Copula-GARCH 모형 기반으로 한·중·미 주식시장 간 상관관계에 관한 실증연구

Abstract

In 2021, the total US GDP will be 22,940 million dollars, and China's total GDP will be 16,863 million dollars, occupying the first and second places in the world, respectively. As a representative of developed countries in Asia, Korea maintains close relationships with countries around the world in its financial markets. Financial market volatility is increasing as the conflict intensifies due to the Corona crisis and Russia's war with Ukraine. It can be seen that the financial market is in an extreme situation. The fact that the risk transfer effect of the financial market is growing in the current global financial market instability shows the need for research on stock markets in each country. In this study, in order to more clearly study the risk transfer effect of the international stock market, the STAR (Sci-Tech innovation board) stock market, which has the highest volatility, was selected among the Korean, American, and Chinese stock markets. In terms of research methodology, a binary frequency histogram and density function graph of five Copula (Gaussian, t, Clayton, Gumbel, Frank) models were selected to clearly show the structure of the correlation between the three financial markets. Finally, Copula In order to check the fit of the model, the Euclidean distance square method was selected. According to the empirical analysis results, In Panel A, the relationship between the KOSDAQ market and the Nasdaq market at the right end is much stronger than the relationship at the left end. In Panel B, the correlation between CHINEXT and NASDAQ is the strongest among Panels A, B, and C, but the correlation at the tail of the two markets is significantly weaker than that of Panels A and C. In Panel C, there is also a positive (+) correlation between CHINEXT and the KOSDAQ market. The correlation between the tails of the two markets is strongest.