Management & Information Systems Review (경영과정보연구)

Daehan Academy of Management Information Systems (대한경영정보학회)
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Estimation of Volatility among the Stock Markets in ASIA using MRS-GARCH model

MRS-GARCH를 이용한 아시아 주식시장 간의 변동성 추정

  • Lee, Kyung-Hee (Dept. of Tourism Administration, Kangwon National University) ;
  • Kim, Kyung-Soo (Dept. of Accounting, Kangwon National University)
  • Received : 2019.01.29
  • Accepted : 2019.03.20
  • Published : 2019.03.31
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Abstract

The purpose of this study is to examine whether or not the volatility of the 1997~1998 Asian crisis still affects the monthly stock returns of Korea, Japan, Singapore, Hong Kong and China from 1980 to 2018. This study investigated whether the volatility has already fallen to pre-crisis levels. To illustrate the possible structural changes in the unconditioned variance due to the Asian financial crisis, we use the MRS-GARCH model, which is a regime switching model. The main results of this study were as follows: First, the stock return of each country was weak in the high volatility regime except Japan resulted by the Asian financial crisis from 1997 to 1998 until March 2018, and the Asian stock market has not yet calmed down except for the global financial crisis period of 2007 and 2008. Second, the conditional volatility has been significantly and persistently decreased and eliminated after the Asian financial crisis. Thus, we could be judged that the Asian stock market was not fully recovered(stable) due to the Asian crisis including the capital liberalization high inflation, worsening current account deficit, overseas low interest rates and expansion of credit growth in 1997 and 1998, but the Asian stock market was largely settled down, except for the 2007 and 2008 in Global financial crises. Considering the similarity between the Asian stock markets and the similar correlation of the regime switching, it may be worthwhile to analyze the MRS-GARCH model.

본 연구의 목적은 1980년 1월부터 2018년 3월까지 한국, 일본, 싱가포르, 홍콩 및 중국의 월별 주식수익률 자료를 사용하여 1997년~1998년 아시아 위기의 변동성 급등이 위기 이후의 주식수익률 변동성에 여전히 영향을 미치는지 여부를 조사하였다. 본 연구는 변동성이 이미 금융위기 이전 수준으로 떨어졌는지 여부를 조사하는데 아시아 금융위기로 인한 비조건부 분산의 가능한 구조적 변화를 설명하기 위해 국면전환 모형인 MRS-GARCH 모형을 사용하였다. 본 연구의 주요 결과는 첫째, 1997년~1998년의 아시아 금융위기기간 이후 일본을 제외하고 각 국가별 주식수익률은 고변동성 국면에서 미약하였고, 2007년과 2008년의 글로벌 금융위기기간을 제외하고 아시아 주식시장은 일부분 진정되었다. 둘째, 아시아의 금융위기로 인한 조건부 변동성의 증가는 대폭 감소되었다. 본 연구는 2018년 3월 현재까지 한국, 일본, 싱가포르, 홍콩 및 중국의 주식시장이 1997년~1998년 아시아 금융위기에 의해 발생된 고변동성 국면에 미약하게 존재하고 있음을 발견하였다. 따라서 1997년과 1998년의 자본자유화, 고인플레이션, 경상수지 악화, 해외 저금리 및 신용성장의 확대 등을 포함한 아시아 위기로 인해 아시아의 주식시장은 완전히 회복(안정)되지 않았으나, 2007년과 2008년의 글로벌 금융위기기간을 제외하고 아시아 주식시장은 대부분 진정되었다고 판단할 수 있었다. 아시아 주식시장의 주식수익률간의 유사성과 국면전환의 유사상관관계를 고려할 때, 다변량 국면전환모형(MRS-GARCH)에서 분석하는 것이 유의한 가치가 존재할 수 있다.

Keywords

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