기대수익률-변동성의 조건부 관계에 대한 새로운 검증 - 음(-)의 수익률변동과 양(+)의 수익률변동이 미치는 영향과 변동성 분해 - = Negative and Positive Return Shocks and the Inter-temporal Risk-Return Relationship

다국어 초록 (Multilingual Abstract)

In this paper, we take a new approach to the risk-return relationship of stock market returns. First, drawing on previous works that have shown the effects of negative and positive return shocks on conditional volatility are very different each other, we decompose the volatility of stock market into an up-market component and a down-market component according to the source of return shocks. And then we decompose again the up-market volatility/the down-market volatility into a long-run component and a short-run component. We examine the effects of four volatility components (down-market short-run volatility, down-market long-run volatility, up-market short-run volatility, and up-market long-run volatility)on the expected stock market return. We find that the conditional long-run volatility has a significant positive relationship with the stock market return regardless of up-market or down market volatility cases, but the conditional short-run volatility has a negative relationship with the stock market return and its strength depends on market conditions. In the up-market volatility, the relationship between the stock market return and the conditional short-run volatility is more significant than in the down-market volatility.

국문 초록 (Abstract)

본 연구에서는 새로운 검증방법을 이용하여 주식시장의 기대수익률과 변동성간의 조건부관계를 검증하였다. 음(-)의 수익률변동과 양(+)의 수익률변동이 변동성에 미치는 영향이 차별적이라는 기존의 연구결과에 기초하여, 먼저 주식수익률의 변동성을 음의 수익률 충격에 따른 하락변동성과 양의 수익률충격에 따른 상승변동성으로 분해하였다. 이후 상승변동성과 하락변동성을 다시 장기변동성과 단기변동성으로 분해한 후 이들 네 변동성요소와 수익률과의 관계를 검증하였다. 실증분석의 결과는 상승과 하락을 불문하고 장기변동성은 위험프리미엄과 안정적이며 유의적인 정(+)의 관계를 갖는다. 반면에 단기변동성은 위험프리미엄과 음(-)의 관계를 가지나 그 강도는 상승변동성의 경우 보다 유의적이다. 이는 장기변동성이 위험프리미엄과 갖는 관계는 시장상황에 관계없이 매우 안정적이라는 것을 말해주는 것이며, 기존의 선행연구에서 보인 기대수익률-변동성의 음의 관계는 일시적인 영향을 미치는 단기변동성의 영향이 표출된 결과임을 말해주는 것이다. 또 양의 수익률변동에 따른 상승변동성이 하락변동성에 비해 기대수익률과 강한 관계를 가짐을 말해준다.

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