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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This paper empirically investigated the shock and volatility spillover effects of the CDS, stock, and FX markets inclusive of option markets in Korea over the period 2006-2012. Specifically, we employ a trivariate GARCH model to estimate simultaneously the mean and conditional variance.
First, we found the volatility of stock market is more persistent than that of other markets, and there was most significant volatility transmission between stock and FX markets under investigation. Second, CDS market is indirectly more affected by 3M-implied volatility from KOSPI index option market than from FX option market.
This study contributes to find that the high liquidity of stock market and relatively loose regulations of FX market in Korea have responded promptly and easily to the dollar demand of European and US financial institutions like automatic transfer machine during the global financial crisis, then the KOSPI index option and sovereign CDS show the bi-directional effects to each other. Therefore, the bi-directional volatility spillover effects between stock and FX markets are a signal of dollar exit, and those between CDS and stock index option markets are a signal of sovereign risk caused by dollar outflow from Korean financial markets.
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참고문헌 (31)
참고문헌 신청
Norden L. / 2009 / The Co-Movement of Credit Default Swap, Bond and Stock Markets: An Empirical Analysis / European Financial Management 15:529~562
Pagan, A. / 1984 / Econometric Issues in the Analysis of Regressions with Generated Regressors / International Economic Review 25:221~247
류두진 / 2012 / 변동성 예측모형의 실증성과에 관한 연구: 미국시장을 중심으로 / 金融工學硏究 11(3):59~82
Wit, D. J. / 2006 / Exploring the CDS-Bond Basis
Alexander, C. / 2008 / Regime Dependent Determinants of Credit Default Swap Spreads / Journal of Banking and Finance 32 : 1008 ~ 1021
Pagan, A. / 1984 / Econometric Issues in the Analysis of Regressions with Generated Regressors / International Economic Review 25:221~247
류두진 / 2012 / 변동성 예측모형의 실증성과에 관한 연구: 미국시장을 중심으로 / 金融工學硏究 11(3):59~82
Wit, D. J. / 2006 / Exploring the CDS-Bond Basis
Alexander, C. / 2008 / Regime Dependent Determinants of Credit Default Swap Spreads / Journal of Banking and Finance 32 : 1008 ~ 1021
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