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극단값이론을 이용한 극동아시아 주식시장 금융위기 전염 검정

Financial Contagion Test using Extreme value Theory:The Case of Far East Asia Stock Markets

박정민|김태영
한국응용경제학회|2017.12|응용경제 (Korea Review of Applied Economics)|제19권 제4호|pp. 43-99

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참고문헌

키워드

상호의존성interdependence전염시장통합market integration점근적 종속성비모수 꼬리부분 의존성ontagionasymptotic dependencenonparametric tail dependence
주제분류경제학

초록

본 연구는 상호의존성을 포착하는 공통요인과 점진적 시장통합으로 설명되지 않는 개별 주가지수 수익률 충격들의 점근적 종속성을 금융위기의 전염으로 정의하고, 극단값이론을 이용하여 1992년 1월 9일∼2013년 6월 27일 기간의 극동아시아 8개국 주식시장의 금융위기 전염효과를 검정하였다. 주가지수 수익률들의 상호의존성을 포착하기 위해 조건부평균과 조건부분산의 파급효과(spillover effect)와 함께 점진적 시장통합을 반영하는 요인모형을 이용하였다. 요인모형을 통해 파급효과를 통제한 후 얻어지는 개별 주가지수 수익률 충격들에 대한 전염 검정결과, 지리적으로 인접한 국가들의 주가지수 수익률들 간의 금융위기 전염이 존재하는 것으로 나타났지만 표면적인 금융위기 전염은 상호의존성과 시장통합에 의한 것으로 대부분 나타났다. 본 연구의 금융위기 전염효과에 대한 검정결과는 개별 국가 주식시장의 세계시장과의 통합이 진전될수록 전염효과보다 상호의존관계에 의한 극단적인 주식시장 동조화가 나타날 수 있음을 시사한다.

Abstract

We provide empirical evidence that stock market crises are spread globally not through contagion but through interdependence. We define contagion of financial crisis as significant asymptotic dependence of market specific shocks and test it by employing nonparametric tail dependence measures among market specific shocks. In an analysis of weekly returns of 8 far east Asian stock indices, we find that most of the null hypotheses of asymptotic dependence (i.e., contagion) among standardized stock market specific shocks are rejected. The empirical evidence implies that the extreme dependence of stock markets observed during past financial crises may be due to interdependence and market integration rather than contagion.

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