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상품시장 변동성과 한국주식시장 변동성 간의 상호관계분석

Inter-Relationship between the Volatilities of Commodity Market and Korea Stock Market

강상훈|고희운
한국재무관리학회 (Korea Financial Management Association)|2018.12|재무관리연구 (THE KOREAN JOURNAL OF FINANCIAL MANAGEMENT)|제35권 제4호|pp. 273-294|DOI 10.22510/kjofm.2018.35.4.011

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참고문헌

키워드

Wavelet AnalysisGranger Causality그랜저 인과관계웨이블릿 분석변동성지수Volatility Index시간 척도Time Scale
주제분류경영학

초록

본 연구는 한국 주식시장, 원유시장, 금시장의 변동성을 대표하는 변동성지수인 VKOSPI, OVX, GVZ 간의 상호관계를 분석하였다. 웨이블릿 방법론을 이용하여 다양한 시간 척도에 따른 시장 간의 관계를 분석하였다. 실증분석 결과는 다음과 같다. 첫째, 원유, 금, 코스피의 변동성들 간의 동적 상호의존적 관계는 상당히 강한 양(+)의 관계를 보인다. 이러한 관계는 전체적으로 단기에는 조금 약했으나 장기로 갈수록 점차 강해지는 것으로 나타났다. 둘째, OVX와 GVZ가 VKOSPI의 선행지수로써 역할을 한다는 것을 발견하였다. 단기부터 장기에 이르기까지 꾸준히 영향을 미치며 유의미한 상호 인과관계가 존재하였다. 셋째, 상관관계의 정도와 인과관계의 방향이 시간 척도에 따라 달라지는 것으로 나타났다. 즉 시간 척도에 따라 시장의 반응 정도를 분석할 수 있으며 시간에 따른 정보의 민감도가 시장별로 차이가 있는 것을 알 수 있었다. 본 연구의 실증분석 결과는 투자자의 수익성 제고 및 시간 척도에 따른 다양한 헷지 전략에 도움을 줄 것이며, 정책입안자의 시장위기대응을 위한 정책적 대안을 마련하는데 유용한 정보를 제공할 것이다.

Abstract

This paper investigates the inter-relationship between VKOSPI, OVX, GVZ in time-frequency domain using a wavelet analysis. The results of the empirical analysis are as follows. First, the results of wavelet analysis shows the dynamic interdependence between crude oil, gold, and KOSPI volatility. It is observed that this relationship is weak in the short-term investment horizon, but gradually became stronger over the long-term horizon. Second, we identify that OVX and GVZ play a important role as leading indicators of VKOSPI. From the short-tem to the long-term horizons, there is a significant causality between them. Third, co-movement and causality depend on different time scales. Therefore, these results provide potential implications for investors in terms of between profitability and hedge strategies based on time scale and for policy makers in terms of alternative policies regarding market crisis.

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