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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.4
- 수록면
- 121 - 145 (25page)
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This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchange rate and S&P 500 index) have strong impact on the returns of both the KRW and KOSPI. Third, with regard to return spillover, a uni-directional volatility spillover exists from the KOSPI market to the KRW market. Fourth, our empirical results provide no evidence of volatility spillover effect in the pre-crisis, but an evidence of uni-directional volatility spillover effect from the KRW market to the KOSPI market in the post-crisis period, implying that financial crisis improves linkages between these two markets. Finally, we do not find the asymmetric volatility spillover effect between two markets. Thus, investors in the Korean stock market and/or the foreign exchange market need to consider the relationship between these two markets as part of their investment decisions.
목차
1. INTRODUCTION
2. LITERATURE REVIEWS
3. DATA
4. MODEL FRAMEWORK
5. EMPIRICAL RESULTS
6. CONCLUSIONS
REFERENCES
참고문헌 (45)
참고문헌 신청
1. [학술지(정기간행물)] - Alaganar, V. T. / 2002 / Information and Volatility Linkage under External Shocks - Evidence from Dually Listed Australian Stocks / International Review of Financial Analysis 11 (1) : 59 ~ 71
2. [학술지(정기간행물)] - Apergis, Nicholas / 2001 / Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets / Manchester School 69 (Supplement) : 81 ~ 96
3. [학술지(정기간행물)] - Baillie, Richard T. / 1991 / Intra-Day and Inter-Market Volatility in Foreign Exchange Rates / Review of Economic Studies 58 : 565 ~ 585
4. [학술지(정기간행물)] - Bauwens, Luc / 2006 / Multivariate GARCH Models: A Survey / Journal of Applied Economics 21 : 79 ~ 109
5. [학술지(정기간행물)] - Bhar, Ramaprasad / 2003 / New Evidence of Linkages among G-7 Stock Markets / Finance Letters 1 : 35 ~ 40
2. [학술지(정기간행물)] - Apergis, Nicholas / 2001 / Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets / Manchester School 69 (Supplement) : 81 ~ 96
3. [학술지(정기간행물)] - Baillie, Richard T. / 1991 / Intra-Day and Inter-Market Volatility in Foreign Exchange Rates / Review of Economic Studies 58 : 565 ~ 585
4. [학술지(정기간행물)] - Bauwens, Luc / 2006 / Multivariate GARCH Models: A Survey / Journal of Applied Economics 21 : 79 ~ 109
5. [학술지(정기간행물)] - Bhar, Ramaprasad / 2003 / New Evidence of Linkages among G-7 Stock Markets / Finance Letters 1 : 35 ~ 40
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UCI(KEPA) : I410-ECN-0101-2014-300-003565546