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- 학술대회자료
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- 2016.7
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이 논문의 연구 히스토리 (2)
2016
Volatility Spillovers across Stock Markets in Northeast Asian Countries
Wan-Min Kim
,
Hakyun Kim
,
Jin-Soo Lee
동북아시아문화학회 국제학술대회 발표자료집
2016.07
학술대회자료
Cointegration Relationship in the Stock Markets among Northeast Asian Countries
Wan-Min Kim
,
Jaejung Lee
,
Tae-Yeong Choi
동북아시아문화학회 국제학술대회 발표자료집
2016.07
학술대회자료
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초록· 키워드
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Since the seminal paper by Engle and Granger (1987), there has been a growing literature on cointegration. In this paper, we aim to examine the cointegration relationship in the stock markets across northeast Asian countries, namely Korea, China and Japan, and USA as a benchmark.
For integration analysis, we use two approaches: Johansen cointegration test (Johansen, 1988, 1991, and the ARDL bound test (Pesaran, et al. 2001). In order to check the stability of time series, we employ the CUSUM and CUSUMSQ tests (Brown, et al. 1975). Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. For financial economists, nonstationarity is synonymous with structural change (Hsieh, 1991, p. 1859).
We use representative stock market indices in four countries: Korea (KOSPI), China (SSECI), Japan (NIKKEI 225), and the United States (S&P 500). KOSPI is obtained from Samsung Securities Co. Ltd, and the others are collected from Yahoo finance (www.finance.yahoo.com). The sample frequency is quarterly, yielding 92 observations. Our data span covers 1993 Q1 through 2015 Q4.
From the unit root tests, all four variables reveal difference-stationary processes, or I(0), leading to the conclusion that they are stationary over time. As a result, we do not have to worry about the problem of spurious (or nonsense) regression.
Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. We can clearly observe the breakpoint for China (SSECI) is the 2<SUP>nd</SUP> quarter in 2006, which is due to the China’s shareholder’s rights reform (April 2005-May 2007).
In order to determine the existence of long-term equilibrium among selected variables, we employ cointegration test (Johansen, 1988, 1991) and ARDL bounds testing approach (Pesaran, et al. 2001). From the ARDL bound tests, we find long-run cointegration relationships among the four stock markets for the period of 1993 Q1-2015 Q4 (entire sample period) and 2006 Q3-2015 Q4 (after the breakpoint to the last quarter). During 1993 Q1-2006 Q2 (from the 1<SUP>st</SUP> quarter to the breakpoint), we find long-run equilibrium relation only between Chinese and Korean stock markets. As we include additional underlying variables, Japan (NIKKEI) or USA (SP500), we can find no cointegration relationships across northeast Asian countries.
For integration analysis, we use two approaches: Johansen cointegration test (Johansen, 1988, 1991, and the ARDL bound test (Pesaran, et al. 2001). In order to check the stability of time series, we employ the CUSUM and CUSUMSQ tests (Brown, et al. 1975). Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. For financial economists, nonstationarity is synonymous with structural change (Hsieh, 1991, p. 1859).
We use representative stock market indices in four countries: Korea (KOSPI), China (SSECI), Japan (NIKKEI 225), and the United States (S&P 500). KOSPI is obtained from Samsung Securities Co. Ltd, and the others are collected from Yahoo finance (www.finance.yahoo.com). The sample frequency is quarterly, yielding 92 observations. Our data span covers 1993 Q1 through 2015 Q4.
From the unit root tests, all four variables reveal difference-stationary processes, or I(0), leading to the conclusion that they are stationary over time. As a result, we do not have to worry about the problem of spurious (or nonsense) regression.
Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. We can clearly observe the breakpoint for China (SSECI) is the 2<SUP>nd</SUP> quarter in 2006, which is due to the China’s shareholder’s rights reform (April 2005-May 2007).
In order to determine the existence of long-term equilibrium among selected variables, we employ cointegration test (Johansen, 1988, 1991) and ARDL bounds testing approach (Pesaran, et al. 2001). From the ARDL bound tests, we find long-run cointegration relationships among the four stock markets for the period of 1993 Q1-2015 Q4 (entire sample period) and 2006 Q3-2015 Q4 (after the breakpoint to the last quarter). During 1993 Q1-2006 Q2 (from the 1<SUP>st</SUP> quarter to the breakpoint), we find long-run equilibrium relation only between Chinese and Korean stock markets. As we include additional underlying variables, Japan (NIKKEI) or USA (SP500), we can find no cointegration relationships across northeast Asian countries.
목차
1. Introduction
2. Empirical Methodology
3. Data and preliminary analysis
4. Empirical results
5. Conclusions
References
Abstract
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