글로벌 금융불안시 우리나라 주식시장의 취약도 분석

This paper uses CoVaR concept, that is widely used in the systemic risk research, to analyze how much the stock markets of major economies including Korea would falter when global stock prices plunge. In the event of financial instability such as the global financial crisis, the interdependence among major countries’ stock markets tend to deepen. In order to capture such anomalies, varying correlations in the tail risks must be considered. This paper not only uses quantile regression to measure downside CoVaR but also adopts Copula method, that can flexibly capture the interdependence structure in the tails. Using Copula method has an advantage in capturing all altering correlations in the stock price distributions of major countries and also it allows to measure CoVaR at a certain quantile flexibly. It is shown that the estimates of downside CoVaR of developed and emerging countries, mostly G20, measured using Copula method were higher, with no exception, than those measured using quantile regression. This is attributed to quantile regression’s relative underestimation of CoVaR as it only considers a constant correlation at a given quantile while Copula method captures varying correlation as it goes to extreme tail. The empirical results also demonstrated that Korea had a higher-than-average stock synchronicity among the 20 countries, which indicates that the Korean stock market is relatively more vulnerable to global stock price shocks than other countries. In particular, the Korean stock market was sensitive to the shocks from Japan and U.S., recording high levels in both comovement and contagion effects of the stock prices. Finally, it was also worthwhile to note that the CoVaR estimates among Asian countries and among developed countries were high respectively, indicating significant interdependence of stock price fluctuations within such regions. Again, the results were more evident with the CoVaR estimated by Copula method than the CoVaR estimated by quantile regression. It is expected that the analysis presented in this paper can be used as one of the measures to assess the relative vulnerability of stock markets to external shocks. Nevertheless, further empirical studies and more rigorous estimation may be required to validate our methodology in order for this to act as a more useful indicator. Also, research on the time-varying CoVaR may be desired to examine the level of vulnerability of Korean stock market in future studies.