글로벌 금융위기 전후 미국과 중국주식시장이 한국주식시장에 미치는 정보전이 효과 비교

We empirically examine and compare the spillover effects of the US and Chinese stock markets on the Korean stock market from September, 2007 to August, 2009 around the global financial crisis. The standard GARCH model is symmetric in its response to past innovations. Previous empirical studies show GJR-GARCH model is the best at parsimoniously capturing this asymmetric or “leverage” effect. Employing a GJR- GARCH(1,1)-M model, we find the significant spillover effects of the US and Chinese Stock Markets on the Korean stock market not only in the pre-global financial crisis sub-sample period but also in the post-global financial crisis sub-sample period. We also find that the spillover effect of the Chinese stock on the Korean stock market is stronger in the post-global financial crisis sub-sample period than in the pre-global financial crisis sub-sample period. while the spillover effect of the US market on the Korean market is weaker in the post-crisis sub-sample period than in the pre-crisis sub-sample period. There is also strong evidence of bi-directional return spillovers in the post-global financial crisis sub-sample period between two markets. The contemporaneous volatility spillover is unidirectional: there is strong evidence of volatility spillover from the Chinese stock market to the Korean stock market only in the post-global financial crisis sub-sample period. The coefficients of return and volatility spillover effects from the US stock market to the Korean market are much smaller in the post-global financial crisis sub- sample period than in the pre-global financial crisis sub-sample period.