Dynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and KoreaDynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and Korea
- Other Titles
- Dynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and Korea
- Authors
- 정진호
- Issue Date
- 2016
- Publisher
- 한국재무학회
- Keywords
- Northeast Asian Stock Markets; DCC-MGARCH; BEKK; Risk Decomposition Model; Integration; GFC
- Citation
- 재무연구, v.29, no.3, pp.321 - 342
- Indexed
- KCI
- Journal Title
- 재무연구
- Volume
- 29
- Number
- 3
- Start Page
- 321
- End Page
- 342
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/90985
- ISSN
- 1229-0351
- Abstract
- This study examines the relationship between the Northeast Asian and U.S. markets with particular attention placed on the global financial crisis period. For this purpose, the paper employs dynamic approaches including DCC-MGARCH, BEKK and Risk Decomposition models to ensure the robustness of empirical findings. The results are as follows. First, The Northeast Asian stock market remains relatively independent from the U.S. market movements during the sample period. Second, the regional market shows an increasing trend of joint integration with the U.S. market. Third, an increased integration is found to be only unique to the crisis period. We find no evidence to support the findings of previous empirical studies which suggest the increased level of integration since the GFC.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Global Business > Global Business in Division of Convergence Business > 1. Journal Articles
![qrcode](https://api.qrserver.com/v1/create-qr-code/?size=55x55&data=https://scholar.korea.ac.kr/handle/2021.sw.korea/90985)
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.