한국 주식시장과 채권시장의 비대칭적 변동성의 존재와 발생 원인

This study examines the existence and causes of the asymmetric volatility in Korean stock and bond markets. Also, whether the parameters including the volatility asymmetric response is stable or not in spite of time period is investigated. Two bond price indexes and two stock price indexes are used. The sample period is from the March 2 of 2003 to the December 30, 2020. Total 3663 daily data are analyzed using the univariate and bivariate EGARCH in mean model framework. The results are as follows. Firstly, the estimation of univariate EGARCH in mean model show the asymmetric volatility is exist only in stock market. Secondly, the estimation of bivariate Koutmos type DCC-EGARCH in mean model confirm the results of univariate model. However, as for the cause of the asymmetric volatility in stock markets, the volatility feedback effect hypothesis seems to be more reasonable. Thirdly, the Nyblom stability test shows the structural breaks in both stock and bond markets. Finally, re-estimation of two sub-periods, volatility asymmetric effects are found in both stock and bond markets. However, the causes of volatility asymmetry in bond market are not clear, while the volatility feedback effect consistently exists in stock market. This study can provide a better understanding of the existence and causes of volatility asymmetry in Korean stock and bond markets. In the future, the consideration of economic fundamentals such as business cycles or key interest rate trends seems to be much needed.