본 연구는 우리나라 채권시장을 대상으로 수익률의 비대칭적 변동성의 존재 여부와 수익률의 비대칭적 변화에 관한 중요한 두 이론인 레버리지효과(leverage effect)와 변동성환류효과(volatility feedback effect)를 실증적으로 검증하였다. 실증연구의 결과는 채권시장에도 주식시장에서 발견되는 것과 같은 리스크의 비대칭적 반응현상이 존재함을 확인해 주었다. 이러한 비대칭적 변동성의 원인으로 레버리지효과와 변동성환류효과를 개별적으로 검증한 결과 채권시장의 비대칭적 변동성은 변동성환류효과에 의한 것임을 확인할 수 있었다. 한편 채권시장과 주식시장간의 변동성이 상호 전이되는 변동성 전이(volatlity spillover)현상은 발견되지 않았다. 그러나 채권시장의 비대칭적 변동성은 주식시장의 변동성을 고려한 후에는 관찰되지 않고 있어 채권시장의 움직임이 주식시장의 움직임에 의해 영향을 받고 있음을 발견하였다. 또한 투자자의 거래행태가 비대칭적 변동성의 원인이 될 수 있을 가능성을 시사하는 증거들이 발견되어 투자주체별로 구분한 검증의 필요성이 제기되고 있다.
This study is concerned with one of the well known phenomena about asymmetric volatility in financial asset's return. Unlike the previous studies which mainly focused on the asymmetric volatility of stock returns, we investigated the existence of asymmetric volatility in Korean bond market. Our study is the first of its kind to examine the presence of asymmetric volatility of bond returns in Korea. In particular, we investigated two prominent theories regarding asymmetric volatility; the leverage effect and the volatility feedback theories. The results of the study are as follows. First, we were able to confirm the existence of asymmetric volatility in Korean bond market. Second, we found the evidence to favor the volatility feedback hypothesis for explaining the asymmetric volatility in bond market. Third, we found no evidence of volatility spillover between stock and bond markets. However, asymmetric volatility disappears when we consider the movement of stock market.
This study is concerned with one of the well known phenomena about asymmetric volatility in financial asset's return. Unlike the previous studies which mainly focused on the asymmetric volatility of stock returns, we investigated the existence of asymmetric volatility in Korean bond market. Our study is the first of its kind to examine the presence of asymmetric volatility of bond returns in Korea. In particular, we investigated two prominent theories regarding asymmetric volatility; the leverage effect and the volatility feedback theories. The results of the study are as follows. First, we were able to confirm the existence of asymmetric volatility in Korean bond market. Second, we found the evidence to favor the volatility feedback hypothesis for explaining the asymmetric volatility in bond market. Third, we found no evidence of volatility spillover between stock and bond markets. However, asymmetric volatility disappears when we consider the movement of stock market.
