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글로벌 주식시장 간의 동적성 추정

Estimating the Dynamics among Global Stock Markets

김경수|지상윤
한국국제회계학회 (Korea International Accounting Association)|2019.06|국제회계연구 (Korea International Accounting Review)|제85호|pp. 151-169|DOI 10.21073/kiar.2019..85.009

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참고문헌

키워드

RegimeMS-VAR충격반응함수구조적 변화국면Structural ChangesImpact Response Function

초록

본 논문은 MS-VAR 모형과 국면에 의존한 충격반응함수모형을 이용하여 미국, 호주, 뉴질랜드의 주식시장간의 동적 상호관계를 조사하고자 하였다. 이 모형을 통해 수축과 확장국면간에 가능한 구조적 변화를 포착하였고 여러 주식시장의 충격에 대한 반응도 파악할 수 있었다. 본 논문의 결과는 다음과 같다. 첫째, 3개 주식시장에서 두개의 다른 국면, 즉 수축국면과 확장국면이 존재한다는 강력한 증거를 제공하였다. 둘째, MS-VAR 모형은 3개 주식시장간의 동적성을 모델링할 때 단순 선형 VAR 모형보다 더 적절하였다. 셋째, 3개 주식시장간의 상관관계는 확장국면에 비해 수축국면에서 더 유의하게 높았다. 넷째, 다른 주식시장의 충격에 대한 3개 주식시장의 반응은 확장국면보다 수축국면에서 더 강력하고 지속적이었다. 다섯째, 호주의 주식시장은 뉴질랜드의 주식시장에 대한 미국의 주식시장보다 더 많은 영향력이 있고, 미국의 주식시장은 호주의 주식시장에 대한 뉴질랜드의 주식시장보다 더 영향력 있으며, 반면에 호주의 주식시장은 미국의 주식시장에 대한 뉴질랜드의 주식시장보다 보다 더 영향력이 있었다. 따라서 MS-VAR 모형을 통해 3개 주식시장은 개별 고유의 충격을 포함하여 대부분 강한 변동성충격 등으로 초래된 고변동성을 나타내는 수축국면에서 동시적인 구조적 변화가 현저하게 발생되었다는 것을 확인하였다.

Abstract

This paper was to investigate the dynamic interrelationship among stock markets of the US, Australia and New Zealand using the MS-VAR model and the regime dependent impact response function. Through these models, we were able to identify possible structural changes between the contraction regime and the expansion regime and to understand the responses to the shocks of various stock markets. The results of this study are as follows. First, this study provided strong evidence that there were two different regimes in the three stock markets: the contraction(bear) and the expansion(bull) regime. Second, the MS-VAR model was more appropriate than the simple linear VAR model in modeling the dynamics of the three stock markets. Third, the correlation between the three stock markets was significantly higher in the contraction regime than the expansion regime. Fourth, the response of these three markets to other stock market shocks was stronger and more persistent in the contraction regime than the expansion regime. Fifth, this study showed that the Australian stock market had more influence than the US stock market for the New Zealand stock market and the US stock market was more influential than the New Zealand stock market for the Australian stock market. The Australian stock market had more influence than the New Zealand stock market for the US stock market. Therefore, we can infer that the three stock markets show significantly simultaneous structural changes in the contraction regime, resulting from high volatility incurred to mostly strong shocks including individual inherent shocks respectively through the MS-VAR model and impact response function.

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