서강대학교

초록/요약

This paper examines the spillover of the volatility between won/dollar FX rate and KOSPI200 index. Daily volatility of won/dollar and KOSPI200 was measured using high-frequency tick-by-tick data. This measurement is more convenient to know volatility distribution. Also, I investigate the effect of foreigner''s stock volume and confirm contemporaneous relation and dynamic relation among three factors. The result of analysis is as follow. First, the realized log standard deviation representing KOSPI200 index and the volatility of won/dollar exchange rate and quantity of foreigners'' trade being adjacent to normal distribution, three variables are all stationary data without unit root. Second, contemporaneous relation has not borne evident relationship in whole term, but volatility of the price index of stocks is found to have an effect on the volatility of exchange rate in period 1 and the volatility of exchange rate is on the volatility of the price index of stocks in period 2. Third, in the dynamic relation derived from Granger causality and impulse response function as well , the result corresponding to the second result was revealed and it is thought that the spontaneous generation of information flow from stock market to foreign exchange market in period 1 is due to the difference between dealing hours of two markets.