경기변동과 주식프리미엄- 변동성요소의 조건부 관계
Business Cycles, and the Relationship between the Volatility and the Stock Market Risk Premium
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초록
1980년대 이후 여러 실증연구는 주식시장의 단기변동성이 주식수익률과 음(-)의 관계를 갖는다는 퍼즐링(puzzling)한 결과를 보고하고 있다. 본 연구에서는 이러한 퍼즐을 해소하기 위한 시도로 주식프리미엄과 단기변동성간의 음(-)의 관계가 경기변동에 의해 설명될 수 있는지를 분석하였다. 이를 위해 주식시장의 변동성을 rolling window estimator를 이용하여 장기변동성과 단기변동성으로 분해하고 경기상황을 반영하는 경기지표변수를 구성하였다. 경기상황을 고려하여 주식수익률과 변동성요소 간의 조건부 관계를 검증한 본 연구의 주요 결과는 다음과 같다. 먼저, 주식수익률과 장기변동성간의 관계는 경기 상황에 관계없이 유의적인 (+)의 관계를 가짐을 보여준다. 반면에 주식수익률과 단기변동성의 관계는 경기 상황에 따라 가변적이다. 경기침체기에는 단기변동성은 주식수익률에 음(-)의 영향을 미친다. 그러나 경기확장기에 단기변동성이 주식수익률과 갖는 관계의 방향은 표본기간에 따라 다르며 그 유의성도 현저히 떨어진다. 이는 장기변동성이주식프리미엄과 갖는 관계는 경기 상황에 관계없이 매우 안정적이라는 것을 말해주는 것이며, 선행연구에서 보인 기대수익률-변동성의 음(-)의 관계는 경기침체기에 나타나는 현상이 표출된 결과임을 말해주는 것이다.
Abstract
In this paper, we examine the effect of business fluctuations on the conditional relationship between the stock market risk premium and the volatility components. Drawing on previous works that have shown the relationships between long-run volatility and short-run volatility and market risk premium are very different each other, we decompose the stock market volatility into a long run component and a short run component using a rolling window estimator. And we construct an ex ante business cycle indicator variable and an ex post business cycle indicator variable. We examine the conditional relationship between market risk premium and volatility components with a business cycle indicator variable. We find that the conditional long-run volatility has a significant positive relationship with the stock market risk premium regardless of stages of the business cycle. However, the conditional short-run volatility has a time varying relationship with the risk premium and its strength depends on the economy conditions. In the contraction stage, the short-run volatility has a negative and significant relationship with the risk premium, but in the expansion stage, the relationship is time varying and its strength is not significant.
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