글로벌 주식시장 간의 동적성 추정

This paper was to investigate the dynamic interrelationship among stock markets of the US, Australia and New Zealand using the MS-VAR model and the regime dependent impact response function. Through these models, we were able to identify possible structural changes between the contraction regime and the expansion regime and to understand the responses to the shocks of various stock markets. The results of this study are as follows. First, this study provided strong evidence that there were two different regimes in the three stock markets: the contraction(bear) and the expansion(bull) regime. Second, the MS-VAR model was more appropriate than the simple linear VAR model in modeling the dynamics of the three stock markets. Third, the correlation between the three stock markets was significantly higher in the contraction regime than the expansion regime. Fourth, the response of these three markets to other stock market shocks was stronger and more persistent in the contraction regime than the expansion regime. Fifth, this study showed that the Australian stock market had more influence than the US stock market for the New Zealand stock market and the US stock market was more influential than the New Zealand stock market for the Australian stock market. The Australian stock market had more influence than the New Zealand stock market for the US stock market. Therefore, we can infer that the three stock markets show significantly simultaneous structural changes in the contraction regime, resulting from high volatility incurred to mostly strong shocks including individual inherent shocks respectively through the MS-VAR model and impact response function.