개인구독
소속 기관이 없으신 경우, 개인 정기구독을 하시면 저렴하게
논문을 무제한 열람 이용할 수 있어요.
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.
이용수
초록· 키워드
오류제보하기
This paper investigates the impact of global economic crisis on the stock markets of East Asian and Eastern European countries. Specifically, this paper analyzes stock markets of five countries in the Eastern European region (i.e., Russia, Poland, Czech, Hungary, and Bulgaria) and five East Asian countries (i.e., Korea, Japan, China, Hong Kong, and Taiwan) using their daily rate of returns on the market indices for the period from September 17, 2007 to March 12, 2010. Utilizing the technique of correlation analysis and extended GARCH (generalized autoregressive conditional heteroskedastic) model as the method of investigation, this paper try to investigate whether the global economic crisis has an impact on the linkages between the stock markets of East Asian and Eastern European countries and their dependence structure to the U.S. equity market. This paper finds that the global economic crisis has a significant impact on the stock market patterns of Eastern European and East Asian markets. However, Eastern European markets were more severely affected by the global financial crisis as compared with the East Asian markets. We observe that East Asian markets show higher correlation with the U.S. market as compared with Eastern European markets while the level of inter‐dependence across the markets within the region is not significantly different between Eastern European and East Asian countries. We also find that for the entire sample period the U.S. influence on the East Asian markets is more significant than that on the stock markets of Eastern European countries. This result confirms the association between the degree of dependence of equity markets and the economic linkages.
목차
등록된 정보가 없습니다.
참고문헌 (9)
참고문헌 신청
Arshanapalli, B / 1993 / International Stock Market Linkages: Evidence from the Pre? and Post?October 1987 Period / Journal of Banking and Finance 17
Becker, K. G. / 1990 / The international Relation Between the U.S. and the Japanese Markets / Journal of Finance 45
Bollerslev, T / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31
Engle, R / 1982 / Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation / Econometrica 50
Eun, C. S / 1989 / International Transmission of Stock Market Movements / Journal of Financial and Quantitative Analysis 24
Becker, K. G. / 1990 / The international Relation Between the U.S. and the Japanese Markets / Journal of Finance 45
Bollerslev, T / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31
Engle, R / 1982 / Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation / Econometrica 50
Eun, C. S / 1989 / International Transmission of Stock Market Movements / Journal of Financial and Quantitative Analysis 24
이 논문의 저자 정보
최근 본 자료
댓글(0)
0