미국과 중화권 주식시장간 변동성에 대한 연구

The purpose of this study is to examine the interrelations between US and the Greater China stock market using VAR and BEKK model. The results of this study were as follows: First, in a multivariate EGARCH model, US showed the strongest average spillover effect among others after crisis. In conditional variance equation, all markets showed very strong volatility spillover effects before crisis, but HK showed the strongest volatility spillover effect during and after crisis. The leverage and asymmetric effect worked in China and HK before crisis, from HK to US during crisis, and only in US after crisis. Second, in a multivariate BEKK model, there were no average spillover effects working in all markets under global financial crisis. But ARCH() and GARCH() model of conditional variance equation demonstrated strong volatility spillover effects in China and HK, and also showed strong two-way volatility spillover effects between HK and US(or China), but strong one-way volatility spillover effects worked from US to China. And it was found that the asymmetric effect worked in US and one-way from HK to China (from US to HK). Therefore, it was concluded that the residual or volatility impact was spilled over to the Greater China region directly or indirectly under the influence of the US financial panic situation after global financial crisis rather than before crisis, so that the interrelations or co-movements on phenomena became further expanded across different regional and national stock markets.