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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.1
- 수록면
- 133 - 157 (25page)
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We examine the predictive power of the financial and macroeconomic variable for forecasting aggregate stock market returns on Korean, UK, and US equity portfolio to study the integration of long-term capital markets in these three countries. Short rates strongly predict returns in Korea, UK and US. Dividend yields help to predict stock returns in US. Results indicate that short rates together with dividend yields have some predictive power on the stock market. Nevertheless, explanatory power of the variables remains very weak. Those tend to bee consist with the efficient market hypothesis.
In addition, US related variables help to predict Korean and UK stock returns. UK related variables help to predict US stock market returns, either. The movements in the Korean stock market do not help to predict UK or US stock market. The two markets show some co-movements in the short run while Korean market is rather independent of foreign markets. There are some evidences of common movement in expected market returns among the three countries and of long-run equilibrium relationships through error correction. Those are suggestive of integration of capital markets in the long horizon. Those relationships are more pronounced in 2000s, indicating that the speed of adjustments toward long-run equilibrium is accelerated recently.
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참고문헌 (28)
참고문헌 신청
Amihud, Y / 2004 / Predictive Regressions: A Reduced-bias Estimation Method / Journal of Financial and Quantitative Analysis 39 (4) : 813 ~ 841
Ang, A / 2007 / Stock Return Predictability: Is it There? / Review of Financial Studies 20 (3) : 651 ~ 707
Bekaert, G / 1990 / Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets / Northwestern University
Campbell, J. Y / 1988 / Smart Money, Noise Trading, and Stock Price Behavior
Campbell, J. Y / 1988 / Stock Prices,Earnings and Expected Dividends / Journal of Finance 43 (3) : 661 ~ 676
Ang, A / 2007 / Stock Return Predictability: Is it There? / Review of Financial Studies 20 (3) : 651 ~ 707
Bekaert, G / 1990 / Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets / Northwestern University
Campbell, J. Y / 1988 / Smart Money, Noise Trading, and Stock Price Behavior
Campbell, J. Y / 1988 / Stock Prices,Earnings and Expected Dividends / Journal of Finance 43 (3) : 661 ~ 676
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