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Causes of Long Memory Property in the Highof Asia-Pacific Stock Markets
강상훈,Ron Mclver 한국자료분석학회 2016 Journal of the Korean Data Analysis Society Vol.18 No.6
This paper has examined the origins of the long memory volatility property using the high frequency data of eight Asian-Pacific stock market returns. We use various long memory models, namely non-parametric (classical and modified rescaled range (R/S) analysis) and semi-parametric (Geweke, Porter-Hudak (GPH) and Local Whittle (LW)) tests, over various time scale intraday returns, such as 10-min, 15-min and 30-min. We provide three important implications in this study. First, we find the persistence in the autocorrelations of 10-min intraday volatility. Second, both non-parametric R/S analyses show absence (presence) of long memory in the intraday returns (volatility). Third, using two semi-parametric long memory tests (GPH and LW), the estimates of long memory parameter (d) are invariant to temporally aggregated intraday volatility returns, implying that a long memory phenomenon is an inherent characteristic of the data generating process, not a result of structural breaks.
Sudden Changes and Long Memory: Forecasting the Volatility of Asian Stock Markets
강상훈,윤성민 포스코경영연구소 2012 POSRI경영경제연구 Vol.12 No.3
This study examines the impact of sudden changes on volatility persistence, or the long memory property, in six Asian stock markets: Hong Kong, Korea, Indonesia, Malaysia, Thailand, and Singapore. We examine sudden changes associated with global financial and political events, specifically, the 1997 Asian currency crisis, the 1998 Russia crisis, the IT dot com bubbles of 2000, the 9/11 terror attack of 2001, and the recent financial crisis of 2007-2010(sub-prime mortgage crisis and Lehman Brothers bankruptcy). When these sudden changes are incorporated into GARCH and FIGARCH models, the evidence of persistence or the long memory property vanishes from volatility. This result suggests that ignoring the effect of sudden changes overestimates volatility persistence. In addition, out-of-sample analysis confirms that volatility models, which incorporate sudden changes, provide more accurate one-step-ahead volatility forecasts than their counterparts without sudden changes. Thus, incorporating information on sudden changes in conditional variance may improve the accuracy of estimating volatility dynamics and forecasting future volatility for researchers and investors.
Analyzing the Time-Frequency Lead-Lag Relationship between Bitcoin and Currencies Markets
강상훈 한국자료분석학회 2019 Journal of the Korean Data Analysis Society Vol.21 No.1
This study examines the co-movement and lead-lag casuality relationship between the bitcoin and five currencies using wavelet methods. This study focuses on the dependence and casuality relationships in different time scales (short-term, intermediate-term, and long-term scales). The wavelet method results provide three implications: (1) The continuos wavelet power analysis shows that bitcoin returns has a high power in the short and intermediate-term scales over the period from mid-2011 to 2014. (2) The cross wavelet power transformation indicates the strong covariances between bitcoin and currency returns over the periods from mid-2011 to 2014, and this covariance decayed. (3) The wavelet coherence results identify a high level of co-movement between the bitcoin and currency returns at intermediate and long-term scales and bitcoin leading CNY, JPY, and USDX (as arrows approach to the right and up) over periods 2017-2018. Therefore, we find the co-movement and lead-lag causability relationships between bitcoin and currency markets.
Intraday Price and Volatility Spillovers between Japanese and Korean Stock Markets
강상훈,윤성민 한국경제연구학회 2014 Korea and the World Economy Vol.15 No.2
This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, but a uni-directional price spillover from the TOPIX market to KOSPI200 market in the 30-min and 1-hour time intervals. Regarding the volatility spillover effect, the estimation of the asymmetric BEKK GARCH model indicates evidence of bi-directional volatility spillover in the 10-min intervals, whereas the volatility spillover becomes weak with an increase in the length of time intervals (30-min and 1-hour). In addition, the cross-market asymmetric response is evident from the TOPIX market to the KOSPI200 market in all time intervals. These findings provide an important guideline on arbitrage strategies and risk management over very short time periods.
강상훈,윤성민 한국경제연구학회 2011 Korea and the World Economy Vol.12 No.1
This study investigates the spillover effect of price returns and volatility between ADRs and their underlying Korean stocks, employing a Granger causality test and a bivariate GARCH model. First, the empirical results of Granger causality test suggest bi-directional transmission of price returns between the ADRs and their underlying stocks. Second, the empirical results from the estimations of bivariate GARCH model indicate that volatility spillover effect exists between the ADRs and underlying stocks. In addition, due to the small and illiquid Korean ADR market, it is evidenced that direction of volatility spillover effect from the home market to the ADR market, but the evidence is very weak.
Co-movements between VIX and Emerging CDSs: A Wavelet Coherence Analysis
강상훈 한국자료분석학회 2018 Journal of the Korean Data Analysis Society Vol.20 No.6
The recent financial crises cause the co-movement and transmit the risk across different markets and assets. It is well known that market fear affects the quality of credit in the financial markets. In this context, this study examines the co-movement between the volatility index (VIX) of the Chicago Board Options Exchange (CBOE), or VIX, and six emerging countries’ credit default swaps (CDSs), by implementing wavelet coherence. Our research aims at revealing whether the VIX can be used to hedge against the bubble behavior of the CDS market in different investment holding periods (short-run, medium-run, and long-run), as well as whether either market can be used to manage and hedge overall market downside risks. The wavelet coherence results show a high degree of co-movement between the VIX and CDS during the 2007-2009 global financial crisis, across the 16-64 weeks’ frequency band. In addition, we observe that the positive correlation between the VIX and the CDS markets, implying that the market turmoil intensifies the co-movement between the VIX and CDS markets.