• 산학경영연구
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• 제16권
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• pp.43-60
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• 2003

본 연구에서는 French, Schwert, & Stambaugh와 Schwert의 연구에 사용된 방법을 이용하여 한국 증권시장에서 주식수익률의 변동성의 특징을 분석하였다. 본 연구에 사용된 모형은 주식시장의 변동성의 시계열 특성에 대한 보다 조직적 분석을 제공한다. 간단히 말하면, 이 모형들은 일별 수익률로부터 자기회귀 및 계절적 영향을 제거함으로써 예기치 못한 수익률을 추정할 수 있게 한다. 그리고 나서 자기회귀 및 계절적 모형에 예기치 못한 수익률의 절대값을 이용하여 주가변동성을 예측하였다. 분석결과 첫째, 총체적 주식수익률의 움직임에 대한 지속성은 미약하고, 자기회귀모형에 비정상성이 있을 수 있음을 알 수 있었다. 또한, 일별 주가변동성의 움직임이 주식수익률의 움직임보다 훨씬 예측가능하다는 것을 발견하였다. 둘째, 변동성의 증가가 미래 기대수익률을 증가시킨다는 증거는 미약하고, 변동성이 시차 주식수익률과 관계가 있다는 사실을 알 수 있었다.

• 수산경영론집
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• 제46권3호
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• pp.119-127
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• 2015

This study is to analyse the causality and volatility spillover between farming fish species in consumption replacement relation using flatfish(oliver flounder) and rockfish's wholesale market price data from September 2006 to July 2015. For the analysis, VAR(5) model and bivariate asymmetric GARCH-BEKK model are employed. The empirical results of this study are summarized as follows: First, the price volatility of flatfish and rockfish is very large without the trend during the sample period. Second, the correlation coefficient between flatfish and rockfish wholesale markets has positive 0.1059 value. Third, causality relation is unidirectional from rockfish market to flatfish market. Fourth, conditional volatility spillover effect is unidirectional from rockfish market to flatfish market, but asymmetric volatility effect is bidirectional between flatfish and rockfish markets that implies the bad news arising from flatfish wholesale market impact on rockfish market's volatility and the bad news arising from rockfish wholesale market impact on flatfish market's volaltilty. Consequently, based on the thus results, the volatility spillover effect interacts and is bidirectional between flatfish and rockfish wholesale markets.

• Communications for Statistical Applications and Methods
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• 제27권4호
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• pp.487-500
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• 2020

Insurers face increasing demands for cyber liability; entailed in part by a variety of new forms of risk of data breaches. As data breach occurrences develop, our understanding of the volatility in data breach counts has also become important as well as its expected occurrences. Volatility clustering, the tendency of large changes in a random variable to cluster together in time, are frequently observed in many financial asset prices, asset returns, and it is questioned whether the volatility of data breach occurrences are also clustered in time. We now present volatility analysis based on INGARCH models, i.e., integer-valued generalized autoregressive conditional heteroskedasticity time series model for frequency counts due to data breaches. Using the INGARCH(1, 1) model with data breach samples, we show evidence of temporal volatility clustering for data breaches. In addition, we present that the firms' volatilities are correlated between some they belong to and that such a clustering effect remains even after excluding the effect of financial covariates such as the VIX and the stock return of S&P500 that have their own volatility clustering.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.117-126
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• 2020

This paper is aimed to explore the co-movement capital market in Southeast Asia and analysis the correlation of conventional and Islamic Index in the regional and global equity. This research become necessary to represent the risk on the capital market and measure market performance, as investor considers the volatility before investing. The time series daily data use from April 2012 to April 2020 both conventional and Islamic stock index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correlations between those markets by using Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correlation movement. The other output captures that Islamic Index in Indonesian capital market more gradual volatilities than the Composite Index that tends to be low in risk so that investors intend to keep the shares. Generally, the result shows a correlation in each country for conventional and the Islamic index. However, Internationally Indonesia and Malaysia composite and Islamic is low correlated. Regionally Indonesia's indices movement looks to be more correlated and it's similar to Malaysian Capital Market counterparts. In the global market distress condition, the diversification portfolio between Indonesia and Malaysia does not give many benefits.

• 아태비즈니스연구
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• 제12권1호
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• pp.121-134
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• 2021

Purpose - This study examines whether flight-to-liquidity (FTL) explains the dynamic liquidity risk on stock returns, and whether it has a significant influence on determinants the cross-section of stock returns. Design/methodology/approach - This study suggests a new risk factor, dynamic liquidity hedge portfolio (DLP), to reflect the dynamic impact of liquidity risk on stock returns and the Fama-MacBeth 2 stage regression analysis is employed in order to analyze the data. Findings - First, the DLP factor shows more positive and significant beta for the small or illiquidity stocks. Second, the DLP shows a different influence than SMB (size risk factor), HML (value risk factor), NMP (liquidity risk factor), FTVOL (total volatility factor) in determining the cross-section of stock returns. In addition, the DLP has a statistically significant risk premium of around 5%, which is relatively larger than other risk factors. Research implications or Originality - This study has academic value in terms of newly confirming that the DLP factor has a more significant impact on cross-sectional determination of stock returns than other risk factors by proposing a conditional liquidity factor that can explain the FTL phenomenon.

• 국제지역연구
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• 제20권3호
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• pp.123-144
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• 2016

This paper investigates the linkages between returns both in foreign exchange and stock markets, and uncertainties in two markets using daily data for the period of 16 July 2004 to 30 June 2014 in Nepalese economy. Four hypotheses are tested about how uncertainty influences the stock index and exchange rates. From the empirical results, a bivariate EGARCH-M model is the best to explain the volatility in the two markets. There is a negative relationship from the exchange rates return to stock price return. Empirical results do provide strong empirical confirmation that negative effect of stock index uncertainty and positive effect of exchange rates uncertainty on average stock index. GARCH-in-mean variables in AR modeling are significant and shows that there is positive effect of exchange rates uncertainty and negative effect of stock index uncertainty on average exchange rates. Stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainly in the foreign exchange market. The effect of the last period's shock, volatility is more sensitive to its own lagged values.

• 재무관리연구
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• 제26권4호
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• pp.191-234
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• 2009

주식시장에서의 수익률과 변동성 간의 역의 상관관계에 대하여는 이미 1980년대 이후부터 선진국 주식시장을 통해 많이 분석되어 왔다. 이는 예기치 않은 수익률의 음(-) 또는 양(+)의 충격이 변동성에 비대칭적으로 영향을 미치고 특히 음(-)의 충격 국면에서 변동성이 급격히 증가되어 과잉반응이 형성된다는 것으로 귀결된다. 그런데 이렇게 증가된 변동성이 거꾸로 수익률에 지속적인 음(-)의 영향력을 나타낸다고 하는 변동성 반응가설(Volatility Feedback Hypothesis)에 대하여는 아직까지 학계에서 일치된 검정결과를 보이지 못하고 있는 실정이다. 본 연구에서는 이제까지 총체적인 연구가 되지 못하였던 14개 신흥국 주식시장을 대상으로 이러한 변동성반응가설 즉, 변동성의 수익률에 대한 지속적인 음(-)의 영향력 효과가 발견되는지에 대하여 세계공통의 위험요인(Global Risk Factors)과 개별국가 고유의 위험요인(Country-specific Risk Factors)으로 설명변수를 구분한 GJR-GARCH in Mean 모형을 사용하여 심층적인 검정을 시도하였다. 그 결과 신흥국 주식시장에서는 개별국가 고유의 위험요인보다는 세계공통의 위험요인이 보다 중요한 체계적인 설명요인으로 작용한다는 것이 입증되었고 나아가 이러한 위험요인들을 통제한 이후의 시변적 변동성도 수익률에 지속적으로 음(-)의 영향력을 미친다는 변동성 반응가설이 대상 14개국 중 12개국에서 지지되는 것으로 밝혀졌다. 즉, 신흥주식시장의 수익률 하락충격에서 형성된 변동성 증가는 투자자들의 위험 프리미엄 증가로 연결되고 이후 지속적인 수익률 하락압력으로 작용한다는 것이 입증되었다.

• Communications for Statistical Applications and Methods
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• 제21권6호
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• pp.501-512
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• 2014

Stylized facts on asset return are fat-tail, asymmetry, volatility clustering and structure changes. This paper simultaneously captures these characteristics by introducing a multi-regime models: Finite mixture distribution and regime switching GARCH model. Analyzing the daily KOSPI return from $4^{th}$ January 2000 to $30^{th}$ June 2014, we find that a two-component mixture of t distribution is a good candidate to describe the shape of the KOSPI return from unconditional and conditional perspectives. Empirical results suggest that the equality assumption on the shape parameter of t distribution yields better discrimination of heterogeneity component in return data. We report the strong regime-dependent characteristics in volatility dynamics with high persistence and asymmetry by employing a regime switching GJR-GARCH model with t innovation model. Compared to two sub-samples, Pre-Crisis (January 2003 ~ December 2007) and Post-Crisis (January 2010 ~ June 2014), we find that the degree of persistence in the Pre-Crisis is higher than in the Post-Crisis along with a strong asymmetry in the low-volatility (high-volatility) regime during the Pre-Crisis (Post-Crisis).

• 응용통계연구
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• 제36권6호
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• pp.561-571
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• 2023

본 논문에서는 비대칭 변동성을 다루고 있다. 대표적인 비대칭 모형인 분계점-ARCH에서 원점이 영(zero)에서 이동한 모형을 제안하고 있다. 제안된 모형은 변동성의 최소값이 비-영(non-zero)에서 생기는 특수한 구조의 비대칭 모형이며 AIC 등의 모형선택기준과 더불어 모수적-붓스트랩을 통한 예측분포를 이용하여 원점으로부터의 이동량을 결정할 수 있다. 팬데믹 기간의 국내 종합주가지수(KOSPI) 자료 분석을 통해 모형의 응용 절차를 예시하였다.

• 응용통계연구
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• 제28권3호
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• pp.583-592
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• 2015

영-과잉(zero-inflation) 현상은 최근 계수(count) 시계열 분석의 주요토픽으로 다루어지고 있다. 본 논문에서는 영-과잉 계수 시계열의 변동성을 연구하고 있다. 기존의 정수형 모형인 INGARCH(integer valued GRACH) 모형에 조건부 포아송 및 조건부 음이항 분포를 사용하여 변동성에 영-과잉 현상을 추가하였다. 모수 추정 방법으로 EM알고리즘을 사용하였으며 국내 콜레라 발생건수에 적용시켜 보았다.