개별 주식 수익률 변동성 과정의 결정 요인

초록

We analyze the determinants of individual stock return volatility process in Korean stock market. Through conducting research on the relationship between factors that explain stock return’s variation and individual volatility process, we investigate which factor determines heterogeneity of individual volatility process. For this analysis, we perform regression of estimated parameters from EGARCH on macroeconomic, fundamental and technical factor exposure of individual firms, following Fama and Macbeth (1973) method. Our findings are following. First, the heterogeneous behavior of individual volatility process is explained by firm’s specific fundamental factor, momentum and historical volatility level. Second, macroeconomic factor has lower explanatory power than other factors. Finally, the asymmetric effect of volatility in firm level is not explained by leverage effect.

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