지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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This study investigates the impact of a disaster in a country on the international stock markets, based on the9․11 terror attacks on the USA in 2001 and the great earthquake in North-east Japan that took place on March11, 2011, by using daily data of eleven national stock markets in various continents for the period from oneyear before the events to three months after the events. Results of the analysis show that international stockmarkets co-moved before the events while co-movement of the markets weakened due to the different reactionsto the events among stock markets under study with the 9․11 terror having more significant impact than thegreat earthquake in Japan. The return and volatility spillover effects of the terror attacks have been found in allinternational stock markets while the contagion effects of the Japan's great earthquake exist in limited stockmarkets under study.
목차
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참고문헌 (17)
참고문헌 신청
Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroscedasticity / Journal of Econometrics 31 : 307 ~ 327
Chen, A. / 2004 / The effects of terrorism on global capital markets / European Journal of Political Economy 20 : 349 ~ 366
Dickey, D. A. / 1979 / Distribution of the Estimators for Autoregerssive Time Series with a Unit Root / Journal of the American Statistical Association 74 : 427 ~ 431
Engle. R. F. / 1982 / Autoregressive conditional heteroscedasticity with estimates of U.K. inflation / Econometrica 50 : 987 ~ 1008
Granger, C. W. / 1969 / Investigating Causal Relations by Econometric Models and Cross-spectral Methods / Econometrica 37 : 424 ~ 438
Chen, A. / 2004 / The effects of terrorism on global capital markets / European Journal of Political Economy 20 : 349 ~ 366
Dickey, D. A. / 1979 / Distribution of the Estimators for Autoregerssive Time Series with a Unit Root / Journal of the American Statistical Association 74 : 427 ~ 431
Engle. R. F. / 1982 / Autoregressive conditional heteroscedasticity with estimates of U.K. inflation / Econometrica 50 : 987 ~ 1008
Granger, C. W. / 1969 / Investigating Causal Relations by Econometric Models and Cross-spectral Methods / Econometrica 37 : 424 ~ 438
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