전염병 충격과 아시아 주식시장의 변동성

다국어 초록 (Multilingual Abstract)

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.

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