글로벌 금융위기가 아시아 주식 변동성 전이효과에 미치는 영향 분석

This study investigated the volatility spillover effect between China and five Asian stock markets (India, Indonesia, Korea, Philippines and Thailand). In doing it so, this study focused on the volatility styles factor, long memory and examined the impact of Global financial crisis on the volatility correlation using a bivariate FIGARCH-DCC(dynamic conditional correlation) model. The estimated results are as follows. (1) there is strong evidence of long memory in volatilities of Asian stock markets. This evidence indicates that information is immediately not adjusted into price changes. (2) The DCC coefficients suggest that there is strong volatility linkages between the China and five Asian stock markets due to the Chinese economic growth power to neighbor countries. (3) The systematic risk, such as the Global financial crisis increases the correlation between these markets, referring to the increase of market contagion between China and four Asian stock markets. These market contagion lead to weaken the portfolio strategies between China and five Asian stock markets. Thus, policy markers must consider financial cooperation and develop derivative markets to manage the market risk.