국내와 국제 금융시장간 변동성의 상호관련성에 대한 연구

A Study on Interrelations among Volatilities in the Domestic and International Financial Markets

The purpose of this study is to examine interrelations among volatilities in the domestic and international financial markets. Summarizing this study, first, before financial crisis, Korea-US stock markets adjusted so that each of Korea and US stock market can recover co-integrating relations between two variables partially and in the short run. The long-term elasticity that the volatility of US stock market influences Korea stock market is 2.1209. In the conditional mean equation, the mean spillover effect was shown, which has influence upon US stock market itself. In the conditional variance equation, ARCH(є²_t) was all existed the strong conditional volatility spillover effect in market itself. GARCH(σ²_t) showed strong conditional volatility spillover effect on bi-directional Korea and US stock markets as well as each of Korea and US stock market. Asymmetric effects existed only in each of Korea and US stock market. Second, after financial crisis, Korea-US stock markets adjusted so that US stock market can recover co-integrating relations between two variables partially and in the short run. The long-term elasticity that the volatility of US stock market influences Korea is 1.0892. In the conditional mean equation, all markets did show the conditional mean spillover effect. In the conditional variance equation, ARCH(є²_t) was all existed the strong conditional volatility spillover effect in market itself. GARCH(σ²_t) showed strong conditional volatility spillover effect only on each of Korea and US stock market. Asymmetric effects existed only in US market itself and from US to Korea stock market. Accordingly, in the face of forecasting that growth axis in international finances will gradually shift to Asia from US in the wake of sub-prime state, which offered a cause for global financial crisis, and that US stature will get weakened owing to the weakening in reliability in US financing system and to the global weak dollar, the asymmetric volatility spillover effects of global financial crisis was confirmed to be continuously transferred.