신용스프레드와 주식시장간 변동성이전

This study looks at the relationship between credit spread and stock market in Korean market for periods from 2,000 to prior financial crisis in United States in 2007. Review of examining Granger-causality between credit spread variations and stock market returns indicates that credit spread reflecting BBB rated 3 year corporate bonds has influenced equity market more vigorously in advance than that of longer term tenor(5 to 10 year maturity) of corporate bonds does. Whereas in case of credit spreads both type of bonds have features of both GARCH effect and ARCH effect, Korean stock market has GARCH effects only and 2 time series data have shown both larger GARCH effects. Negative relation prevails between credit spread variations and return on equity in bull times and volatility of credit spread influenced volatility of equity market. volatility of equity market including volatility of credit spread has affected return on equities. Henceforth, this study could confirm that credit spread and its trend is very useful in investment decision of stocks, particularly when mapping out asset allocation and investment strategies. Accordingly, business circle shall monitor closely trend of credit spread as well as yield in bonds as part of managing their equity portfolios and risk management.