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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2014.8
- 수록면
- 185 - 207 (23page)
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초록· 키워드
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This study investigates the intraday price and volatility spillover effect between the Japanese market and the Korean market, using a VAR-asymmetric BEKK GARCH model. In particular, the study considers three high-frequency (10-min, 30-min, and 1-hour) intraday datasets of TOPIX and KOSPI200 markets. The empirical results indicate a bi-directional price spillover effect in the 10-min intervals, but a uni-directional price spillover from the TOPIX market to KOSPI200 market in the 30-min and 1-hour time intervals. Regarding the volatility spillover effect, the estimation of the asymmetric BEKK GARCH model indicates evidence of bi-directional volatility spillover in the 10-min intervals, whereas the volatility spillover becomes weak with an increase in the length of time intervals (30-min and 1-hour). In addition, the cross-market asymmetric response is evident from the TOPIX market to the KOSPI200 market in all time intervals. These findings provide an important guideline on arbitrage strategies and risk management over very short time periods.
목차
1. INTRODUCTION
2. LITERATURE REVIEW
3. DATA AND DESCRIPTIVE STATISTICS
4. METHODOLOGY
5. EMPIRICAL RESULTS
6. CONCLUSIONS
REFERENCES
참고문헌 (45)
참고문헌 신청
1. [학술지(정기간행물)] - Andersen, T. G / 2000 / Intraday and Interday Volatility in the Japanese Stock Market / Journal of International Financial Markets, Institutions and Money 10 (2) : 107 ~ 130
2. [학술지(정기간행물)] - Aragó, V / 2011 / Sudden Changes in Variance and Time Varying Hedge Ratios / European Journal of Operational Research 215 (2) : 393 ~ 403
3. [학술지(정기간행물)] - Arouri, M. E. H. / 2011 / Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management / Journal of International Money and Finance 30 (7) : 1387 ~ 1405
4. [학술지(정기간행물)] - Arouri, M. E. H / 2012 / On the Impacts of Oil Price Fluctuations on European Equity Markets: Volatility Spillover and Hedging Effectiveness / Energy Economics 34 (2) : 611 ~ 617
5. [학술지(정기간행물)] - Bauwens, L. / 2006 / Multivariate GARCH Models: A Survey / Journal of Applied Econometrics 21 (1) : 79 ~ 109
2. [학술지(정기간행물)] - Aragó, V / 2011 / Sudden Changes in Variance and Time Varying Hedge Ratios / European Journal of Operational Research 215 (2) : 393 ~ 403
3. [학술지(정기간행물)] - Arouri, M. E. H. / 2011 / Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management / Journal of International Money and Finance 30 (7) : 1387 ~ 1405
4. [학술지(정기간행물)] - Arouri, M. E. H / 2012 / On the Impacts of Oil Price Fluctuations on European Equity Markets: Volatility Spillover and Hedging Effectiveness / Energy Economics 34 (2) : 611 ~ 617
5. [학술지(정기간행물)] - Bauwens, L. / 2006 / Multivariate GARCH Models: A Survey / Journal of Applied Econometrics 21 (1) : 79 ~ 109
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UCI(KEPA) : I410-ECN-0101-2015-300-002825752