아시아 주식수익률의 동조화에 대한 연구 (East Asian Five Stock Market Linkages)

서지정보

· 발행기관 : 대한경영정보학회
· 수록지 정보 : 경영과 정보연구 / 27호 / 131 ~ 147페이지
· 저자명 : 정헌용

초록

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low.
First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia.
Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns.
The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

영어초록

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low.
First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia.
Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns.
The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

참고자료

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