실현변동성과 경제정책의 불확실성에 관한 연구

윤병조 ( Byung Jo Yoon ) 한국금융공학회 2021 금융공학연구 Vol.20 No.3

This study used the HAR-RV model and the HAR-CJ model in five countries (Korea, the United States, the United Kingdom, China, and Japan) from January 4, 2010 to December 31, 2020 to demonstrate whether the economic policy uncertainty index has significant information on changes in future stock price index realized volatility. The results of the study over the sample period are as follows. First, the volatility dependence continued to be quite high, and the relative influence of daily volatility factors decreased as they moved from the daily regression model to the monthly regression model. Second, the jump component of realized volatility was largely insignificantly estimated, and the significantly estimated parameters were almost negative (-). Third, the impact of economic policy uncertainty(EPU) on realized volatility was statistically significant in the United States, China, and Japan, and the model's explanatory power was shown to increase when EPU was included in the model. In particular, there is a difference in the sign of parameters: positive (+) in the United States and Japan and negative (-) in China. Fourth, the evaluation of prediction accuracy with two loss functions (MSE, MAE) shows that the model, including EPU, usually has a small prediction loss.

STR 모형을 활용한 국제 원유시장과 아시아 주식시장간 비선형 동적 관계에 관한 연구

윤병조 ( Byung Jo Yoon ),류용규 ( Yong Kyu Lew ) 한국국제경영학회 2016 국제경영연구 Vol.27 No.4

This paper examines dynamic correlations between international oil and Asian stock markets. The WTI oil price and Asian stock market price indexes in eleven Asian countries (i.e., Korea, China, India, Indonesia, Malaysia, Thailand, Taiwan, Philippines, Singapore, Japan, and Vietnam) from January 2002 to March 2016 were used in this study. Methodologically, we take a novel approach to the investigation of the time-varying relationship between two markets and a degree of strength of such relationship, using dynamic conditional correlation (DCC) GARCH and Smooth Transition Regression (STR) models. Our findings show that there is strong evidence of non-linearity of time-varying correlations between oil and stock markets. Also, we find significant time-varying parameters in some countries, and the transition midpoints differ among them. These results suggest that it is critically important to consider both `non-linearity of time-varying` and `strength` traits in the association between oil and stock markets when it comes to the development of Asian stock market portfolios, including oil. In sum, our methodological approach to the study of time-varying correlations advance existing international finance literature and our empirical findings provide useful insights on stock portfolio management and forecasting dynamics of Asian financial markets.

아시아 국채 시장에서 위험 프리미엄의 추정과 수익률 스프레드 정보에 관한 연구

윤병조(Byung Jo Yoon) 글로벌경영학회 2017 글로벌경영학회지 Vol.14 No.3

In this study, the existence of a time-variable risk premium in the interest rate structure of government bonds in five Asian countries (Korea, Japan, Malaysia, Singapore and Thailand) was examined by GARCH-M model. In particular, the sample period was separated based on the global financial crisis to observe whether the risk premium was changed, and whether the excess holding yield was influenced by including the yield spread in the mean equation and the variance equation. The results of empirical analysis during the sample period presented in this study are as follows. First, the risk premium of long-term bonds was estimated to be statistically significant in Korea, Japan, Singapore and Malaysia before the global financial crisis and Japan, Singapore and Thailand after the financial crisis. The risk premium of the medium-term bond was estimated to be negative in all the government bonds before the financial crisis, but after the financial crisis, the value of Thailand was estimated to be positive, while the values of Japan, Singapore and Thailand were estimated to be negative Second, the impact of the yield spread on the excess return was significant in Korea and Singapore before the financial crisis in the case of long - term bonds but increased to four countries after the financial crisis except Malaysia. In the case of medium-term bonds, statistically significant estimates were obtained for all government bonds before the financial crisis, but fell to two countries (Japan and Thailand) after the financial crisis. Third, the direct effect of yield spread on conditional variance was confirmed in long-term and medium-term bonds in all countries except Thailand. The empirical results of this study, which examined the causes of time-varying risk premiums in the term structure of government bonds, are expected to help understand the trade-off between risk and excess returns, and changes in the relationship between risk premium and yield spreads.

전염병 충격과 아시아 주식시장의 변동성

윤병조(Yoon, Byung Jo) 글로벌경영학회 2021 글로벌경영학회지 Vol.18 No.5

This paper empirically analyzed the impact of uncertainty in the U.S. stock market caused by the infectious disease epidemic on stock market volatility in four Asian countries (Korea, China, Japan, and India). The sample period was from 4 January 2011 to 31 May 2021, using the Infectious Disease Equity Market Volatility Tracker (EMV-ID) index with realization volatility, and the research methodology is the GARCH-MIDAS model. The results of the empirical analysis over the sample period are as follows: First, the persistence of volatility in the stock market was relatively high, and there was a leverage effect on shocks. However, China and Japan have detected significant leverage effects only in extended models that contain EMV-ID variables. Second, realized volatility in the stock market has always been shown to affect permanent component. Third, the EMV-ID index in the 52 week lag has had a statistically significant impact on the permanent component of the four Asian stock markets, and has been confirmed to increase volatility in three countries (Korea, China, and Japan) except India. Fourth, because governments policy responses to the spread of the epidemic are different, there were also differences in the stock market in the movement of permanent component. Furthermore, for China, where COVID-19 first occurred, volatility since January 2020 has been observed to be smaller than during the 2015 crash. The findings that the volatility of the U.S. stock market during the spread period of COVID-19 is reflected in the information that continues to flow into the Asian stock market suggest the usefulness of the EMV-ID indicator and are expected to contribute to expanding the analysis to the European and South American stock markets.

신흥국 외환시장의 공통 변동성과 무역정책 불확실성에 관한 연구

윤병조(Byung Jo Yoon) 글로벌경영학회 2025 글로벌경영학회지 Vol.22 No.2

This study estimated the connectedness between the trade policy uncertainty(TPU) index and the common volatility of the foreign exchange markets of seven emerging countries (Brazil, Mexico, Indonesia, Malaysia, the Philippines, Thailand, and Korea) from January 2, 2015 to December 30, 2024. The results of empirical analysis during the sample period are as follows. First, although the U.S. election, U.S. trade policy, and the COVID-19 pandemic have caused a common shock to emerging economies' foreign exchange markets, the magnitude of the response of emerging economies' exchange rates to common volatility is different. Second, the connectedness between the emerging foreign exchange market and the TPU was estimated to be 19%, and the impact of exchange rate volatility in emerging countries on the TPU was found to be greater than the opposite. Third, the contribution of TPU to common volatility was estimated to be 2.7%, and the contribution of common volatility to TPU was estimated to be 0.7%, indicating that the outflow of spillovers of TPU to common volatility was greater than the inflow spillovers and the same results were maintained when economic policy uncertainty (EPU) was included.

이자율 스왑의 장기변동성과 거시위험요인에 관한 연구

윤병조 ( Byung Jo Yoon ),장국현 ( Kook Hyun Chang ),홍민구 ( Min Goo Hong ) 한국파생상품학회 2013 선물연구 Vol.21 No.3

This paper tries to empirically investigate whether macroeconomic risk may be statistically useful in explaining long-term volatility of interest rate swap (IRS) in korean market. This paper uses the component-jump model to estimate long-term volatility of IRS from 1/2/2003 to 1/31/2013. By using the component-jump model, the IRS volatility is decomposed into a long-term and a short-term component. According to this study, slope of yield curve and foreign exchange volatility as a proxy of macroeconomic risk have been significant in explaining long-term volatility of IRS.

아시아 주식시장의 변동성 다이나믹스와 점프

윤병조(Yoon Byung Jo) 글로벌경영학회 2020 글로벌경영학회지 Vol.17 No.4

In this study, the volatility dynamic was analyzed in the stock price index of seven Asian countries (Korea, China, Japan, Singapore, India, Indonesia, Malaysia) by separating the continuous and discontinuous parts using the jump-diffusion model. The results of the empirical analysis during the sample period presented in this study showed that in pure diffusion models, the models were more suitable if the parameters were assumed to be sensitive to changes in state, and that, when the jump components were included, the diffusion model s explanatory power was increased. It was also found that the inclusion of cycles in models and trends with high state dependence also improves fit. These results indicate that the diffusion model with the addition of jump elements rather than the pure diffusion model is suitable for implementing the dynamic of Asian stock index volatility, especially in Korea, China, Singapore, India and Malaysia when trends have time-varying characteristics.

아시아 시장의 CDS 프리미엄과 통화옵션의 내재변동성 간 공적분 및 시간가변 상관관계에 관한 연구

윤병조 ( Byung-jo Yoon ) 한국금융공학회 2016 금융공학연구 Vol.15 No.3

This paper tries to empirically investigate the statistical significance of cointegration and time varying correlation between CDS premium and implied volatility in Asian Markets. This paper uses the bivariate vector error correction model(VECM)-BEKK GARCH approach. Using CDS premium and implied volatility of currency option of Asian markets such as Korea, China, Japan, Malaysia, Indonesia from 3/4/2006 to 2/29/2012, this study finds that strong evidence of the existence of cointegration and time varying correlations between CDS and currency option markets. To test the cointegration, this paper uses the Engle-Granger single-equation test and the Johansen cointegration test. According to this study, the relative implied volatility impacts the CDS premium in the long run, and in the short run the impact changes drastically in times of Global Financial Crisis. Empirical findings provide useful insights on risk management and forecasting dynamics of Asian financial markets.

기업지배구조와 부도위험

윤병조(Yoon Byung Jo) 글로벌경영학회 2021 글로벌경영학회지 Vol.18 No.1

In this study, Korean and Japanese companies were analyzed to determine whether the governance structure affects the default risk. The sample period is from 2001 to 2017, and the governance mechanisms of seven (institutional investor ownership, insider ownership, board independence, board duration, board size, CEO duality, audit committee independence) are considered. The results of the empirical analysis during the sample period are as follows: First, when analyzing the correlation between the governance variables, it was found that in the case of Korean companies, ownership of institutional investors is negatively related to ownership of insiders, the duration of the board, independence, and CEO duality. On the other hand, the insider ownership was negatively correlated with most of the factors. For Japanese companies, institutional investors ownership was negatively correlated with the board size as well as the insider ownership, and insider ownership was reported to have a positive correlation with the Board s duration, independence, size. Second, when a Korean company used CDS spread as a proxy for default risk, institutional investor ownership was identified as an important governance factor in determining default risk, and the size of the board was estimated only statistically significant when it did not include control variables. In addition, when the probability of bankruptcy was used as a proxy for the risk of bankruptcy, the ratio of shares of institutional investors and insiders, CEO duality, and the duration of the Board were reported to have a significant impact on the default risk. Board size and the independence of the Audit Committee were estimated figuratively, and the independence of the Board was shown to have a very weak influence on the probability of bankruptcy within a year. Third, the use of CDS spread as a proxy for default risk by a Japanese company was found to have a significant impact on the default risk, except for the independence of the Board, but only the size of the Board and the independence of the Audit Committee were identified as meaningful governance variables. In addition, the statistical significance of institutional investors ownership, CEO duality and board duration varied with statistically significant estimates of most of the governance factors, even if the probability of bankruptcy was set as a proxy for risk of bankruptcy.

개별주식의 헤지수단 및 안전자산으로서 CDS의 적합성에 관한 연구

윤병조 ( Byung Jo Yoon ) 한국금융공학회 2014 금융공학연구 Vol.13 No.2

This paper tries to empirically investigate the potential risk reducing benefits of credit default swaps(CDS) against risk in KOREA individual stock market. Specifically, this paper focuses on the hedging and safe haven characteristics of individual CDS. This paper uses the bivariate GARCH type BEKK model to estimate time-varying correlations of individual stock and CDS, sampled daily during 8/10/2004 to 10/26/2011 period. According to this study, CDS serve as an effective hedge against risk in individual stock. CDS also provide a safe haven in times of extreme stock market volatility and during periods of Global Financial Crisis in a limited number of individual stock. The major findings are as follows. First, results of correlation coefficients regressed on dummy variables representing stock market volatility and Global Financial Crisis show that CDS are a hedge against stock risk. Second, during periods of extreme stock market volatility, CDS demonstrate safe haven characteristics against stock risk. Third, regression analysis shows that CDS are a safe haven against stock risk during Global Financial Crisis. The results support investors holding CDS appear to benefit from a reduction in default risk.