코로나19가 자본시장의 통합도에 미치는 영향에 대한 연구: 한국과 중국의 사례를 중심으로 = The Effect of COVID-19 Pandemic on Stock Market Integration: The Case of Korea and China

다국어 초록 (Multilingual Abstract)

In this study, we employ DCC-MGARCH (1, 1) model to investigate the effect of COVID-19 pandemic on the stock market integration between Korea and China. For this purpose, we analyze daily return series of KOSPI and Shanghai Stock Exchange Indices for the period between January 2000 and September 2020. The main findings are as follow. First, the volatility persistence and asymmetric volatility existed in both stock markets of Korea and China in the pre-COVID19 era.
However, they disappeared after the onset of the COVID-19 crisis, implying the COVID-19 pandemic situation increases the stock market efficiency. Second, the price spillover effects on both stock markets did not exist in the pre-COVID19 era. In addition, during the CORONA-19 period, there was a significant price spillover effect from Korean stock market to Chinese stock market. Finally, volatility spillover effects did not exist during the CORONA-19 period. The empirical evidences in this paper suggest that CORONA-19 simultaneously affects the capital market efficiency and integration. In particular, CORONA-19’s effect on the capital market integration is different from that of the other macro shocks caused by such as financial crisis or the other epidemic such as SARS. On one hand, the COVID-19 intensifies the market integration due to a quantitative easing monetary policy of each country in response to COVID-19 pandemic crisis as we can see in the presence of price spillover effect. With respect to volatility spillovers, the COVID-19 attenuates the level of market integration as it causes an economic shutdown and a trade and travel lockdown

국문 초록 (Abstract)

본 연구는 KOSPI 및 상해종합주가지수 수익률 자료를 이용하여 코로나19가 한-중 자본시장 통합도에미친 영향을 분석하였다. 분석 결과 코로나19 발생 이전에 존재하지 않았던 한국 주식시장에서 중국주식시장으로의 가격이전효과가 코로나19 발생이후 존재하고 있음을 발견하였고, 코로나19 발생 이전존재하였던 한국 주식시장으로부터 중국 주식시장으로의 변동성이전효과는 코로나19 발생 이후존재하지 않는 혼재된 이전효과를 발견하였다. 이상의 결과는 금융위기가 자본시장 통합도에 미치는영향을 분석한 기존의 연구결과와는 달리, 전염병으로 인한 경제적 충격은 자본시장 통합도에 변동성과가격에 각각 차별적으로 영향을 미치는 것을 의미한다. 즉 가격이전효과에서 나타난 것처럼 코로나19 이후 양국에서 채택한 비슷한 유동성 확대정책으로 인해 자본시장의 반응이 비슷하게 나타나 자본시장의통합도가 강화된 측면이 있지만, 변동성이전효과의 결과처럼 코로나19로 인한 국가간 물적, 인적 교류의단절이 자본시장 통합도를 약화시킨 측면도 동시에 존재한다는 것이다. 이러한 결과는 코로나19가자본시장간 통합도에 미치는 영향이 기존의 금융위기와는 달리 다양하고 복잡한 양상으로 전개되고있다는 점을 시사하는 결과로 해석된다.

참고문헌 (Reference)

• 1 정진호, "한국과 중국자본시장 간 동태적 상관관계와 통합도에 관한 연구" 한국재무관리학회 29 (29): 107-129, 2012
• 2 정진호, "한국, 중국, 일본, 미국 주식시장의 변동성 이전과 상관관계 변화에 관한 비교 연구" 한국금융공학회 11 (11): 1-16, 2012
• 3 고희운, "아시아 - 퍼시픽 주식시장 수익률과 변동성 전이효과 분석" 한국재무관리학회 33 (33): 171-195, 2016
• 4 김경원, "글로벌 금융위기 전후 미국과 중국주식시장이 한국주식시장에 미치는 정보전이 효과 비교" 한국국제경영학회 21 (21): 61-80, 2010
• 5 장근혁, "국내외 요인의 국내 주식시장에 대한 영향도 분석" 자본시장연구원 2020
• 6 강상훈, "Volatility Spillover Effect between Chinese and Korean Stock Markets" 한국금융공학회 10 (10): 161-177, 2011
• 7 Daal, E., "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets" 31 (31): 2751-2769, 2007
• 8 Jacobsen, B., "Volatility Clustering in Monthly Stock Returns" 10 (10): 479-503, 2003
• 9 World Trade Organization, "Trade Falls Steeply in First Half of 2020"
• 10 Longstaff, F., "The Subprice Credit Crisis and Contagion in Financial Markets" 97 (97): 436-450, 2010
• 11 Celik, S., "The More Contagion Effect on Emerging Markets : The Evidence of DCC-GARCH Model" 29 (29): 1946-1959, 2012
• 12 Moshirian, F., "The Global Financial Crisis and the Evolution of Markets, Institutions and Regulation" 35 (35): 502-511, 2011
• 13 Bekaert, G., "The Global Crisis and Equity Market Contagion" 69 (69): 2597-2649, 2014
• 14 Igan, D., "The Disconnect between Financial Markets and the Real Economy" IMF 2020
• 15 Saint-Paul, G., "Technological Choice, Financial Markets and Economic Development" 36 (36): 763-781, 1992
• 16 Jung, R., "Structural Breaks in Volatility Spillovers between International Financial Markets : Contagion or Mere Interdependence?" 47 : 331-342, 2014
• 17 Levine, R., "Stock Markets, Growth, and Tax Policy" 46 (46): 1445-1465, 1991
• 18 Corsetti, G., "Some Contagion, Some Interdependence : More Pitfalls in Tests of Financial Contagion" 24 (24): 1177-1199, 2005
• 19 Glosten, L., "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks" 48 (48): 1779-1801, 1993
• 20 Bekaert, G., "On the Global Financial Market Integration “Swoosh” and the Trilemma" 94 : 227-245, 2019
• 21 Forbes, K., "No Contagion, Only Interdependence : Measuring Stock Market Comovements" 57 (57): 2223-2261, 2002
• 22 Malmendier, U., "Investor Experiences and Financial Market Dynamics" 136 (136): 597-622, 2020
• 23 Anand, A., "Institutional Trading and Stock Resiliency : Evidence from the 2007-2009 Financial Crisis" 108 (108): 773-797, 2013
• 24 Hoffmann, A., "Individual Investor Perceptions and Behavior During the Financial Crisis" 37 (37): 60-74, 2013
• 25 Pukthuanthong, K., "Global Market Integration : An Alternative Measure and Its Application" 94 (94): 214-232, 2009
• 26 Dimitriou, D., "Global Financial Crisis and Emerging Stock Market Contagion : A Multivariate FIAPARCH-DCC Approach" 30 : 46-56, 2013
• 27 Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity" 31 (31): 307-327, 1986
• 28 Pagano, M., "Financial Markets and Growth : An Overview" 37 (37): 613-622, 1993
• 29 Barari, M., "Equity Market Integration in Latin America : A Time-Varying Integration Score Analysis" 13 (13): 649-668, 2004
• 30 Engle, R., "Dynamic Conditional Correlation : A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models" 20 (20): 339-350, 2002
• 31 Chen, M., "Did the SARS Epidemic Weaken the Integration of Asian Stock Markets?" 31 (31): 908-926, 2018
• 32 Engle, R., "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation" 987-1007, 1982
• 33 Chiang, T., "Asymmetric Return and Volatility Responses to Composite News from Stock Markets" 11 (11): 179-210, 2007
• 34 Lee, G., "An Investigation of Global and Regional Integration of ASEAN Economic Community Stock Market : Dynamic Risk Decomposition Approach" 52 (52): 2069-2086, 2016
• 35 Akdogan, H., "A Suggested Approach to Country Selection in International Portfolio Diversification" 23 (23): 33-39, 1996