신흥국의 주가 변동성과 환율 변화율 간의 동적 연계성 추정

[Research Purpose] This paper is to analyze the impact of foreign exchange market volatility on stock market volatility in four emerging markets (Hong Kong, Singapore, Malaysia, Mexico) from January 1990 to August 2024 and investigate the dynamic relationship between stock and foreign exchange markets by dividing periods into stability and turmoil. [Research Method] This paper utilized the Markov Regime-Switching Exponential Generalized Autoregressive Conditional Heteroskedasticity Model (MS-EGARCH), defining two regimes (stable and turbulent) to analyze the dynamic relationship between the markets. It studied the asymmetric effects of exchange rate changes on stock market volatility. [Research Results] First, this paper identified regime-switching behavior with two volatility regimes (high mean-low variance and low mean-high variance). Second, the low mean-high variance regime aligned with major economic events, such as 1997, 2008, and 2020 crises. Third, exchange rate fluctuations play a critical role in the transition between stability and turmoil in stock markets. [Implications of the Study] First, investors can leverage insights into dynamic linkages between markets to develop effective hedging strategies, particularly during emerging market crises. Second, policy makers can enhance financial stability by understanding the volatility spillovers and risk transmission mechanisms between markets. Third, the results can contribute to the evaluation of informational efficiency in emerging stock markets and emphasizes the critical role of foreign exchange market behavior in shaping stock market volatility.