Dynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and Korea
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 정진호 | - |
dc.date.accessioned | 2021-09-04T07:10:56Z | - |
dc.date.available | 2021-09-04T07:10:56Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1229-0351 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/90985 | - |
dc.description.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. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 한국재무학회 | - |
dc.title | Dynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and Korea | - |
dc.title.alternative | Dynamic Stock Market Integration in Northeast Asian Stock Markets: The Case of China, Japan, and Korea | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 정진호 | - |
dc.identifier.bibliographicCitation | 재무연구, v.29, no.3, pp.321 - 342 | - |
dc.relation.isPartOf | 재무연구 | - |
dc.citation.title | 재무연구 | - |
dc.citation.volume | 29 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 321 | - |
dc.citation.endPage | 342 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002141260 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Northeast Asian Stock Markets | - |
dc.subject.keywordAuthor | DCC-MGARCH | - |
dc.subject.keywordAuthor | BEKK | - |
dc.subject.keywordAuthor | Risk Decomposition Model | - |
dc.subject.keywordAuthor | Integration | - |
dc.subject.keywordAuthor | GFC | - |
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