한국과 중화권 주식시장의 비대칭 변동성 전이효과에 관한 실증연구

Abstract

In this paper, we analyze the asymmetric volatility spillover effect in the Korean stock exchange(KSE) and five major stock markets in Greater China(SHA, SHE, TPE, HSI, STI). We measure the volatility spillover effect between indices using the asymmetric volatility spillover effect using the method of Baruník, Kočenda, and Vácha(2016). The main research results are summarized as follows. First, we find that RS- has the highest total volatility spillover effect. Second, we find that SHA, KSE, and SHA are the leading indexes, and among them, SHA was found to play the most leading role. On the other hand, we confirm that TPE and STI are dependent markets. We find that HSI is the dominant index in RS+ and RS-. Third, as a result of considering the sub-period, we find that KSE and SHA lead consistently and that TPE and STI are dependent indices. Fourth, we can identify the linkage of financial markets through network analysis. it was possible to more clearly distinguish between the information sender and the information receiver and to understand the characteristics of the network. Fifth, we find that asymmetry exists in the volatility transfer effect of the stock market and that the COVID-19 outbreak increases the asymmetry of the stock market. And we find that SHE, SHA, and TPE have a stronger negative volatility spillover effect and that the volatility caused by bad information is expanded due to the COVID-19 outbreak, whereas KSE and HSI have a stronger positive volatility spillover effect. In this study, we confirmed the link between our Greater China stock market and the Korean stock market, and we provide direct evidence that the COVID-19 outbreak has increased the volatility transfer effect. And we find that KSE and SHA play a leading role in information transfer in the stock market regardless of period. In particular, KSE is the most important information communicator during the COVID-19 outbreak. Through the empirical analysis results, we can understand the interrelationship between the Korean and Greater China stock markets and provide new information to portfolio managers considering international diversification and hedging strategies. It can also be seen as having important implications for policymakers for the stability of the financial system.