À繫¿¬±¸ Á¦ ±Ç È£ (2010³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1705~1737
pp.1705~1737
Financial Risk and Derivative Trading
Daehong T. Jaang Department of Finance Hallym University
This paper re-examines the relation of stock volatility with those of macro-finance variables using data from 1950 to 2009. Unlike the findings in previous studies, some key macroeconomic volatility, in particular, that of industrial production is shown to have significantly positive effects on aggregate stock volatility while evidence of the greater stock return variability in economic downturn is ambiguous. It is argued that those findings are likely to have been caused by omitting variables regarding financial market activities. It is shown that derivative trading, either exchange trading or over the counter trading, significantly positive effects on stock volatility.
Daehong T. Jaang
This paper re-examines the relation of stock volatility with those of macro-finance variables using data from 1950 to 2009. Unlike the findings in previous studies, some key macroeconomic volatility, in particular, that of industrial production is shown to have significantly positive effects on aggregate stock volatility while evidence of the greater stock return variability in economic downturn is ambiguous. It is argued that those findings are likely to have been caused by omitting variables regarding financial market activities. It is shown that derivative trading, either exchange trading or over the counter trading, significantly positive effects on stock volatility.
[ 07327 ] 67-8, Yeouinaru-ro, Yeongdeungpo-gu, Seoul, Korea TEL. +82-2-2003-9921 FAX. +82-2-2003-9979 E-mail. office@korfin.org COPYRIGHT(C) SINCE 1987 KOREAN FINANCE ASSOCIATION. All rights reserved.