환율변동이 기업규모별 주식수익률에 미치는 변동성 전이효과

• 영문명: Volatility Spillover effects from Changes of Exchange Rate to Stock Returns Based on Firm Size
• 발행기관: 한국무역연구원
• 저자명: 이사영(Sa-Young Lee)
• 간행물 정보: 『무역연구』제9권 제7호, 283~301쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2013.12.30

영문 초록

This paper examines volatility spillovers from foreign exchange rate changes to stock returns based on firm size in the Korean stock market. The results show that coefficients which are used to gauge the effect of past volatility surprise to exchange rate changes on the conditional variance of stock returns are not statistically significant in large firm stocks except for Euro. However the coefficients of spillover effect from foreign exchange rate changes to stock returns in middle firm stocks and small firm stocks are statistically significant for all major currencies. And that the coefficients of spillover effect in middle firms are four times bigger than those in small firms. This results suggest that large firm stocks are little affected by changes of foreign exchange rate, where as middle firm stocks and small firm stocks are affected by changes of foreign exchange rate.

목차

Abstract

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 자료 및 단위근 검정

Ⅳ. 외환율변동을 통한 주가의 예측

Ⅴ. 환율변동이 주식수익률에 미치는 변동성 전이효과

Ⅵ. 결론

참고문헌

키워드

Volatility spillover effect Firm size Foreign exchage rates Stock returns GARCH model