원유시장과 동아시아 주식시장 간의 장기기억 및 변동성 전이효과 분석
Asymmetry, Long Memory and Volatility Spillover between Crude Oil Futures and East Asian Stock Markets
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초록
본 연구는 이변량 AR(1)-FIAPARCH(1,d,1)-DCC 모형을 이용하여 원유선물시장과 동아시아 5개국 주식시장 간의 변동성 전이효과를 분석하였다. 실증분석의 결과는 다음과 같다. 첫째, 원유선물시장과 동아시아 5개국 주식시장 모두 변동성에 장기기억과 비대칭성이 존재하는 것으로 분석되었다. 둘째, 조건부 상관계수의 평균값은 원유선물-중국주식 조합이 가장 높았으며, 원유선물-일본주식 조합은 가장 낮은 값을 갖는 것으로 나타났다. 셋째, 시간 가변에 따른 조건부 상관계수의 변화는 글로벌 금융위기 이후로 급격히 증가하는 것으로 나타났다. 넷째, 헤지비율의 평균은 원유선물-홍콩주식이 가장 높았으며 원유선물-일본주식이 가장 낮게 나타났다. 마지막으로 시간 가변에 따른 헤지비율의 변화는 글로벌 금융위기 이후에 급격히 증가하는 것으로 나타났다.
Abstract
This study investigates volatility spillover between crude oil futures and East Asian stock markets using the AR(1)-FIAPARCH-DCC model during period 1998-2016. Empirical results of this study were summarized as follows. First, this study finds the evidence of long memory and asymmetry in volatility between crude oil futures and east Asian stock markets. Second, conditional correlations show that the pair of WTIF-China has the highest correlation and the pair of WTIF-Japan has the lowest correlation. Third, conditional correlations between crude oil futures and East Asian stock markets increase after the 2008 global financial crisis. Fourth, the average hedge ratio is highest for pair of WTIF-Hong Kong, while that of WTIF-Japan is the lowest, this result shows that a pair of WTIF-Japan offers the most efficient hedge ratio. Lastly, time-varing hedge ratios increase rapidly as do structural changes such as the financial crisis.
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