시장정보 도착과 일중 변동성의 상호관계

초록

This study explores the relationship between the arrival of public information and the intraday volatility in the Korean stock market using the GARCH model under the assumption of the existence of conditional heteroskedasticity in the intraday stock return. The number of E-daily news headlines in a certain time interval for the period of 2001~2003 has been used as the proxy for public information, whereas the KOSPI return and the trading volume for the same period have been used for the market activity variables. The addition of news variable in the conditional variance equation in the GARCH model results the increasing effect on the market volatility. But, as the time interval has been increased, the relative impact of public information has decreased the market volatility. It indicates that the market volatility has been affected mainly by the arrival of public news in short term, but the investors have reacted on those news as well as some private information very shortly. Finally, the domestic and international news has separately been tested in that how those news affect the magnitude of the persistence of volatility. It turns out that domestic news has decreased the level of persistence more than the international news, and the relative impact of international news is larger than that of domestic news.

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