지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This paper re-examines whether volatility is asymmetric in the Korean stock market, focusing on how thestylized fact of stock returns is influenced by the currency crisis of 1997. The GJR-GARCH and EGARCHmodels are recursively estimated using only historically available data at each point, that is, the starting pointof the sample period is held fixed at Feb. 1980 and the end point recursively runs from Jan. 1986 through Dec.
2012. The main findings for the returns of the KOSPI composite index are as follows: 1) no evidence ofasymmetric volatility is found when the end point comes before the crisis, 2) strong asymmetric volatility ispresent for the end points between Oct. 1997 and Sep. 1998, the period of the crisis, 3) for the end points atand after Oct. 1998, the degree of asymmetric volatility is weakened slightly. These results imply that thecurrency crisis have had a substantial impact on the asymmetric volatility phenomenon of the Korean stockmarket.
목차
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참고문헌 (32)
참고문헌 신청
Bae, J. / 2007 / Why are stock returns and volatility negatively correlated? / Journal of Empirical Finance 14 : 41 ~ 58
Bekaert, G. / 2000 / Asymmetric volatility and risk in equity markets / Review of Financial Statistics 13 : 1 ~ 42
Black, F. / 1976 / Studies of stock price volatility changes / Proceedings of the Meetings of the American Statistical Association : 177 ~ 181
Bollerslev, T. / 1986 / A conditionally heteroskedastic time series model of security prices and rates of return data / Review of Economics and Statistics 59 : 542 ~ 547
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bekaert, G. / 2000 / Asymmetric volatility and risk in equity markets / Review of Financial Statistics 13 : 1 ~ 42
Black, F. / 1976 / Studies of stock price volatility changes / Proceedings of the Meetings of the American Statistical Association : 177 ~ 181
Bollerslev, T. / 1986 / A conditionally heteroskedastic time series model of security prices and rates of return data / Review of Economics and Statistics 59 : 542 ~ 547
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
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