아시아 - 퍼시픽 주식시장 수익률과 변동성 전이효과 분석

The paper investigates the spillover effect across the 14 Asia-pacific equity markets using the spillover index of Diebold and Yilmaz (2002) based on the variance decomposition approach. In addition, this study measures the time-varying spillover index, the direction of spillover, and the magnitude of net spillover index. Our analysis results can be summarized as follows. First, total return and volatility spillovers reveal strong dependence across the Asia-pacific stock markets due to the 2007～2009 global financial crisis. Particularly, three countries (Australia and China) have given a strong influence on other stock markets. Second, spillover index shows time-varying dynamic trends according to major financial crisis. The volatility spillover index is more sensitive to global financial crisis than the return spillover index. Third, the net spillover index indicates bi-directional spillover effect across these equity markets. After the global financial crisis, the Chinese stock market significantly affects other neighbor markets. In summary, the spillover index become an important indicator for forecasting the direction and magnitude of spillover effect to mitigate the market risk during the financial crisis.