Changes of Stock Market Comovement between the US and Northeast Asian Countries After 2000

• 영문명: Changes of Stock Market Comovement between the US and Northeast Asian Countries After 2000
• 발행기관: 한국무역연구원
• 저자명: Il-Hyun Yoon Hong-Youl Kim
• 간행물 정보: 『무역연구』제10권 제2호, 245~266쪽, 전체 21쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.04.30

영문 초록

This study investigates the comovement of stock markets in different countries by examining the existence of common stochastic trends among four Northeast Asian stock markets of Korea, Japan, China and Hong Kong, and the New York Stock Exchange using daily data for the period from January 2000 to December 2012. Making use of DF, ADF and PP unit root tests, VAR analysis, Johansen s cointegration test, impulse response function (IRF) and Granger causality analysis, Empirical test results show no existence of cointegration among stock markets. Findings also indicate that the linkage between the US and Northeast Asian stock markets has weakened after the Asian financial crisis settled. The US stock market return has a reduced impact on the Asian stock market performances after 2000 while Asian stock markets have an increasing influence on the US market. Two-way Granger causality exists between KOSPI and DJIA, Nikkei 225 and DJIA, SSE and Hangseng, and Hangseng and DJIA while KOSPI doses not exhibit any relationship with Nikkei 225 and SSE.

목차

Abstract

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Data and Methodology

Ⅳ. Empirical Findings and Discussion

Ⅴ. Summary and Conclusion

References

키워드

Cointegration Comovements Granger Causality Unit Root Test VAR Estimate