자본자유화 및 금융위기가 동남아시아 금융시장에 미친 영향: 변동성과 동조성을 중심으로
The Effects of Capital Market Liberalization and Financial Crisis on Financial Markets in South-East Asia: Focusing on Volatility and Synchronization
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본 연구에서는 자본자유화와 금융위기가 동남아시아의 금융시장에 미친 효과를 동남아시아 금융시장의 변동성과 금융시장간 동조성을 중심으로 실증 분석하였다. 자본자유화의 실시로 한국 등 4개국의 주가수익률의 변동성이 증가하고 대만의 경우 자국주가와 미국주가와의 동조성이 증가하였다. 하지만 이후 1997년에 발생된 동남아시아 외환위기로 6개국 모두에서 주가와 환율의 변동성이 확대되고 국가 간 금융시장의 동조성이 크게 증가되었다. 따라서 향후 발생될 금융위기에 대처하기 위해서는 동남아시아 국가는 개별국가차원뿐만 아니라 여러 나라가 공동으로 참여하는 대책을 마련할 필요가 있다.
Abstract
We empirically analyse the effects of capital market liberalization and financial crisis on financial markets in South East Asia on focusing volatility and synchronization of financial markets. The capital liberalization results in the higher volatility of the rate of return on stock in four countries including Korea, and synchronization of domestic and U.S. stock markets increased in Taiwan. In contrast, both volatility of stock price and exchange rate and synchronization of financial markets rapidly increased after the 1997 financial crisis. The empirical results imply that the regional level cooperative actions as well as individual country measures are required, in order to overcome the financial crisis.
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