An Examination on Asymmetric Volatility of Firm Size Stock Indices

기업규모 주가지수의 비대칭적 변동성에 관한 연구

  • 이민규 (부산대학교 경영연구소) ;
  • 이상구 (부산가톨릭대학교 병원경영학과)
  • Received : 2016.03.25
  • Accepted : 2016.05.23
  • Published : 2016.08.28


The volatility in the stock market responds differently to information types. That is, the asymmetric volatility exists in the stock market which responds more to unexpected negative returns due to bad news than unexpected positive returns due to good news. This paper examines the asymmetric response of the volatility of KOSPI, large-cap, middle-cap, and small-cap indices returns which is announced in Korea exchange (KRX) by using the MA-GJR model and the MA-EGARCH model. According to empirical analyses, it shows that the asymmetric response of volatility exists in all indices regardless of volatility estimation models and the degree of the asymmetric volatility response of the small-cap index returns is greater than that of the large-cap index returns. Moreover, this results also observed robustly during the period of both before and after the global financial crisis.


Asymmetric Volatility;Conditional Volatility;Firm Size;Stock Index;GARCH Model


  1. 감형규, 신용재, 박형중, "한국 주식시장의 산업별 비대칭적 주가변동성에 관한 연구," 기업경영연구, 제14권, 제1호, pp.99-112, 2007.
  2. 김세완, "경기변동을 고려한 주식수익률과 변동성 관계의 변화: 비대칭 GARCH 모형을 이용하여," 금융연구, 제23권, 제2호, pp.1-28, 2009.
  3. 김종호, 정재호, 백성준, "주택 규모에 따른 가격변동성 분석," 한국콘텐츠학회논문지, 제13권, 제7호, pp.432-439, 2013.
  4. 박경인, 배기홍, 조진완, "한국 증권시장의 투자자 유형에 따른 성과분석," 증권학회지, 제35권, 제3호, pp.41-76, 2006.
  5. 옥기율, "주가변동성의 비대칭적 반응에 관한 실증적 연구," 증권학회지, 제21권, pp.295-324, 1997.
  6. 이리나, 이재득, "세계 금융위기 전후의 한국.중국.일본.미국의 주가 변동성의 비대칭성과 레버리지 분석," 국제지역연구, 제18권, 제4호, pp.25-47, 2014.
  7. 이민규, 옥기율, "시장이상현상과 다요인모형: FF모형과 CNZ 모형의 비교," 증권학회지, 제44권, 제5호, pp.855-885, 2015.
  8. 이윤선, "우리나라 주식수익률의 변동성과 정보 비대칭에 관한 실증적 연구: ARCH형태의 모형을 중심으로," 재무관리논총, 제3권, 제2호, pp.157-185, 1996.
  9. 한상일, "원-달러 변동성 및 옵션 모형의 설명력에 대한 고찰," 한국콘텐츠학회논문지, 제13권, 제12호, pp.369-378, 2013.
  10. H. Akaike, "Canonical Correlation Analysis of Time Series and the Use of an Information Criterion," System Identification: Advances and Case Studies, Academic Press, New York and London, 1976.
  11. A. K. Bera and C. M. Jarque, "An Efficient Large-Sample Test for Normality of Observations and Regression Residuals," Australian National University Working Paper in Econometrics, Vol.40, Canberra, 1981.
  12. E. K. Berndt, B. H. Hall, R. E. Hall, and J. A. Hausman, "Estimation and Inference in Nonlinear Structural Models," Annals of Economics and Social Measurement, Vol.3, pp.653-665, 1974.
  13. F. Black, "Studies in Stock Price Volatility Changes," Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, pp.177-181, 1976.
  14. T. Bollerslev, "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, Vol.31, pp.307-327, 1996.
  15. R. F. Engle and V. K. Ng, "Measuring and Testing the Impact of News on Volatility," Journal of Finance, Vol.48, pp.1749-1778, 1993.
  16. K. R. French, and R. Roll, "Stock Return Variances: The Arrival of Information and the Reaction of Traders," Journal of Financial Economics, Vol.17, pp.5-26, 1986.
  17. D. Nelson, "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Vol.59, pp.347-370, 1991.
  18. S. Ross, "Information and Volatility: The Non-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy," Journal of Finance, Vol.44, pp.1-17, 1989.
  19. G. Schwartz, "Estimation the Dimension of a Model," Annals of Statistics, Vol.6, pp.461-464, 1978.