earticle

영어

The purpose of this study was to examine the contagion effects of volatility among the stock markets of Korea, countries of being included or being likely involved in the developed country, and the stocks of countries, which belong to ASEAN, after passing through the foreign currency crisis at the end of the 1990s and the global financial crisis at the end of 2008. Summarizing this study, first, all of 9 markets showed the two-way conditional mean spillover effect in the conditional mean equation before global financial crisis. US showed the mean spillover effect in reciprocal positive direction with stock markets of Korea and ASEAN, but indicated the mean spillover effect in reciprocal negative direction with stock markets of China and Japan. The influence in market of Malaysia was the greatest. The biggest mean spillover effect was indicated from US to Indonesian market. Also, the relationship between the expected returns and the conditional volatility in Malaysia, China, Japan and Korea was considerably high. The explanatory power was very high. And, in the conditional variance, its markets of US and Malaysia showed positive strong conditional volatility spillover effects. The residual impact in US market showed the greatest conditional volatility spillover effect, which has influence upon volatility of Thai. The leverage effect only in US market itself was high. However, in other own markets, the leverage effect and the asymmetric effect didn’t exist. The leverage effect from Thai to Philippine markets was the highest. Second, it is identified that there were conditional mean spillover effects and volatility spillover effects among major stock markets of East Asia during the period of global financial crisis, and there were couplings of volatility among these markets due to several lead-lag effects among stock markets. This paper showed various correlations of volatility in financial markets in sample period and there were timevarying conditional correlations of volatility among stock returns through conditional mean and volatility spillover effects. The spillover phenomenon among stock markets in Korea, China, Japan, and US was intensified closely and the transmission or co-movement of global stock markets can be considered to have been expended. Third, after the global financial crisis, US showed the reciprocal positive direction with the stock markets of Korea, Japan and ASEAN except China. In the conditional variance, only own markets in China and Malaysia showed the positive strong conditional volatility spillover effect. The residual impact in Indonesia showed the biggest conditional volatility spillover effect, which has influence upon volatility in Korea. Especially, US and Korea markets failed to have influence upon other markets. However, the strong volatility spillover effect existed that China has influence upon Indonesia and that Japan has influence upon the Philippine and Thai markets. In all of own markets, the leverage effect wasn’t shown. However, the asymmetric effect existed in own markets of US, China, and Indonesia. Also, the leverage effect was the highest from Indonesia and China. Japan market wasn’t existed two effects. In conclusion, 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. And the integration level in the world capital market has gotten higher following the global financial crisis. Thus, susceptibility among countries is increasing. In the meantime, China market is being greatly influenced by the abnormal phenomenon within own market, thereby being indicated exceptionally. Nevertheless, Korea’s stock market was intensified in the spillover phenomenon with overseas stock markets. Thus, even the contagion effect among stock markets of the developed countries and ASEAN was confirmed to have been further deepened.

한국어

본 연구는 1990년대 말과 2007년 말의 글로벌 금융위기 이후에 한국, 선진국에 포함되거나 포함될 가능성이 있는 국가와 ASEAN의 주식시장간의 변동성의 전염효과를 조사하고자 하였다. 본 연구를 요약하면, 첫째, 글로벌 금융위기전의 조건부 평균식에서 9개 시장 모두 양방향의 평균전이효과를 보여주었다. 미국은 한국과 ASEAN의 주식시장과는 상호간 양(+)의 방향으로 평균전이효과를 나타냈으나, 중국, 일본시장과는 음(-)의 방향으로 평균전이효과를 나타냈고, 말레이시아 시장 내의 영향력이 가장 크고, 미국에서 인도네시아 시장으로 가장 큰 평균전이효과를 나타내었다. 또한 말레이시아, 중국, 일본 및 한국시장의 기대 수익률과 조건부 변동성과는 관련성이 높고 설명력이 매우 높았다. 그리고 조건부분산식에서 미국과 말레이시아의 자국 시장이 양(+)의 강한 변동성전이효과를 나타냈고, 미국시장의 잔차 충격이 태국시장의 변동성에 가장 강한 변동성 전이효과를 나타내었다. 미국의 자국시장만이 레버리지효과가 높고, 태국에서 필리핀시장으로 레버리지 효과가 가장 높았다. 둘째, 글로벌 금융위기 후에서 중국을 제외하고 미국은 한국, 일본 및 ASEAN의 주식시장과는 상호간 양(+)의 방향으로 나타났고, 조건부분산식에서는 중국과 말레이시아의 자국시장만이 양(+)의 강한 변동성전이효과를 보여 주었고, 인도네시아의 잔차 충격이 한국시장의 변동성에 가장 큰 변동성 전이효과를 나타내었고, 특히 미국, 한국시장은 다른 시장에 영향을 미치지 못하였으나, 중국은 인도네시아에, 일본은 필리핀과 태국시장에 강한 변동성전이효과가 존재하였다. 모든 자국시장에서 레버리지효과는 나타나지 않고, 미국, 중국, 인도네시아의 자국시장에서는 비대칭효과가 존재하였다. 또한 인도네시아에서 중국시장으로의 레버리지효과가 가장 높았고, 일본시장은 두 효과가 존재하지 않았다. 결론적으로 글로벌 금융위기 후 세계 자본시장의 통합도가 높아져 국가간의 동조성이 증가하는 가운데 중국 시장이 자국시장 내 이상 현상에 의해 영향을 많이 받고 있어 예외로 나타나고 있을지라도, 한국의 주식시장은 해외 주식시장과의 전이현상이 강화됨 으로써 선진국과 ASEAN의 주식시장간의 전염현상도 더욱 심화되었다는 것을 확인하였다