국내주식시장 수익률 변동성 추정 및 변동성 전이효과: 코로나19, 메르스, 신종플루 기간을 중심으로

In this study, assuming that the volatility of domestic stock market returns will increase during the pandemic (COVID-19, MERS, H1N1) period, the volatility model was estimated and the volatility Spillover effect between other markets (exchange rate market, gold market) and the stock market was also examined. In addition, by comparing the estimated level of conditional variance for each pandemic with conditional variance during the economic crisis (Global Financial Crisis, IMF Crisis), we examined whether the impact of pandemic on volatility was similar or higher than that of the economic crisis. As a result, the COVID-19 period had a greater impact on the volatility of KOSPI and KOSDAQ returns than MERS and H1N1 period, and the volatility was greatly expanded and maintained. In addition, the volatility of the KOSPI and KOSDAQ returns during the COVID-19 period was similar or higher than that of the economic crisis. In other words, the ongoing COVID-19 is a factor that greatly affects the volatility of the domestic stock market return. Therefore, it is necessary to minimize the impact on the domestic stock market by preemptively implementing market stabilization and activation policies during the COVID-19 period, when mutant viruses are spreading and prolonged without ending.