코스닥시장의 비대칭적 변동성 원인에 관한 연구

Empirical studies suggest that volatility cannot be explained only by changes in fundamentals. Significant amounts of volatility in asset prices come from noise trading of irrational traders. Therefore, observed stock price may be defined as the sum of the portion caused by information arrival, fundamental value, and the portion caused by noise trading, transitory price. This study decomposes the observed stock price into fundamental value and transitory price using Kalman filtering method. An interesting issue of volatility is to investigate the cause of asymmetric volatility. The 'leverage effect' or 'volatility feedback effect' is claimed to be the major cause in existing literature. This paper investigates whether asymmetric volatility is caused by noise trading. To do this, this paper uses GJR model & EGARCH model which allows good news and bad news to have a different impact on volatility. The models are run with observed KOSDAQ 50 Index & fundamental value estimated by Kalman filter. In case of running the models with observed price, bad news have a more remarkable effect on volatility than good news. But in case of doing with fundamental value, bad news do not have a more remarkable effect on volatility than good news. Therefore, the noise trading may be the major cause of asymmetric volatility.