미국 주식 시장과 한국 주식 시장의 위험에 대한 불확실성의 수익률 예측에 대한 연구

This paper investigates the return predictive power of the uncertainty about risk constructed based on VIX and VKOSPI for future excess stock market returns. Baltussen et al. (2014) find that the uncertainty about risk constructed from the implied volatility of at-the-money individual stock options predicts future individual stock returns. This paper focuses on the predictive power of the uncertainty about risk for excess returns in U.S. and Korean stock indices. In this paper, while high uncertainty about risk predicts significantly low future stock market returns in U.S. stock market, the predictive power of the uncertainty about risk is insignificant in Korean stock market. Significant predictive power of the uncertainty about risk in U.S. stock market is consistent with Baltussen et al. (2014). After controlling for the stock return variance, as a proxy for risk, and other uncertainty measures, the patterns of the predictive power in U.S. and Korean stock markets are still sustained. To find the reason for the difference of the predictive power between U.S. and Korean stock markets, this paper analyzes the information flow among the uncertainty measures in each country. As a result, since the difference of the information flow among the uncertainty measures between U.S. and Korean stock markets is insignificant, the lack of the information flow among the uncertainty measures in Korean market is not the cause of the difference in the predictive power across countries.