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본 연구의 목적은 국내의 주가, 금리 및 환율에 대한 수익률과 변동성의 존재를 파악하고, Full BEKK-MGARCH와 DCC모형을 이용하여 세 변수의 수익률과 변동성간에 대한 관련성을 조사하는데 있다. 본 연구를 요약하면, 첫째, 수익률에서는 1시차의 결과에 따르면, 금융위기전에 채권시장과 외환시장의 정보가 주식시장에만 일방향으로 유의하게 전이되는 것으로 나타났으나, 위기후에는 채권시장과 외환시장의 정보가 주식시장에, 채권시장의 정보가 외환시장에 유의하게 영향을 미치는 것으로 나타났다. 둘째, 변동성에서는 금융위기전에 주식시장과 외환시장, 채권시장과 외환시장간 양방향으로 시장의 잔차충격에 의하여 각 시장의 변동성을 증가시켰고, 금리(환율)의 변동성충격이 주식시장의 변동성을 증가시키는 것으로 나타났다. 위기후에 주식시장과 채권시장, 주식시장과 외환시장, 채권시장과 외환시장간 양방향으로 시장의 잔차충격에 의하여 각 시장의 변동성을 증가시켰고, 주가(환율)의 변동성충격이 채권시장(주식시장)의 변동성을 증가시켰으며, 금리(환율)의 변동성충격이 외환시장(채권시장)의 변동성을 증가시키는 것으로 나타났다. 셋째, 금융위기전에 주식시장과 채권시장간의 상관관계는 존재하였으나, 위기후에는 전혀 나타나지 않았고, 또한 위기전에 주식시장과 외환시장간의 상관관계는 미약하였으나, 위기후에는 더 약화되었고, 위기전에 채권시장과 외환시장간의 상관관계는 미약하였으나, 위기후에는 더 강한 상관간계를 보여 주었다. 결론적으로, 시장간 정보의 전이가 유의하게 존재하며, 글로벌 금융위기로 인하여 국내의 시장간의 관련성이 더욱 밀접하게 강화되고 있음을 발견하였다. 그리고 시장간 상관관계는 금융위기후에는 유의하게 가변적이라는 것을 확인하였다.


The objective of this study is to identify the existence of volatility on stock returns, bond yield rates, and currency rates and to examine the relevance between returns and volatility in three variables by using Full BEKK-MGARCH and DCC model. Summarizing this study, first, according to the 1st time-lag result in the rate of return, the information on bond market and currency market before global financial crisis was transmitted uni-directionally significantly only to stock market. However, after crisis, the information of bond and currency market has significantly affected stock market and also the information of bonk market has influenced on currency market. Second, in volatility, the volatility in each market was increased by residual shock of stock market bi-directionally between stock and currency market and between bond and currency market before financial crisis. The shock of volatility in bond yield rates and currency rates was indicated to increase volatility in stock market. After crisis, the volatility in each market was increased by residual shock of market bi-directionally between stock market and bond market, between stock and currency market and between bond and foreign exchange market. The shock of volatility in stock returns(currency rates) was indicated to increase volatility in bond market(stock market). The shock of volatility in bond yield rates(currency rates) was indicated to increase volatility in currency market(bond market). Third, the correlation didn't exist between stock and bond market before financial crisis, but wasn't shown at all after financial crisis. Also, the correlation was weak between stock and currency market before financial crisis, but was weaker after financial crisis. The correlation was weak between bond and currency market before financial crisis, but was stronger after financial crisis. In conclusion, it was discovered that a significant spillover of information exists between markets and that the relevance gets much stronger between domestic markets. And, the correlation was confirmed to be significantly time-varying after financial crisis.