방한하는 외래관광객간 변동성의 동조화에 대한 연구

초록

In this study, we examine the impact of changes in the market that model the volatility ofinbound foreign tourists in Korea as well as what effect these changes have on other markets. Volatility of inbound foreign tourist arrivals was identified through ARFIMA, EGARCH, VARand BEKK models. Findings revealed that after the financial crisis, the influence of its own in Korea was thelargest in the conditional mean equation of the multivariate EGARCH model. The largestmean spillover effects from Korea to Japan were shown and in the conditional varianceequation, the own volatility spillover effects were present in Korea and the US. Moreover, weshowed the largest volatility of the spillover effects from the US to China. In addition,leverage and asymmetric effects existed between the US and Korea, and between Korea andChina. Korea had the highest asymmetry from Korea to Japan. Other findings showed thatafter the financial crisis, in the conditional mean equation of the multivariate VAR model, themean spillover effects were almost present. In the conditional variance equation of themultivariate BEKK model, there were indicators of strong volatility spillover effects of touristarrivals from their own country, and from Japan to the US. Coefficients of GARCH showed the strong volatility spillover effects through the tourist arrivals. Asymmetric effects existedbetween China and Korea, from the US(Japan) to Korea, and from the US to China. Although the research methods and periods of tourists arrivals were different, the residualimpact of changes or shock of the volatility on inbound foreign tourists in Korea affected thevolatility of other markets and thus, co-movements of volatility were confirmed.

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