한국과 일본 시장에서 주가지수, 국가 CDS 스프레드 및변동성지수 간의 선·후행 관계

This study investigates the lead-lag relationships among stock index, sovereign CDS spread, and volatility index in Korean and Japanese markets. The methodologies we used for clarifying the links among variables include Granger-causality test, the impulse response analysis and the variance decomposition analysis based on vector autoregressive model. In order to expand the research scope and overcome the limitation of previous researches that have focused on the lead-lag linkages only in the ordinary economic environment, our research takes into consideration the distinctive role of financial crisis by splitting the aggregate time horizon into three sub-periods. Our main finding is that lead-lag relationships are more pronounced during financial crisis. The presumable reason would be the speed of transmitting information as well as the market inefficiency during the crisis. Put it differently, in inefficient markets where it is hard for any information to be reflected as fast as possible, one variable can have a predictive power for another variable. On the contrary, any lead-lag relationship between those three variables is not found in efficient markets where it is allowed for any news to be simultaneously transmitted to every markets. The empirical results exhibit the consistency of links among three variables both in the Korean and Japanese markets.