팬데믹과 전쟁이 자본시장의 통합도에 미치는 영향에 대한 연구 : 한국과 미국의 사례를 중심으로

국문 초록 (Abstract)

세계 경제의 글로벌화로 인해 금융위기와 같은 거시경제적 충격 발생 시 그 충격이 전 세계 주식시장으로 확산되는 위험전이효과가 발생한다. 금융위기는 아니지만 최근 팬데믹, 전쟁과 같은 보건 및 지정학적 위기 또한 세계 경제의 불확실성을 초래하며 금융시장으로의 충격이 급격하게 전이될 가능성이 존재한다. 본 연구는 코로나19 팬 데믹, 러시아-우크라이나 및 이스라엘-하마스 전쟁이 한국과 미국 주식시장의 통합 도에 미치는 영향을 DCC-MGARCH 모형을 적용하여 분석하였다. 분석 결과, 팬데 믹 기간 동안 양국 주식시장의 통합도가 상승한 반면, 전쟁 기간 동안 양국 주식시장 간 통합도는 오히려 하락한 것을 발견하여 지정학적 갈등과 팬데믹은 주식시장의 통합도에 각기 차별적으로 영향을 주고 있음을 확인하였다. 이는 팬데믹 같은 글로벌 위험은 충격 발생 기간 동안 대부분의 국가들이 경제에 미치는 충격을 완화하기 위해 비슷하게 채택한 유동성 확대 정책으로 인해 자본시장의 통합도를 상승시킨 반면, 국지전 같은 지정학적 위험은 이해 당사국이 아닌 경우 주식시장으로 충격이 전이되는 영향이 제한적임을 시사하는 증거로 해석된다. 본 연구는 거시경제 충격이라 할지라도 충격의 성격에 따라 자본시장통합도에 미치는 영향이 차별적으로 존재한다는 실증적 증거를 제시하였다는 데 연구의 의의가 있다. 이러한 결과는 다양한 거시경제 충격에 대한 자본시장의 동태적 반응을 충격의 특성별로 분석함으로써 정부의 거시경제 정책 수립과 투자자들의 포트폴리오 전략수립, 그리고 학문적으로는 해당분야의 이해를 제고하였다는 점에서 연구의 유용성이 있다.

다국어 초록 (Multilingual Abstract)

The globalization of the world economy has facilitated the transmission of risk across stock markets during financial crises. Although not directly financial in nature, macroeconomic uncertainties caused by health and geopolitical crises, such as the recent COVID-19 pandemic and the Russia-Ukraine and Israel-Hamas conflicts, have the potential to trigger shocks that may spill over into global financial markets. In this paper, we investigate the effect of macroeconomic shocks, specifically the COVID-19 pandemic and the Russia-Ukraine and Israel-Hamas wars, on the degree of stock market integration between South Korea and the United States. Previous studies present two opposing perspectives on how these recent shocks may affect global stock market integration. On the one hand, during periods of macroeconomic uncertainty, economic lockdowns or sanctions implemented to mitigate the transmission of shocks may reduce international trade volumes and capital flows, which in turn may weaken stock market linkages. On the other hand, another possibility is that stock market linkages may strengthen independently of the real economy. In the event of a global economic shock, emerging economies such as South Korea tend to implement macroeconomic policies similar to those of the United States to mitigate the impact on the real economy. This policy alignment has the potential to result in enhanced integration of stock markets, irrespective of whether these linkages directly reflect real economic conditions. Therefore, the extent to which stock market linkages are strengthened or weakened in response to macroeconomic shocks is an empirical question that merits attention. Furthermore, the degree of integration may vary depending on the nature of the shock, particularly when the shock manifests in different forms. In order to empirically investigate this issue, the DCC-MGARCH model is applied to the daily log return series of the KOSPI and S&P 500 stock market indices for the period from January 1, 2011 to January 31, 2024. We find that the shocks from the COVID-19 pandemic and geopolitical conflicts do not have uniform effects on stock market integration. In particular, during the COVID-19 pandemic crisis, the Korean stock market exhibited a greater degree of integration with the U.S. stock market than in previous years. However, the degree of stock market integration declined sharply during the Russia-Ukraine war. The results suggest that the simultaneous and multiple shutdowns in numerous countries worldwide during the COVID-19 pandemic, coupled with the implementation of quantitative easing policies to mitigate the impact of shocks, have contributed to an increase in stock market integration. In contrast, geopolitical risks, such as localized wars, appear to result in limited spillovers to stock markets. The results of our study provide valuable insights into the evolution of stock market integration during periods of uncertainty, emphasizing the importance of understanding the dynamic nature of stock market integration. Specifically, we suggest that during macroeconomic crises, both investors and policymakers should tailor their strategies according to the specific nature of the shock in order to diversify risk and optimize potential returns. While global stock market synchronization may potentially limit the efficacy of diversification, particularly during global crises, our findings underscore that the degree of integration between countries can exhibit considerable variability during periods of geopolitical risk. This variability presents opportunities for international diversification, which can assist in risk diversification and expected return enhancement. By taking into account the distinct characteristics of various shocks, policymakers and international investors can more effectively navigate macroeconomic uncertainty and implement more effective strategies for risk management. The significance of this study lies in its contribution of empirical evidence demonstrating that macroeconomic shocks exert differential effects on stock market integration, contingent on the nature of the shock. These findings bear significant ramifications for the formulation of government macroeconomic policy, the strategic portfolio composition of international investors, and the advancement of academic knowledge in this field. The study's analysis of the dynamic response of stock markets to diverse macroeconomic shocks, as influenced by their nature, provides a comprehensive framework for understanding these interactions.

목차 (Table of Contents)

• 요약
• Abstract
• Ⅰ. 서론
• Ⅱ. 선행연구
• 1. 금융위기와 자본시장 통합도에 관한 논문
• 2. 금융위기와 한국과 미국 관련 통합도 논문
• 3. 코로나 충격과 자본시장 통합도
• 4. 전쟁이 통합도에 미치는 영향에 관한 논문
• 5. 전쟁과 팬데믹 그리고 자본시장의 통합도
• Ⅲ. 연구방법론
• Ⅳ. 실증연구
• 1. 한-미 주식시장 간 통합도
• 2. 주식시장 통합도 결정요인
• Ⅴ. 결론
• References