외부충격 및 외생변수를 고려한 주요국 주가변동성의 비대칭적 반응에 관한 연구

We examine the empirical relationship between macroscopic news and stock volatility laying stress on before and after the U.S. financial crisis. We collect the data over the period 2004∼2009 of the five nations'stock index, Kospi200, S&P500, Nikkei225, SSE Composite, FTSE, and also, WTI returns and exchange rate returns for empirical tests. For the empirical tests of the asymmetric effect of macroscopic news on the stock volatility, this paper uses the modified AR(1)-GARCH(1,1) model and AR(1)-EGARCH(1,1) model which allow good news and bad news to have a different impact on stock volatility. Our test shows that the unexpected negative return - bad news - has more remarkable effect on stock volatility than the unexpected positive one over the period in the five nations' stock market. In addition, our test shows that WTI oil price index returns as exogenous variable have an impact on stock index volatility with enough statistical significance. We also find that exchange rate returns as exogenous variable have an impact on stock volatility with enough statistical significance in Korea, China, Japan except the U.S.. We document that since a bad news might have a very different impact on stock volatility than a good news. Further, it is partially shown that stock index is not a sufficient indicator of the whole economy in that exogenous variables have some meaningful information which is not digested in it.