주요 선진국 및 신흥국 주가지수 변동성의 비대칭성 연구

초록

During the global financial crisis and the COVID-19 crisis, the international financial markets have been characterized by the phenomenon of synchronized fluctuations in financial market price variables, such as the simultaneous decline and rebound of stock prices and currency values of major developed and emerging economies. To further explore the recent phenomenon of synchronized volatility in the international financial markets, this study uses the GJR-GARCH(1,1) model to estimate the conditional variance of major developed and emerging market stock indices to study their main characteristics, focusing on asymmetry. The results show that stock price is statistically significantly asymmetric in most countries due to the leverage effect, and this asymmetry is more pronounced during financial instability such as the global financial crisis and the COVID-19 crisis.

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