CAJ | 학술논문

本文首次分析了市场波动和相关的一致性与差异，并进而考察金融危机期间传染的阶段特征。研究表明，危机期间，高波动与高相关具有较高的一致性，其他时期则存在差异；几乎不会出现高波动低相关的情形，但并非总是波动性的增加引致了关联水平的上升，关联水平的上升也可能会先于波动性的增加；危机初期，市场需要对复杂的信息进行不断地识别和过滤，以至于波动机制、相关机制都存在较为频繁的转换；次贷危机、欧洲主权债务危机的传染具有系统性特征。
본문수차분석료시장파동화상관적일치성여차이，병진이고찰금융위궤기간전염적계단특정。연구표명，위궤기간，고파동여고상관구유교고적일치성，기타시기칙존재차이；궤호불회출현고파동저상관적정형，단병비총시파동성적증가인치료관련수평적상승，관련수평적상승야가능회선우파동성적증가；위궤초기，시장수요대복잡적신식진행불단지식별화과려，이지우파동궤제、상관궤제도존재교위빈번적전환；차대위궤、구주주권채무위궤적전염구유계통성특정。
This article uses a model to analyze the consistency and differences between market volatility and correlation, and then investigates the stage character- istics of contagion during financial crisis. We find that high volatility is consistent with high correlation during American subprime mortgage crisis, but not the same for other periods. The regime of high volatility and low correlation has almost not presented in stock markets. However, increase of volatilities will not always result in the increase of correlations~ increase of correlation may emerge before the in- crease of volatility sometimes. Markets need to gradually identify and filter the com- plex information in the early stage of the crisis, which results in the frequent swit- ches in different volatility and correlation regimes. It is necessary for countries to coooerate with each c~ther in the ~＇ri~i~_