국제 상품선물 시장과 한국 주식시장 간의 꼬리 의존성(tail dependence)에 관한 연구

Commodity futures can be used to reduce the risk of portfolios of stocks, in addition to hedge and speculative purposes, and can be a useful alternative, especially in times of financial market crises or sharp falls in the stock index. In this study, an empirical analysis was conducted on 10 international commodity futures (aluminium, zinc, gas oil, gold, silver, heating oil, lead, natural gas, nickel, crude oil) prices and KOSPI to investigate whether tail dependence exists between the international commodity futures market and the Korean stock market. In particular, wavelet decomposition was applied to determine differences in short, medium, and long-term trends, and an analysis was made to determine whether extreme movements were observed using the DCC Copula GARCH model. The results of the empirical analysis during the sampling period are as follows: First, the correlation coefficient of raw data without the application of the decomposition method was calculated from 0.04 to 0.24 and the linear dependence was low. However, for the decomposed data, it was found that the longer the time horizon (short term → medium term → long term) the correlation increased. Second, analyzing the dependency of tail between the two markets on the decomposed data showed a difference in the strength of dependencies. Gold and silver were tail dependent in the short, medium and long term, but the same phenomenon was observed for crude oil and nickel only in the medium and long term, and aluminium, heating oil and lead could only be identified at certain trends. These results mean that the movement between KOSPI and commodity futures has been strengthened in the extreme market turmoil of the global financial crisis, and may be useful in designing strategies to incorporate the commodity futures into the stock portfolio.