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
오류제보하기
The purpose of this study is to examine interrelations among volatilities in the domestic and international financial markets.
Summarizing this study, first, before financial crisis, Korea-US stock markets adjusted so that each of Korea and US stock market can recover co-integrating relations between two variables partially and in the short run.
The long-term elasticity that the volatility of US stock market influences Korea stock market is 2.1209. In the conditional mean equation, the mean spillover effect was shown, which has influence upon US stock market itself. In the conditional variance equation, ARCH( ) was all existed the strong conditional volatility spillover effect in market itself. GARCH( ) showed strong conditional volatility spillover effect on bi-directional Korea and US stock markets as well as each of Korea and US stock market. Asymmetric effects existed only in each of Korea and US stock market.
Second, after financial crisis, Korea-US stock markets adjusted so that US stock market can recover co-integrating relations between two variables partially and in the short run. The long-term elasticity that the volatility of US stock market influences Korea is 1.0892. In the conditional mean equation, all markets did show the conditional mean spillover effect. In the conditional variance equation, ARCH( ) was all existed the strong conditional volatility spillover effect in market itself. GARCH( ) showed strong conditional volatility spillover effect only on each of Korea and US stock market. Asymmetric effects existed only in US market itself and from US to Korea stock market.
Accordingly, in the face of forecasting that growth axis in international finances will gradually shift to Asia from US in the wake of sub-prime state, which offered a cause for global financial crisis, and that US stature will get weakened owing to the weakening in reliability in US financing system and to the global weak dollar,the asymmetric volatility spillover effects of global financial crisis was confirmed to be continuously transferred.
목차
등록된 정보가 없습니다.
참고문헌 (29)
참고문헌 신청
[학술지(정기간행물
Alaganar V.T. / 2003 / An international study of casuality- in-variance: Interest rate and financial sector returnss / Journal of Economics and Finance 27 : 39 ~ 56
Bhar R. / 2003 / New evidence of linkages among G7 stock markets / Finance Letters 1 : 35 ~ 40
Campbell J.Y. / 2001 / Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk / Journal of Finance 56 : 1 ~ 43
Campbell J.Y. / 2003 / Equity volatility and corporate bond yields / Journal of Finance 58 : 2321 ~ 2349
Alaganar V.T. / 2003 / An international study of casuality- in-variance: Interest rate and financial sector returnss / Journal of Economics and Finance 27 : 39 ~ 56
Bhar R. / 2003 / New evidence of linkages among G7 stock markets / Finance Letters 1 : 35 ~ 40
Campbell J.Y. / 2001 / Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk / Journal of Finance 56 : 1 ~ 43
Campbell J.Y. / 2003 / Equity volatility and corporate bond yields / Journal of Finance 58 : 2321 ~ 2349
이 논문의 저자 정보
최근 본 자료
댓글(0)
0