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 is to examine the relevance of volatility in global stock markets between developed countries and emerging countries.
The findings were summarized as follows. First, the unit roots were present in unit root tests. And China(Japan) after(before) the crisis showed the long-term memory in the ARFIMA model and a long-run equilibrium relationship. Second, after the global financial crisis, US had the largest influence in the conditional mean equation of a multivariate EGARCH-M model and it showed the maximum mean spillover effects from US to China and were followed by Korea to US and US to Korea. The expected rate and conditional volatility of return showed the highly positive relevance in India, Korea, and Japan. In the conditional variance equation, the size effects of Japan were the largest and was followed by China and Korea. There were the largest spillover effects of the conditional volatility from German to Korea and were followed by German to China and Japan to India. The leverage and asymmetric effects existed in own market of Taiwan and the leverage effects had the highest from India to Taiwan and the asymmetric effects were also present in the order of Japan to Taiwan, UK to China. The asymmetry was increased by about 1.703 times from India to Taiwan and followed by Japan to Taiwan, domestic market of Taiwan, UK to China. The volatility persistence of UK had the highest and was followed by German and India. Third, the cointegration relationship from VEC model showed that stock market in India, US and Japan were adjusted to restore partially in the short term respectively.
Therefore, the spillover, leverage and asymmetric effects of global volatility were present between stock market of developed countries and emerging economies in this study and after the global financial crisis, the relationship among stock market was confirmed to be expanded more closely.
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참고문헌 (29)
참고문헌 신청
Abbas V. / 2008 / Dynamic linkages between Thai and international stock markets / Journal of Economics Studies 35 : 425 ~ 441
Aggarwal R. / 2003 / Dynamics of equity market integration in Europe / Journal of Economic Literature 4 : 1 ~ 25
Asimakopoulos I. / 2002 / Interdependence between the US and major European equity markets: evidence from spectral analysis / Applied Financial Economics 10 : 41 ~ 47
Bollerslev T. / 1988 / A capital asset pricing model with time varying covariance / Journal of Political Economy 96 : 116 ~ 131
Bollerslev T. / 1992 / ARCH modeling in finance / Journal of Econometrics 52 : 5 ~ 59
Aggarwal R. / 2003 / Dynamics of equity market integration in Europe / Journal of Economic Literature 4 : 1 ~ 25
Asimakopoulos I. / 2002 / Interdependence between the US and major European equity markets: evidence from spectral analysis / Applied Financial Economics 10 : 41 ~ 47
Bollerslev T. / 1988 / A capital asset pricing model with time varying covariance / Journal of Political Economy 96 : 116 ~ 131
Bollerslev T. / 1992 / ARCH modeling in finance / Journal of Econometrics 52 : 5 ~ 59
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