪽 꼬리확률들이 미국 주식시장 횡단면 분포의 변화에 어떻게 영향을 받는지를 반응함수(response function)를 통해 살펴보고, 각 평균, 분산 및 양쪽 꼬리확률들의 변동이 미국 주식시장 횡단면 분포의 적률(moment) 들의 분산에 의해 얼마나 설명되는지를 분산분해(variance decomposition)를 통해 분석한다. 미국 주식시장 횡단면 분포로부터 한국 주식시장 횡단면 분포의 평균, 분산 및 왼쪽 꼬리확률로의 전이효과는 금융위기 기간에 가장 높아지고 이후줄어들었으나 금융위기 이전보다는 훨씬 높은 것으로 나타났다. 반면 한국 주식시장 분포의 오른쪽 꼬리확률로의 전이효과는 금융위기 이후의 기간에 더 높아진것으로 나타났다.
Abstract
This paper investigates spillover effects from the U.S. stock market to the Korean stock market by considering a functional regression model. Instead of using stock market indices, we consider cross-sectional distributions of all stock returns that comprise the KOSPI index and the S&P 500 index. We use daily data from January 2005 to December 2013 and consider three subsamples: pre-crisis, crisis and post-crisis period. We estimate a functional regression model and adopt novel econometric tools recently proposed by Hu et al. (2016) to analyze the relationship between cross-sectional distributions of two stock markets. We use response functions to examine how each moment and tail probability of the Korean stock market distribution react to shocks in the US stock market distribution. We also conduct variance decomposition and provide interpretations on spillover effect from the U.S. stock market to the Korean stock market. The spillover effects to mean, variance and left tail probability were higher in the post-crisis period than in the pre-crisis period and were the highest during the crisis period. On the contrary, the spillover effect to right tail probability was the highest in the post-crisis period.
참고문헌 (26)
- 정민수, "비정상 오차항을 갖는 연속시간모형 회귀분석과 주가지수 동조화", 한국경제학보(구 연세경제연구), 23(2), pp.165~197 (2016), 경제연구소
- 최경욱, "한국, 중국, 미국 주식시장의 시변하는 동조화와 동태적 전이효과", 국제금융연구, 7(2), pp.5~31 (2017), 한국국제금융학회[DOI]
- Allen, L., "Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?", The Review of Financial Studies, 25(10), pp.3000~3036 (2012)
- Ang, A., "International Asset Allocation with Regime Shifts", The Review of Financial Studies, 15(4), pp.1137~1187 (2002)
- Baele, L., "Volatility Spillover Effects in European Equity Markets", Journal of Financial and Quantitative Analysis, 40(2), pp.373~401 (2005)
- Baur, D. G., "Financial Contagion and the Real Economy", Journal of Banking & Finance, 36(10), pp.2680~2692 (2012)
- Bosq, D., "Linear Processes in Function Spaces: Theory and Applications" (2000), Springer
- Chang, Y., "Nonstationarity in Time Series of State Densities", Journal of Econometrics, 192(1), pp.152~167 (2016)
- Dungey, M., "Empirical Modelling of Contagion: A Review of Methodologies", Quantitative Finance, 5(1), pp.9~24 (2005)
- The International Financial Crisis: Timeline, Impact and Policy Responses in Asia and the Pacific, "Filardo, A.", BIS, 21~82, pp.BIS Papers, Vol. 52 (2010)
- Forbes, K. J., "No Contagion, Only Interdependence: Measuring Stock Market Comovements", The Journal of Finance, 57(5), pp.2223~2261 (2002)
- Garcia, R., "Dependence Structure and Extreme Comovements in International Equity and Bond Markets", Journal of Banking & Finance, 35(8), pp.1954~1970 (2011)
- Horváth, L., "Inference for Functional Data with Applications" (2012), Springer
- Analysis of Distributional Dynamics for Repeated Cross-Sectional and Intra-Period Observations, "Hu, B.", Indiana University, ~ (2016)
- Hwang, E., "Determinants of Stock Market Comovements among US and Emerging Economies During the US Financial Crisis", Economic Modelling, 35, pp.338~348 (2013)
- Karolyi, G. A., "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada", Journal of Business & Economic Statistics, 13(1), pp.11~25 (1995)
- 김수빈, "DO S&P 500 AND KOSPI MOVE TOGETHER?: A FUNCTIONAL REGRESSION APPROACH", The Korean Economic Review, 26(2), pp.401~430 (2010), 한국경제학회
- Volatiltiy and Links between National Stock Markets, "King, M.", National Bureau of Economic Research, ~, pp.No. w3357 (1990)
- 이진수, "What Drives the Stock Market Comovements between Korea and China, Japan and the US?", KDI Journal of Economic Policy, 40(1), pp.45~66 (2018), 한국개발연구원[DOI]
- Lee, T. H., "Copula-based Multivariate GARCH Model with Uncorrelated Dependent Errors", Journal of Econometrics, 150(2), pp.207~218 (2009)
- Lin, W. L., "Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility", Review of Financial Studies, 7(3), pp.507~538 (1994)
- Park, J. Y., "Functional Regression of Continuous State Distributions", Journal of Econometrics, 167(2), pp.397~412 (2012)
- Patton, A., "Handbook of Economic Forecasting, Vol. 2", pp.899~960 (2013)
- Rodriguez, J. C., "Measuring Financial Contagion: A Copula Approach", Journal of Empirical Finance, 14(3), pp.401~423 (2007)
- Silverman, B. W., "Density Estimation for Statistics and Data Analysis" (1986), Chapman and Hall
- Taylor, J. B., "A Black Swan in the Money Market", American Economic Journal: Macroeconomics, 1(1), pp.58~83 (2009)