거시경제적 요인의 KOSPI 주가지수 선물 변동성에 대한 영향 추정
Estimating effects of macroeconomic components on stock volatility of KOSPI futures Index
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초록
본 연구에서는 국내 주가 변동성을 단기적인 변동성과 장기적인 변동성으로 구분하여 저빈도 거시경제 변수가 총 변동성에 미치는 영향을 분석한다. 최근 변동성문헌에서 활발하게 사용되는 혼합빈도 GARCH 모형의 이론적 장점을 살펴보고 이를이용하여 2007년 이후 KOSPI 200 주가 지수 선물을 대상으로 실증 분석한다. 추정 결과, 특히 한국과 미국의 경기 선행지수는 주가 변동성에 유의한 음의 영향을주는 것으로 나타났는데 이는 미래 경기에 대한 긍정적인 예측이 주가 변동성으로표현되는 시장 위험을 감소시키는 역할을 함을 확인할 수 있다. 국내 인플레이션도주가 변동성을 어느 정도 증가시키는 것으로 추정되었다.
Abstract
We identify short-term and long-term volatilities in the Korean stock market. We analyze the effects of low-frequency macroeconomic components on overall stock volatility, where after we discuss the theoretical advantages of GARCH-MIDAS models of volatility studies in recent related literature, and empirically examine the volatility since 2007 of the KOSPI 200 futures index. It is found that the leading indicators of Korea and the USA in particular have significantly negative effects on stock volatility, which implies that a positive outlook of the economy greatly helps reduce market risk computed by stock market volatility. It is found that, to an extent, domestic inflation has an increasing effect on stock volatility.
참고문헌 (31)
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