미국과 동아시아 주식시장의 상관관계 및 변동성 파급효과 분석

초록

This study analyzes the correlation and volatility spillover effects between the U.S. and East Asian stock markets (South Korea, China, Japan, Taiwan, and Hong Kong) from January 2000 to July 2024. The main findings are as follows. First, the correlation between the U.S. and East Asian stock markets fluctuates over time, with increased synchronization observed during periods of economic crises, such as the 2008–2009 global financial crisis and the COVID-19 pandemic in 2020. Additionally, effective standard deviation and effective correlation were identified as useful indicators for understanding overall market volatility and integration. Second, the analysis of volatility spillover effects revealed that volatility in the U.S. stock market significantly influences the volatility of East Asian stock markets. Notably, negative volatility spillovers from the U.S. stock market have a greater impact than positive ones, indicating an asymmetric pattern in volatility spillover effects.

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