글로벌 충격 국면에서 금융시장 간 동태적연결성 추정

초록

[Research Purpose] The purpose of this study is to investigate the spillover effects of returns and volatility between the crude oil market and the stock market during the global shock period triggered by the COVID-19 pandemic in 2020. In particular, this study aims to examine the dynamic connectedness and contagion effects generated by financial market uncertainty arising from the pandemic from both short-term and long-term perspectives. [Research Method] This study employed two connectedness analysis approaches. First, the time-domain connectedness framework proposed by Diebold and Yilmaz(2012) was applied. Second, the frequency-domain dynamic connectedness methodology developed by Barunik and Krehlik(2018) was utilized to separately analyze short-term and long-term spillover effects. [Research Results] The empirical findings reveal that return spillover effects primarily occurred in the short term, whereas volatility spillover effects were more pronounced in the long term. The results indicate that the COVID-19 shock generated unprecedented financial market risks, including a dramatic collapse in international oil prices and the triggering of four circuit breakers in the U.S. stock market, resulting in substantial losses for investors within a short period. Moreover, the impact of COVID-19 on the volatility of both the crude oil market and the stock market was found to be greater than that observed during the 2008 global financial crisis, and its effects appear to persist over time. Additionally, the pandemic shock was confirmed to have generated significant financial market uncertainty in both the short run and the long run. [Implications of the Study] This study holds academic significance in that it comprehensively identifies the risk transmission structure and dynamic connectedness among financial markets during a global crisis such as the COVID-19 pandemic. In addition, the findings provide valuable insights for investors and portfolio managers in establishing effective risk management and hedging strategies, while also offering important policy implications for policymakers seeking to stabilize financial markets and formulate economic recovery strategies. In particular, the study highlights the necessity of policy responses that take into account the differing characteristics of short-term and long-term shocks, thereby offering meaningful practical implications.

키워드