Detailed Information

Cited 0 time in webofscience Cited 0 time in scopus
Metadata Downloads

금융 위기 시 글로벌 주식시장의 연결성Connectivity in Global Stock Markets during Financial Crisis

Other Titles
Connectivity in Global Stock Markets during Financial Crisis
Authors
안효림김소연김창기
Issue Date
2018
Publisher
위기관리 이론과 실천
Keywords
financial crisis; global stock market; comovement; Granger causality; vector autoregressive model; impulse response; 금융위기; 글로벌 주식시장; Granger 인과성; 벡터자기회귀(VAR)모형; 임펄스 응답
Citation
Crisisonomy, v.14, no.1, pp.193 - 211
Indexed
KCI
Journal Title
Crisisonomy
Volume
14
Number
1
Start Page
193
End Page
211
URI
https://scholar.korea.ac.kr/handle/2021.sw.korea/79850
DOI
10.14251/crisisonomy.2018.14.1.193
ISSN
2466-1198
Abstract
This study analyzes the co-movement and causality of continental and intercontinental stock prices during the times of financial crisis. The co-movement of stock price-earnings ratios in each continent is analyzed and significant increase in co-movement during the times of financial crisis is verified. In addition, time-series data are analyzed by the following methods: unit root time series, co-integration, vector autoregressive (VAR) model, impulse response, forecast error variance decomposition, and Granger causality. The results show a significant increase in Granger causality of intercontinental price-earnings ratios during the times of financial crisis. An intercontinental path of impulse transfer is also identified during financial crises. These analyses can assist in controlling the risks of the international crises and help investors design effective investment strategies.
Files in This Item
There are no files associated with this item.
Appears in
Collections
Korea University Business School > Department of Business Administration > 1. Journal Articles

qrcode

Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.

Related Researcher

Researcher Kim, Chang ki photo

Kim, Chang ki
경영대학 (경영학과)
Read more

Altmetrics

Total Views & Downloads

BROWSE