연속수익률의 연쇄충격과 반전충격이 주식시장의 조건부 변동성에 미치는 영향

The Influence of Consecutive and Reversal Shocks of Return Sequence on Conditional Volatility of Equity Markets

This study analyze the influence of the sequence of consecutive shocks and reversal shocks on the conditional volatility of major equity market indices. We apply Tsay(l987) s CHARMA model to nine world equity markets including Korea, Japan, Hong Kong, Singapore, Australia, United Kingdom., France, Gennany, and United States of America. The sample period is from Jan. 1, 1990 to June 31, 2012. The conclusions of this study can be summarized as follows. First, the consecutive negative shocks generally increase the equity markets conditional volatilities. While, the consecutive positive shocks have no significan effects. Second, the reversal shocks also contribute to the increase of the equity markets volatilities. Third, nonetheless, the effects of consecutive negative shocks on the conditional volatilities are higher than those of consecutive reversal shocks. Finally, these effects still affects on the volatility even when we control a GJR effects.