전통 및 이슬람 주식시장 간의 관계 분석: 말레이시아와 인도네시아를 중심으로
An Analysis of the Relationship between Conventional and Islamic Stock Market: Focusing on Stock Market of Malaysia and Indonesia
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초록
본 연구는 말레이시아와 인도네시아를 중심으로 전통적 주시시장과 이슬 람 주식시장 간의 관계를 분석하고자 하였으며, 이때 실증분석은 국가별, 국가 간 분석의 두 가지로 구분하여 수행하였다. 구체적으로 실증분석을 위해 주가 지수 자료의 가용성에 따라 2007년 1월 22일부터 2019년 7월 12일까지 일간 전 통 및 이슬람 주가지수 자료를 활용하였으며, 분석모형은 상호영향력의 방향 및 크기를 파악할 수 있는 BEKK-GARCH 모형을 사용하였다. 또한, 분석결과 의 강건성 확인을 위해 시간가변적 상관관계를 파악할 수 있는 DCC-GARCH 모형의 분석결과도 함께 제시하였다. 먼저 국가별 실증분석 결과에서는 예상치 못한 수익률 충격에 대해 말레이 시아와 인도네시아가 상이한 성격을 가지는 것으로 제시되었다. 즉, 말레이시 아는 전통 및 이슬람 주식시장 간 보완성을 가지는 반면, 인도네시아는 대체성 을 가지는 것으로 제시되었다. 또한, 변동성 전이효과에 있어서도 말레이시아의 두 주식시장은 투자자들에게 분산투자 효과가 나타날 수 있는 대체성을 가지는 반면 인도네시아는 분산투자효과가 없는 보완성을 가지는 것으로 제시 되었다. 다음으로, 국가간분석결과에서는 두시장 모두에서 예상치 못한 수익률 충격 전이에 대해 보완성을 가지며, 변동성 전이 측면에서도 투자자들의 분산투자의 효과가 나타날 수 있는 대체성이 존재하는 것으로 제시되었다. 이 러한 결과의 강건성을 확인하기 위해 주식시장의 시간가변적인 상관관계를 분석한결과국내주식시장간높은상관관계가있는것으로제시된반면, 국가 간 주식시장의 상관관계는 비교적 낮게 제시되었다. 이는 양국 모두 국내 투자 자비중이높은반면, 외국인 투자자 비중이 낮은 특징을 가진다는 점을 고려하였을 때, 이상의 충격전이 분석 결과가 타당성을 가짐을 시사하였다.
Abstract
This study aims to analyze the relationship between conventional and Islamic stock market, focusing on Malaysia and Indonesia. At this time, empirical analysis was performed in two ways: individual country analysis and cross country analysis. Specifically, we used the conventional and Islamic stock index data from January 22, 2007 to July 12, 2019, depending on the availability of stock index data for empirical analysis. The analysis model used the BEKK-GARCH model to identify the direction and size of mutual influence. In addition, DCC-GARCH model used to identify the time-varying correlations to confirm the robustness of the analysis results. At first, the results of individual countries suggest that Malaysia and Indonesia have different characteristics for unexpected returns shocks. In other words, Malaysia has been shown to have complementarity between conventional and Islamic stock markets, while Indonesia have substitutability. In addition, in terms of the volatility transfer effect, conventional and Islamic stock markets in Malaysia have substitutability that may have diversification effect on investors, while conventional and Islamic stock markets in Indonesia have complementarity without diversification effect. At second, Next, the cross-country analysis has complementarity to the unexpected return shock transition in all cases. In addition, in terms of the volatility transfer effect, it is suggested that there is a substitutability for diversification effect of investors in all cases. At last, in order to confirm the robustness of these results, the analysis of the time-varying correlation of the stock market showed that there was a high correlation between domestic stock markets, while the stock market correlation between countries was relatively low. This implies that the results of this shock transition analysis are valid considering that both countries have a high proportion of domestic investors and a low proportion of foreign investors.
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