아시아 - 퍼시픽 주식시장 수익률과 변동성 전이효과 분석
Return and Volatility Spillovers among the Asia - Pacific Stock Markets
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본 연구는 Diebold and Yilmaz(2012)의 전이지수(spillover index) 모형을 이용하여 아시아-퍼시픽 14개 주식시장의 수익률과 변동성의 전이효과 뿐만아니라 전이효과의 방향성에 대해서도 분석하였다. 실증분석 결과는 다음과 같다, 첫째, 전이지수 분석결과 각국의 주식시장의 상호의존성이 매우 크다는 것을 알 수 있었다. 이는 글로벌 금융위기 때문에 수익률과 변동성의 상호의존성이 매우 크게 나타났으며, 특히 지역적인 상호의존성이 강하게 나타나고 있는 것으로 분석되었다. 중국과 호주 주식시장이 다른 국가 주식시장에 영향을 많이 주는 것으로 나타났다. 둘째, 수익률과 변동성 전이현상이 동태적인 움직임을 보이는 것으로 분석되었다. 변동성 전이효과가 수익률 전이효과보다 2008～2009년 글로벌 금융위기와 2010～2012 유럽재정위기에 민감하게 반응하는 것을 알 수 있었다. 또한, 금융위기 기간에 변동성 전이효과가 강해지는 것을 발견하였다. 셋째, 순전이효과를 분석한 결과 각국 주식시장간 쌍방향 전이효과를 보이고 있으며, 특히 글로벌 금융위기 이후 미국의 영향력보다는 중국을 중심으로 한 지역적인 영향력이 증대된 것으로 분석 되었다. 결론적으로 각국 주식시장의 전이현상을 전이지수를 통해 직관적으로 알 수 있기 때문에 국제 포트폴리오 투자자들에게 매우 유용한 정보를 제공할 수 있을 것이다. 또한 이러한 전이현상 패턴을 통해 금융위기 발생 시에 각국 주식시장의 전이효과 방향성 및 규모를 예측하는데 중요한 지표가 될 것으로 판단된다.
Abstract
The paper investigates the spillover effect across the 14 Asia-pacific equity markets using the spillover index of Diebold and Yilmaz (2002) based on the variance decomposition approach. In addition, this study measures the time-varying spillover index, the direction of spillover, and the magnitude of net spillover index. Our analysis results can be summarized as follows. First, total return and volatility spillovers reveal strong dependence across the Asia-pacific stock markets due to the 2007～2009 global financial crisis. Particularly, three countries (Australia and China) have given a strong influence on other stock markets. Second, spillover index shows time-varying dynamic trends according to major financial crisis. The volatility spillover index is more sensitive to global financial crisis than the return spillover index. Third, the net spillover index indicates bi-directional spillover effect across these equity markets. After the global financial crisis, the Chinese stock market significantly affects other neighbor markets. In summary, the spillover index become an important indicator for forecasting the direction and magnitude of spillover effect to mitigate the market risk during the financial crisis.
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