한국과 독일 주식시장에서의 변동성 전이

김병준 ( Byoung Joon Kim ) 아시아.유럽미래학회 2014 유라시아연구 Vol.11 No.4

In this study, mutual volatility spillover effects between stock markets of Korea and Germany have examined, using symmetric and asymmetric bivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba, Engle, Kraft, and Kroner) regression models. The GARCH-BEKK model is based on a framework without any restrictions on the conditional correlations of the multivariate model. Accordingly this model can differentiate directions and magnitudes of volatility spillovers. Additionally, the asymmetric model can differentiate downward shock (resulting from unexpected increase in return) and upward shock (unexpected decrease in return), therefore it is chosen in this study to find out existence of this asymmetry. It is shown that there is a obvious distinction between downward and upward shock from many recent studies. Total sample period of this paper is 4,173 days from the beginning of 1997 to the end of 2012. However, to discover the volatility spillover effect in times of crisis more precisely, I add another sub-sample period of Global Financial Crisis from July 1, 2008 to June 30, 2009. Major findings are as follows. First, shock spillover from Korea to Germany is shown to be significantly positive, contrary to the significantly negative effect of that from Germany to Korea, from the estimation of symmetric model during the whole sample period of 1997 to 2012. Second, downward shock spillovers stemming from the unexpected decrease in market return in both directions turn out to be negative in the whole sample period, suggesting mutual diversification effect between these two countries. Third, during the Global Financial Crisis times, results for the shock spillovers from the symmetric model are changed to be just the opposite from the results during the whole sample period. In other words, shock spillover from Germany to Korea turns out to be positive whereas that from Korea to Germany is shown to be negative. Finally and most importantly, downward shock from Germany to Korea during the GFC times turns out to be significantly negative while that from Korea to Germany shows still positive, signaling diversification effect in portfolio formation from Korea especially in the crisis times. The last finding is perhaps for the first time and quite surprising and valuable among the studies for international volatility spillovers in the global stock market. The last finding is the existence of significantly negative shock spillover, i.e., shock reduction from the developed market to the emerging market.

다변량 GARCH 모형을 이용한 한국, 러시아, 브라질 주식시장에서의 충격전이효과 분석

김병준 ( Byoung Joon Kim ) 아시아.유럽미래학회 2012 유라시아연구 Vol.9 No.4

This study analyzes inter-regional shock spillover effects among three countries Korea in Asia, Russia in Europe, and Brazil in Latin America using the multivariate GARCH-BEKK(generalized autoregressive conditional hetreroscedasticity-Baba, Engle, Kraft, and Kroner) model to find out the long-term portfolio diversification effects as well as volatility spillover effects in association of time-varying volatility correlations. The whole sample period of this analysis consisits of 4,072 days from January, 1997 to August, 2012 and we divide this total period into four sub-samples composed of three major crisis times and one normal period to take into detailed consideration on further differentiated effects of structural break times and normal times. The three major financial crisis times are composed of 649 days of Asia-Russian FX Crisis Times(January 1997∼June 1999), 522 days of Latin-American Currency Crisis Times(January 2002 ∼December 2004), and 1,204 days of Global Financial Crisis Times including recent European Sovereign Debt Crisis Times(January 2008∼August 2012). The one normal subsample period comprise 1,043 days from January 2004 to December 2007. Additionally, we use separate multivariate asymmetric GARCH model by GJR (Glosten, Jaganathan, and Runkle) to check further asymmetric volatility transmission effects between up shock and down shock. Major findings from the estimation results over the five entire sample groups composed of one total sample and four sub-samples for the impacts among the three stock market returns and their volatilities by using both symmetric and asymmetric GARCH-BEKK models are as follows. First, VIX, the US stock market volatility index, VIX as a global risk factor in the mean equation model over the whole sample period shows differentiated impacts by individual stock markets contrary to the prior expectation. Namely, VIX is shown to have significant negative impacts on both Korean and Russian stock market return conforming to the expectation from the volatility feedback hypothesis, but have a significant positive impact on Brazilian stock market return. On the while, changes in FX in the basis of dollar value as a country-specific risk factor clearly show significant negative effects on all the three sample stock market returns indicating that currency depreciation as a result of weakened fundamentals affects negatively stock market performance. Second, no clear shock spillover effects from the whole sample period are shown in the estimation of symmetric model of variance equations representing long-term portfolio diversification effects among these three countries. In the asymmetric model estimation over the same sample, shock from Russia is shown to affect positively the other two stock markets. Third, contrary to the total sample period estimation results, those from the 3 crisis times sub-sample periods, Asia-Russia FX Crisis, Latin American Currency Crisis, and Global Financial Crisis including European Sovereign Debt Crisis represent much differentiated phenomena. During the Asia-Russia Crisis period, in spite of the significant positive impact of shock spillover from Russia to Brazil and from Brazil to Korea in the symmetric model, no obvious downward shock spillovers are shown in the asymmetric model, contrary to the prior expectation that Asia-Russian Crisis can be surely to have a positive spillover effect to the global market. However, over the Latin American Currency Crisis Times, mutual shock spillovers between Brazil and Korea and between Brazil and Russia are proved to significantly exist in the symmetric model estimation results and downward shocks from Brazil are shown to significantly contaminate other two countries in the asymmetric model. Over the Global Financial Crisis Times, shocks from Korea and Russia are more clearly transferred to other nations than those from Brazil in the symmetric GARCH model estimation, but in the asymmetric model downward shock from Russia to Korea and mutual downward shock transfers between Russia and Brazil are shown to exist significantly positive. Fourth, in the estimation results for the asymmetric variance equation from the normal period, only downward shock from Brazil is shown to have significant positive effects to both Korea and Russia as similar as from the Latin-American Currency Crisis Times. Finally, Korea is shown to be much more sensitive to the external downward shock than any other two countries in all the five sample group estimation results and a policy design for the prior market stabilization in Korea should be needed to alleviate overreaction from these outbound downward shocks such as raising capital gain taxes and restriction on extremely frequent transactions in order to build up stock market more healthfully together with the global capital market liberalization process.

한,미간 주식 및 채권시장에서의 상호전이효과

김병준 ( Byoung Joon Kim ) 한국생산성학회 2014 生産性論集 Vol.28 No.4

This paper analyzes mutual spillover effects between stock and bond markets of Korea and US, using the multivariate GARCH-BEKK (generalized autoregressive conditional heteroscedasticity - Baba, Engle, Kraft, and Kroner) framework without any prior restrictions on conditional correlations among time-varying volatilities of these four market returns. The whole sample period consists of 3,914 days from December, 1997 to December, 2012. In particular, the Global Financial Crisis Period of July, 2008 to June is additionally chosen in this analysis. In particular, separate multivariate asymmetric GARCH model by GJR(Glosten, Jaganathan, and Runkle) is used to check further asymmetric volatility transmission effect in the unexpected up-market shock and the unexpected down-market shock. Additionally, global common factors such as difference of T-Bill rate and change of VIX(US S&P 500 volatility index) and country-specific factors such as change of foreign exchange rate are set up as explanatory variables in the mean equations of the above-mentioned GARCH model to differentiate their own special shock factors of these two stock and bond markets. Major findings in this analysis are as follows. First, shock spillovers from the unexpected change of returns in these two stock markets are generally more active than those in the bond markets, regardless of model forms of symmetric or asymmetric GARCH-BEKK. Second, shock spillovers from US to Korea are generally stronger than those from Korea to US in both of the total sample period and the Global Financial Crisis times. Third, stock market shock spillovers are more active in the Global Financial Crisis times than in the total sample period. Fourth, particularly in the bond market, some positive shock spillovers, although not significant, from Korea to US is found to exist in the Global Financial Crisis times. With all these four findings above, Korean stock market is found to be fragile to the outside shocks. Therefore, some policy designs need to begin with mitigating shock spillovers from outside in the Korean stock market.

Sticky Chains : Spillover Effect of Future Operating Shocks on Supply Chain Network

Chan Kim,Se-jik Kim,Jeong Hwan Lee 한국재무학회 2019 한국재무학회 학술대회 Vol.2019 No.11

This paper examines how the network of supply chain propagates future operating shocks. For this purpose, we first build a network of supply chain by merging customer information directly extracted from 10-K statements in conjunction with the Compustat customer segment database. We also construct a wide range of similarity indices that identify firm-level shocks to future operating outcomes by comparing year-on-year 10-K/Q filings. We then map these future operating shocks into the supply chain network to empirically test their spillover effects. Our empirical analysis shows significantly negative spillover effects of the future operating shocks on firms’ revenues at least two connections away from the origin. Our findings contribute to literature by supporting and quantifying externalities and spillovers along firm connections.

한-중 채권시장내 변동성 전이효과

김병준 ( Byoung Joon Kim ) 명지대학교 금융지식연구소 2014 금융지식연구 Vol.12 No.1

본 연구에서는 글로벌 채권시장에서의 시장 동조화를 파악하는 과정의 일환으로 아시아지역 내 한국과 중국의 채권시장을 대상으로 양국간의 변동성 전이효과를 분석하였다. 분석을 위하여 양국 채권시장간 공통적 상관관계를 감안하여 사전 제약이 주어지지 않은 이변량 GARCH-BEKK 모형을 채택하였고 표본기간은 1997년 말부터 2012년 말까지의 3,914일간의 전체표본과 글로벌금융위기기간인 2008년 7월초부터 2009년 6월말까지의 261일간의 하위표본으로 구분하였다. 분석 결과, 전체기간에서는 대칭모형을 통해서는 한국에서 중국으로의 유의미한 시장변동성 전이가 확인되었으나 비대칭모형을 통해서는 중국에서 한국으로의 유의미한 양의 하락충격효과가 관측되었다. 글로벌금융위기기간의 하위표본에서는 대칭모형으로는 전체기간에서와는 대조적으로 중국에서 한국으로의 유의미한 변동성 전이만이 나타난 반면, 비대칭모형으로는 양국간 하락충격이 서로 유의미하게 작용하는 것으로 나타났다. 따라서 채권시장의 동조화는 아시아지역에서는 글로벌금융위기간에 더욱 심하였음이 확인되었고 한국의 채권시장은 어떤 기간을 막론하고 하락충격에 쉽게 노출되는 취약성을 보임으로써 향후 외부충격에 채권시장 변동성을 완화시킬 수 있는 정책과제의 필요성이 제기되었다. This paper analyzes volatility spillover effects between two Asian bond markets of Korea and China as a way of finding market synchronization in the global bond markets, using the bivariate GARCH(generalized autoregressive conditional heteroscedasticity) BEKK(Baba, Engle, Kraft, and Kroner) framework. During the sample period of 3,914 days from the end of 1997 to the end of 2012, a positive volatility spillover from Korea to China is shown to exist significantly but that from China to Korea turns out to be significantly negative from the estimation results of the symmetric GARCH model. However, downward shock from China is found to have a significantly positive impact on the conditional volatilities of Korean bond market returns in the estimation of asymmetric GARCH model, which is used to differentiate downward and upward shock transmission from the general unexpected shocks. In the analysis of the subsample period of Global Financial Crisis Times from July, 2008 to June, 2009 for the improvement of estimation efficiency, only a shock from China is shown to affect Korea significantly in the symmetric model, which is perfectly contrary to the whole sample case. Additionally, in the asymmetric model estimation for the subsample period, the mutual downward shock spillovers between these two countries are found to be significant. Conclusively, Korean bond market is found to be vulnerable to external shocks from the above analyses of two cases. It is strongly required to develop policy designs to mitigate external shocks for the stabilization of the bond market in Korea.

서울 주택시장으로부터 지방 주택시장으로의 가겨 및 변동성 이전효과 연구

이상경 대한국토·도시계획학회 2003 國土計劃 Vol.38 No.7

This study documents the existence of price change and price volatility effect from Seoul housing market to local markets. Kangnam in Seoul city, Suwon city in capital region and Busan city are chosen for the case study. First, we find that EGARCH(1,1) model is superior to GARCH(1,1) model in Kangnam housing market and news shock breaks out asymmetric volatility effect. It is turned out that good news shock is more effective on the volatility of Kangnam housing market than bad news shock. Second, we demonstrate that price change and price volatility are spreaded from Kangnam housing market to local markets. If the change of housing price index of Kangnam is 1%p, the change of Suwon city is 0.43%p and Busan city is 0.36%p. This result is of help to forecasting the housing price of local large city.

한국에서의 금리, 환율, 주가의 상호 충격전이 효과 분석

김병준 ( Byoung Joon Kim ) 국제지역학회 2016 국제지역연구 Vol.20 No.1

본 연구에서는 1995년부터 1월에서 2015년 10월까지의 5,323개 일별자료로 다변량GARCH BEKK모형을 이용하여 금리, 환율, 주가 상호간 충격전이효과를 분석하였다. 전체표본기간에서의 변동성 충격전이를 분석한 결과로는 우선 대칭모형상으로 금리변동의 충격은 주가에만 충격을 주었고 환율변동의 충격은 다른 두 변수들에 별다른 영향을 미치지 못하였는데 주가변동은 금리와 환율 모두에 유의미한 충격을 주는 것이 확인되었다. 비대칭모형상으로는 금리의 상승충격은 환율에만, 환율의 상승충격은 금리에만 상호간 유의미한 영향을 미쳤고 주가의 하락충격은 환율에만 유의미한 영향을 미치는 것으로 나타났다. 외환위기국면 소표본기간에서는 비대칭모형에서 금리의 상승충격이 환율과 주가에 영향을 미쳤고 주가의 하락충격은 환율에만 영향을 주는 것으로 나타났다. 또한 글로벌 금융위기국면 소표본기간의 비대칭모형에서는 주가의 하락충격만이 금리에 영향을 주는 것으로 나타났다. 이를 종합하면 한국의 주식시장 변동충격은 나머지 두 변수에 유의미하게 영향을 미쳤고 금리의 충격은 시기별로 주가와 환율에 영향을 미쳤으나 환율의 충격은 전체적으로 그리 크지않게 나타남으로써 주식시장의 안정화 유도책이 시장변수의 충격을 완화시키기 위한 선결과제임이 입증되었다. In this study, I examine mutual shock spillover effects among interest rate differences, won-dollar foreign exchange change rates, and stock market returns in Korea during the daily sample period from the beginning of 1995 to the October 16, 2015, using themultivariate GARCH (generalized autoregressive conditional heteroscedasticity) BEKK (Baba-Engle-Kraft-Kroner) model framework. Major findings are as follows. Throughout the 6 model estimation results of variance equations determining return spillovers covered from symmetric and asymmetric models of total sample period and two crisis sub-sample periods composed of Korean FX Crisis Times and Global Financial Crisis Times, shock spillovers are shown to exist mainly from stock market return shocks. Stock market shocks including down-shocks from the asymmetric models are shown to transfer to those other two markets most successfully. Therefore it is most important to maintain stable financial markets that a policy design for stock market stabilization such as mitigating stock market volatility.

한국과 중국 주식시장에서의 변동성 전이효과 분석

김병준 ( Byoung Joon Kim ) 명지대학교 금융지식연구소 2009 금융지식연구 Vol.7 No.2

본 연구에서는 한국과 중국 주식시장에서의 상호간 변동성 전이효과(Volatility Spillover Effect)가 존재하는지에 대한 검정을 실시하였다. 전세계 주식시장의 동조화가 진행되면서 미국 등 선진국 증시의 신흥 주식시장에 미치는 영향력이 갈수록 증대되는 가운데 2008년 리만 브러더스의 파산을 계기로 본격화한 금융위기는 그 진원지가 미국이었음에도 불구하고 신흥 주식시장으로의 파급효과가 매우 크게 나타났다. 이 현상과 관련하여 본 연구에서는 지역적 요인이라 할 수 있는 개도국 상호간의 시장 영향력이 범세계적 요인에 대한 영향력과는 어떠한 관계가 있는지를 GJR-GARCH-M 모형을 중심으로 분석하였다. 1996.1~2009.5까지의 3,500일간의 표본을 대상으로 한 분석에서, 한국과 중국 주식시장에서는 공히 범세계 공통의 영향력뿐만 아니라 두 시장 사이의 상호 영향력이 유의미하게 존재하는 것으로 나타났다. 그러나 2007년 이후 세계 금융위기 국면에서는 한국시장에서 중국으로부터의 영향력은 유의미하지 않은 반면, 중국시장에서 한국으로부터의 영향력은 계속 유의미한 것으로 나타나 중국시장에서의 금융안정화 정책이 지역적 영향력을 고려한 미세조정(Fine Tuning)을 실시하여야 한다는 점과 인접국 충격에 대한 과잉반응의 축소를 위한 시장개방 확대의 필요성이 제기되었다. This paper analyzes volatility spillover effects between Korean and Chinese stock markets by applying a threshold generalized autoregressive conditional heteroscedasticity in mean (T-GARCH-M) model developed by Glosten, Jaganathan, and Runkle(1993). During the whole sample period of Jan. 1996 to May 2009, volatility spillover effect between these two countries measured from the conditional variances of their market returns after control of systematic influences of global risk factors is observed to exist significantly, regardless of the direction of changes in their unexpected market returns. However, during the financial crisis times of August 2007 to May 2009, volatility spillover from China to Korea does not exist any more although that from Korea to China continues to exist. Additionally, volatility feedback effect is shown to be insignificant in Korea both in the pre- and post financial crisis times, while in China, that effect maintains significantly until those crisis times and finally disappears. With these two results, it can be conjectured that spillover from the global shocks affect more heavily these two stock markets during the financial crisis than during the normal times and spillover from the regional shock affect differentially these two markets, strongly in China and weakly in Korea.

한국에서의 무역, 주가, 환율 상호간의 파급효과 분석

김병준 ( Byoung Joon Kim ) 한국생산성학회 2015 生産性論集 Vol.29 No.2

In this study, I examine the mutual spillover effect among trade balance, stock price, and foreign exchange rate denoted as value of Korean won per one US dollar during the monthly sample period from the beginning of 1980 to the end of 2013, using the multivariate GARCH BEKK model framework. Major findings are as follows. First, from the estimation results of the mean equations in the multivariate GARCH model, trade balance is positively affected by rise in the stock market and won depreciation in the foreign exchange market, reassuring the price effect in the capital market and J curve effect in the foreign exchange market. Second, in the symmetric GARCH BEKK model estimation of the variance equations in the above multivariate model, the shock from the capital market affects the volatility of trade balance positively, whereas that from the trade balance does not affect the capital market, showing the transmission mechanism between capital and real markets. Third, on the contrary, in the asymmetric GARCH BEKK model estimation of the variance equations in the above model, the downside shock from the trade balance change has a significant positive effect on the stock market volatility whereas those from the stock and exchange market do not show any positive spillover effects to the trade balance. Fourth, results from the sub-sample period of pre- and post- IMF bailout program of 1997 are different from those from the total sample period owing to the difference of openness in the capital market. The downside shocks from the trade balance and the stock market to the foreign exchange market in the pre-IMF subsample period turned out to be significantly negative, whereas those in the post-IMF subsample period showed significantly positive signs. This can be explained as an evidence of well development of foreign exchange market liberalization plan during the post-IMF bailout program. In other words, foreign exchange market during the post-IMF period reflects changes in real and capital markets more evidently. It is confirmed that continuous trade surplus is essential for stock market stabilization from the above results.

한ㆍ일간 무역수지와 주식수익률의 상호간 영향력 분석

김병준 한국무역금융보험학회(구 한국무역보험학회) 2016 무역금융보험연구 Vol.17 No.2

본 연구에서는 1981년 1월부터 2016년 2월까지의 422개월간 시계열 자료를 바탕으로 한국과 일본에서의 무역수지와 주식수익률 상호간의 영향력을 벡터오차수정모형(VECM) 및 다변량 GARCH BEKK모형을 사용하여 분석하였다. 우선 한국의 무역수지증가율과 주식수익률, 그리고 일본의 무역수지증가율과 주식수익률 등 4가지 시계열변수들에 대한 Granger 인과관계 분석결과는 한국의 무역수지증가율과 주식수익률이 상호 영향을 미치고 한국의 주가가 일본의 주가에, 일본의 주가가 일본의 무역수지에, 그리고 일본의 무역수지가 한국의 무역수지에 영향을 미치는 것으로 확인되었다. 4변수 상호간의 공적분 검정에서는 모두 1% 유의수준에서 공적분이 존재하는 것으로 나타남으로써 VECM과 다변량 GARCH BEKK 모형을 통한 분석을 행하였다. VECM 회귀분석에서는 한국의 주가와 일본의 주가 상호간에, 그리고 한국의 주가와 무역수지 상호간에 영향력이 확인되었고 10시차까지의 분산분해 분석에서는 한국 주가와 일본 주가가 상호 영향을 미치고 한국의 무역수지는 일본의 무역수지에 영향을 미치고 있음이 나타났다. 다변량 GARCH BEKK의 대칭모형을 통해서는 한국의 무역수지 변화충격이 일본의 무역수지 및 한국과 일본의 주가에 영향을 미치고 일본의 무역수지 변화충격도 한국 및 일본의 주가에 영향을 미치며 한국의 주가충격은 일본의 주가에 영향을 미치는 것으로 나타났다. GARCH BEKK 비대칭모형을 통한 하락충격의 효과는 한국의 무역수지 감소충격이 일본의 무역수지와 주가에 전달되고 일본 주가의 하락충격이 한국의 주가와 무역수지, 그리고 일본의 무역수지에 전달되는 것으로 나타났다. 종합적으로 한국의 주가는 한국의 무역수지 변화로부터 영향을 가장 많이 받고 있으며 한국과 일본의 주가는 상호간에 영향을 미치는 것으로 확인되었다. In this study, mutual spillovers effect among trade balances and stock returns of Korea and Japan are examined from the beginning of 1981 to the February, 2013, using VECM(vector error correction model) and multivariate GARCH BEKK model framework. Major findings are as follows. Primarily, Granger causality test shows that there are mutual interactive impacts between Korean trade balance change rate and Korean stock return and Korean stock return affects Japanese stock return and Japanese stock return affects Japanese trade balance and Japanese trade balance affects Korean trade balance. Secondly, in the VECM(vector error correction model) analysis differences of Korean stock return affect differences of Japanese stock return and vice versa, and differences of Korean trade balance change rate affect differences of Korean stock return and vice versa. Thirdly, in the estimation results of multivariate GARCH(generalized autoregressive conditional heteroscedasticity) BEKK(Baba-Engle-Kraft-Kroner) symmetric model, the shock from Korean trade balance affects positively Japanese trade balance as well as both Korean and Japanese stock returns and also the shock from Japanese trade balance affects positively both Korean and Japanese stock returns. The shock from Korean stock return is shown to affect positively Japanese stock return. In the results of asymmetric forms of above multivariate GARCH BEKK model, the positive shock spillovers from the unexpected sudden decline of Korean trade balance to Japanese trade balance and stock return and positive shock spillovers from the unexpected sudden decline of Japanese stock return to Korean stock return and trade balance as well as to Japanese trade balance are shown to significantly exist. Conclusively, it is confirmed that Korean stock return are quite much affected by the change of Korean trade balance and both Korean and Japanese stock returns affect each other.