금융위기 동안 주요 아시아 주식시장 간의 변동성 추정

[Research Purpose] This paper analyzes the volatility spillover effect, interdependence, comovement, and independence among Asian stock markets under both normal and turbulent market conditions, including the 1997 East Asian financial crisis. [Research Method] This paper extends the Markov Switching (MS) model into the Multi-Chain Markov Switching (MCMS) model to allow for asymmetric regime dependencies specific to each stock market, using daily volatility as a proxy for Hong Kong, Korea, Malaysia, Singapore, and Thailand, which are assumed as targets. Based on the range of the stock index and the transition probability structure, statistical hypothesis testing was conducted to understand the relationships involving volatility spillovers, interdependence, and comovement among these stock markets. [Research Results] This paper demonstrates that Hong Kong plays a central role in transmitting volatility to other markets, exhibiting spillover effects in Korea and Thailand, interdependence with Malaysia, and comovement with Singapore. The MCMS model provides superior explanatory power compared to traditional MS models, effectively capturing the asymmetry and lagged dependencies in stock market relationships. [Implications of the Study] This paper offers actionable insights for policymakers aiming to mitigate systemic risks, portfolio managers pursuing optimal diversification strategies, and researchers striving to enhance theoretical and empirical modeling of financial market interdependence during periods of stability and financial crises. The importance of understanding regime-dependent volatility dynamics is highlighted as a critical step in achieving these objectives.