미국 주가관련 뉴스 사건이 한국 주식시장의 변동성에 미치는 영향
The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market
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초록
본 연구에서는 미국 주식시장의 충격이 한국 주식시장의 변동성에 미치는 영향을 규명하였다. 표본기간은 2001년 1월 4일부터 2016년 12월 30일까지 이며, 주가자료로는 미국의 S&P500 지수와 한국의 코스피 지수 일별종가를 사용하였다. 먼저 이변량 BEKK-GARCH 모형을 통해 미국 주식시장과 한국 주식시장은 상호 영향을 미치고, 그 영향의 정도는 글로벌 금융위기 이전보다는 이후에 더 강화되었음을 발견하였다. 그리고 변동성 충격반응함수 분석을 통해 동일한 충격에 대해 위기 이전에 비해 이후에 충격에 대한 변동성 반응이 보다 역동적이고 충격의 지속성이 낮아짐을 발견하였다. 이는 변동성 충격반응함수가 원래의 상태로 회귀하는데 소요되는 기간이 짧아졌음을 의미하는데 이는 두 시장 간의 통합성의 정도가 금융위기 이전보다는 이후에 증대되었다는 하나의 증거로 간주할 수 있다. 한편, 개별 충격에 대한 변동성 충격반응함수의 전개양상은 사건별로 사뭇 다른 양상을 보였는데 이러한 점은 두 시장 간의 변동성 전이구조가 일정하다고 가정할 때충격이 발생한 시점의 최초 충격의 크기와 당시의 변동성 상태의 차이로 인한 결과로 판단된다. 그러나 대체로 최초 충격의 크기가 크고 변동성이 높은 기간에 속한 사건일수록 충격반응함수의 전개양상이 보다 역동적임을 발견하였다.
Abstract
This study investigated the volatility spillover between the U.S. and Korean stock market, and analysed the impact of several news events shocks in the U.S. on Korea. We used the daily stock index return data covering from January 2000 to December 2016. The analysis of the pre and post global financial crisis using Engle and Kroner(1995)’s bivariate BEKK-GARCH model revealed that the bi-directional volatility spillover between the two stock markets. And the linkage between the U.S. and the Korean stock markets increased substantially in the post-crisis era, suggesting that the two markets had become more interdependent and integrated. We further uncovered the dynamics of the volatility spillover between the two markets by means of the volatility impulse response functions developed by Hafner and Herwartz(2006). Based on several historical shocks and news events that caused the turbulence in the U.S. stock markets, we found that the patterns of volatility responses were more dynamic. And the persistence of volatility shocks was decreased substantially during the post-crisis period. These results were mainly due to the increased interdependence between the two markets. Also, the increased linkage made the pattern of the volatility impulse response functions were more dynamic in the post-crisis era rather than pre-crisis era.
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