STR 모형을 활용한 국제 원유시장과 아시아 주식시장간 비선형 동적 관계에 관한 연구
Modelling the Time-Varying Correlation between Oil and Asian Stock Markets, Using DCC-GARCH(1,1) and Smooth Transition Regression
1
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
본 연구는 국제원유시장과 아시아 주식시장(한국, 중국, 일본, 인도, 인도네시아, 필리핀, 말레이시아, 태국, 대만, 싱가포르, 베트남)간의 상관관계를 국면전환 관점에서 분석한다. 이를 위해 유가와 주가지수 간의 시간가변 상관계수를 DCC-GARCH(1,1) 모형으로 추정하였고, 비선형 시계열 분석기법인 Smooth Transition Regression(STR) 모형을 활용해 구조적 변화의 비선형 특성과 상관관계의 강도를 파악하였다. 2002년 1월부터 2016년 3월까지의 자료를 토대로 한 분석 결과, 국제유가와 아시아 주가지수간의 상관관계는 시간의 흐름에 따라 그리고 국가별로 상이한 움직임을 나타냈다. 또한 상관관계의 국면간 전환점과 전환속도를 측정하는 모수가 일부 국가에서 유의하게 추정되었다. 이러한 결과는 원유와 아시아 국가 주식으로 포트폴리오를 구성할 경우 상관계수의 추정과정에서 비선형성과 강도를 고려해야 할 필요가 있음을 시사한다. 이에 본 논문은 방법론적으로 기존의 국제재무 문헌의 확장에 기여하며 주식시장과 원유시장의 관계자들에게도 포트폴리오 구성 및 시장예측과 관련한 실무적 시사점도 제공한다.
Abstract
This paper examines dynamic correlations between international oil and Asian stock markets. The WTI oil price and Asian stock market price indexes in eleven Asian countries (i.e., Korea, China, India, Indonesia, Malaysia, Thailand, Taiwan, Philippines, Singapore, Japan, and Vietnam) from January 2002 to March 2016 were used in this study. Methodologically, we take a novel approach to the investigation of the time-varying relationship between two markets and a degree of strength of such relationship, using dynamic conditional correlation (DCC) GARCH and Smooth Transition Regression (STR) models. Our findings show that there is strong evidence of non-linearity of time-varying correlations between oil and stock markets. Also, we find significant time-varying parameters in some countries, and the transition midpoints differ among them. These results suggest that it is critically important to consider both ‘non-linearity of time-varying’ and ‘strength’ traits in the association between oil and stock markets when it comes to the development of Asian stock market portfolios, including oil. In sum, our methodological approach to the study of time-varying correlations advance existing international finance literature and our empirical findings provide useful insights on stock portfolio management and forecasting dynamics of Asian financial markets.
참고문헌 (29)
- Abel, B. A., "Macroeconomics" (2001), Addison Wesley Longman, Inc
- Al Janabi, M. A. M., "An Empirical Investigation of the Informational Efficiency of the GCC Equity Markets : Evidence from Bootstrap Simulation", International Review of Financial Analysis, 19, pp.47~54 (2010)
- Aloui, C., "The Effects of Crude Oil Shocks on Stock Market Shifts Behaviour : A Regime Switching Approach", Energy Economics, 31, pp.789~799 (2009)
- Arouri, M. E. H., "Oil Prices and Stock Markets in GCC Countries : Empirical Evidence from Panel Analysis", International Journal of Finance &Economics, 17, pp.242~253 (2012)
- Bernanke, B. S., "The Economic Outlook", Remarks before the National Italian American Foundation, ~ (2006)
- Bharn, R., "Global Oil Prices, Oil Industry and Equity Returns : Russian Experience", Scottish Journal of Political Economy, 57(2), pp.169~186 (2010)
- Bollerslev, T., "Modelling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized Arch Model", The Review of Economics and Statistics, 72, pp.498~505 (1990)
- Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns, "Chang, C, L.", Discussion Paper, Kyoto Institute of Economic Research, ~ (2010)
- Chelley-Steeley, P. L., "Modeling Equity Market Integration Using Smooth Transition Analysis : A Study of Eastern European Stock Markets", Journal of International Money and Finance, 24, pp.818~831 (2005)
- Choi, K., "Volatility Behavior of Oil, Industrial Commodity and Stock Markets in a Regime-Switching Environment", Energy Policy, 38, pp.4388~4399 (2010)
- Cifarelli, G., "Oil Price Dynamics and Speculation : A Multivariate Financial Aproach", Energy Economics, 32, pp.363~372 (2010)
- Ewing, T. B., "Dynamic Cyclical Comovements of Oil Prices with Industrial Production Consumer Prices, Unemployment and Stock Prices", Energy Policy, 35, pp.5535~5540 (2007)
- Filis, G., "Dynamic Correlation between Stock Market and Oil Prices : The Case of Oil-Importing and Oil-Exporting Countries", International Review of Financial Analysis, 20(3), pp.152~164 (2011)
- Gao, L., "Market Sentiment in Commodity Futures Returns", Journal of Empirical Finance, 33, pp.84~103 (2015)
- Granger, C. W. J., "Modelling Nonlinear Economic Relationships" (1993), Oxford University Press
- Greenaway, D., "Modelling Growth(and Liberalisation)Using Smooth Transition Analysis", Economic Inquiry, 35, pp.798~814 (1997)
- Huang, R., "Energy Shocks and Financial Markets", Journal of Futures Markets, 16(1), pp.1~27 (1996)
- Jammazi, R., "Wavelet Decomposition and Regime Shifts : Assessing the Effects of Crude Oil Shocks on Stock Market Returns", Energy Policy, 38(3), pp.1415~1435 (2010)
- Jones, C. M., "Oil and the Stock Markets", Journal of Finance, 51(2), pp.463~491 (1996)
- Kroner, K., "Modelling Asymmetric Comovements of Asset Returns", Review of Financial Studies, 11, pp.817~844 (1998)
- Lee, Y. H., "Oil Sensitivity and Its Asymmetric Impact on the Stock Market", Energy, 36, pp.168~174 (2011)
- Leybourne, S. J., "Understanding the Disinflations in Australia, Canada and New Zealand Using Evidence from Smooth Transition Analysis", Journal of International Money and Finance, 18(5), pp.799~816 (1999)
- Miller, J. I., "Crude Oil and Stock Markets : Stability, Instability, and Bubbles", Energy Economics, 31(4), pp.559~568 (2009)
- Narayan, P. K., "Modelling the Impact of Oil Prices on Vietnam’s Stock Prices", Applied Energy, 87(1), pp.356~361 (2010)
- Nguyen, C., "Coupla Model Dependency between Oil Prices and Stock Markets : Evidence from China and Vietnam", Journal of International Financial Markets, Institutions and Money, 22(4), pp.758~773 (2012)
- Papapetrou, E., "Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece", Energy Economics, 23(5), pp.511~532 (2001)
- Park, J., "Oil Price Shocks and Stock Markets in the U. S. and 13 European Countries", Energy Economics, 30(5), pp.2587~2608 (2008)
- Sadorsky, P., "Oil Price Shocks and Stock Market Activity", Energy Economics, 21(5), pp.449~469 (1999)
- Teräsvirta T., "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregression Models", Journal of Applied Econometrics, 7(S1), pp.119~136 (1992)