아시아 외환위기 전후 미국주가와 아시아주가간 동조성과 변동성 전이현상분석

This paper investigates the magnitude of US-Asia stock price co-movements and volatility spillover effects focusing on emerging countries which experienced foreign exchange crisis in 1997. We divide the sample period into three subgroups; pre-crisis, crisis, and post-crisis in order to capture how the behaviors in the financial markets changed before and after the crisis. Thus, we employ TGARCH(1,1) model to take into account the leverage effect. The main empirical results are as follows. First, co-movements and volatility spillover effects come up only in the post-crisis period in case of Korea. Second, in Malaysia the co-movements to US stock market exist for the whole period while volatility spillover effects appear only in the post-crisis. Third, for Thailand, stock market co-movements with the US exist for both pre-crisis and post-crisis, but it disappears during the crisis, while volatility spillover effects does not appear. That is, the magnitude of co-movements and volatility transition effects from the US market depends on specific policies of the corresponding countries.