변동성분해와 조건부 변동성-주식수익률의 관계

This paper studies the statistical characteristics of stock return volatility and the relationship between conditional volatility and stock return by using a disaggregated approach in Korean stock market. We employ the models advanced by Campbell, Lettau, Malkiel, and Xu (2001) and Bekaert, Hodrick, and Zhang (2012) to carry out the disaggregation. Disaggregated volatilities are market, industry, and idiosyncratic volatilities. Main results of this paper are as follows: There is no significant upward or downward time trends in series of disaggregated volatilities, however all volatilities have a significant and strong persistence and a sharply increasing trend at market crash periods. Idiosyncratic volatility has on average a higher value than those of market and industry volatilities, and also has a very high correlation with these volatilities. The relationships between future excess returns and conditional volatilities estimated from autoregressive models are not strong for all cases of the market, industry, and firm levels, however these results are very dependent on the stock market conditions. When we reflect the stock market conditions (by classifying into the up-market and the down-market) into the empirical model, the predictive power of conditional volatility for excess return is very significant and the explanation power of model is sharply increased for all cases. These results mean that the disaggregated approach of stock volatility is important and useful in exploring the relationship between volatility and stock return.