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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Due to the development of IT technology, international stock markets have been experiencing an increasing linkages or interaction with one another as a result of information transmission. In this paper, we have examined stock market linkages between Chinese and Korean stock markets in terms of volatility spillover effect. We also investigated the impact of global financial crisis in 2008 on the volatility spillover using the VAR-bivariate GARCH model. We found that Chinese stock market has a strong influence on the volatility of the Korean stock market. In addition, before the global financial crisis, there is a bi-directional volatility spillover effect between two markets, whereas after the crisis there is an uni-directional volatility spillover effect from the Chinese stock market to the Korean stock market. This finding indicates that the impact of global financial crisis enhances the dominance effect of Chinese stock market over the Korean stock market.
목차
등록된 정보가 없습니다.
참고문헌 (26)
참고문헌 신청
Wang, P. / 2010 / Price and Volatility Spillovers between the Greater China Markets and the Developed Markets of US and Japan / Global Finance Journal 21(3):304~317
이동욱 / 2009 / GARCH 및 GJR-GARCH모형을 이용한 국제자본시장간의 변동성전이효과 -중국, 일본, 한국을 중심으로 / 기업경영연구 16(1):137~148
Beirne, J. / 2010 / Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis / Emerging Market Review 11 (3) : 250 ~ 260
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 (3) : 307 ~ 327
Chakravarty, S. / 1998 / Information Asymmetry, Market Segmentation, and the Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B Shares / Journal of Inte
이동욱 / 2009 / GARCH 및 GJR-GARCH모형을 이용한 국제자본시장간의 변동성전이효과 -중국, 일본, 한국을 중심으로 / 기업경영연구 16(1):137~148
Beirne, J. / 2010 / Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis / Emerging Market Review 11 (3) : 250 ~ 260
Bollerslev, T. / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 (3) : 307 ~ 327
Chakravarty, S. / 1998 / Information Asymmetry, Market Segmentation, and the Pricing of Cross-listed Shares: Theory and Evidence from Chinese A and B Shares / Journal of Inte
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