금융위기와 아시아 주식시장간의 비대칭적 변동성 전이효과 분석

This paper investigates the return and volatility spillovers across five Asian stock markets, namely, China, Japan, Korea, Singapore and Taiwan, by employing the spillover index of Diehold and Yilmaz (2002). In addition, we extend spillovers with asymmetric volatility characteristics across these stock markets. The empirical results of this study can be summarized as follows. First, both the total return and volatility spillover indices reveals strong dependence among these stock markets and the degrees of these spillvers are changed over time. In particular, the recent financial crises, such as the 2008-2009 global financial crisis and the 2010-2012 European debt crisis, intensify the degrees of spillovers across five Asian stock markets. Second, we find strong evidence of asymmetric volatility spillovers, indicating that the magnitude of spillovers from bad news is much greater than that of spillovers from good news in these stock markets. Third, we also find that there is bi-directional asymmetric volatility spillovers during the recent financial crises. These findings shed a light on the transmission mechanism of spillovers and the response of asymmetric volatility spillovers during the financial crises.