코스피 시계열의 변동성에 대한 연구
A Study on the Volatility of KOSPI Time Series
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초록
>본 논문은 주식수익률과 변동성간의 관련성을 연구하고자 한다. 본 연구에서 1990년 1월부터 2004년 12월까지의 연구기간의 한국종합주가지수(코스피)의 월별 자료를 이용하여 Fisher(1966), Scholes와 Williams(1977), Merton(1980) 및 French, Schwert 및 Stambaugh (1987) 등의 모형을 바탕으로 먼저 살펴보고, 자기상관, 계열상관, Q통계량 및 ARIMA모형 등으로 시계열자료의 특성을 파악하고, ARCH모형, 회귀모형(WLS), GARCH-M모형 등으로 실증분석하였다. 본 연구의 분석결과로 주식포트폴리오의 기대수익률에서 국채수익률을 차감한 기대시장위험프리미엄이 주식수익률의 추정변동성과 통계적으로 유의한 양(＋)의 관계를 나타내었으나, 반면에 비기대주식시장수익률이 주식수익률의 비기대변동성과는 음(－)의 관계가 나타남으로써, 이러한 음(－)의 관련성이 기대위험프리미엄과 변동성간의 양(＋)의 관련성에 대한 간접적 증거를 나타낸다고 볼 수 있다.
Abstract
>This study is intended to examine the relation between stock returns and volatility. By referring to monthly data on the fluctuation of Korean Composite Stock Price Index(KOSPI) during research periods from January 1990 to December 2004, it examined into models of the time series suggested by Fisher(1966), Scholes and Williams(1977), Merton(1980), French, Schwert and Stambaugh(1987). Then it identified the time series properties of the data by means of autocorrelation, serial correlation, Q-statistic, ARIMA model, analyzing the data by ARCH model, Regression model(WLS), GARCH-M model. As the result of the analyses herein, it was found that the expected market risk premium equivalent to the expected returns in stock portfolio as subtracted from the government bond yields is positively and statistically significant related to the predicted volatility of stock returns, but the unexpected stock market returns have a negative relation with the unexpected volatility. These findings show that this negative relation provides second hand evidence about a positive relation between the expected risk premium and volatility.
참고문헌 (16)
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