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Estimating the Dynamics among Global Stock Markets
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글로벌 주식시장 간의 동적성 추정

논문 기본 정보

Type
Academic journal
Author
Jee, Sang－Youn (강원대학교) Kim, Kyung－Soo (강원대학교)
Journal
Korea International Accounting Association KOREAN INTERNATIONAL ACCOUNTING REVIEW Vol.85 KCI Accredited Journals
Published
2019.6
Pages
151 - 169 (19page)

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Method
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Result
Estimating the Dynamics among Global Stock Markets
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Abstract· Keywords

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This paper was to investigate the dynamic interrelationship among stock markets of the US, Australia and New Zealand using the MS－VAR model and the regime dependent impact response function. Through these models, we were able to identify possible structural changes between the contraction regime and the expansion regime and to understand the responses to the shocks of various stock markets.
The results of this study are as follows.
First, this study provided strong evidence that there were two different regimes in the three stock markets: the contraction(bear) and the expansion(bull) regime. Second, the MS－VAR model was more appropriate than the simple linear VAR model in modeling the dynamics of the three stock markets. Third, the correlation between the three stock markets was significantly higher in the contraction regime than the expansion regime. Fourth, the response of these three markets to other stock market shocks was stronger and more persistent in the contraction regime than the expansion regime. Fifth, this study showed that the Australian stock market had more influence than the US stock market for the New Zealand stock market and the US stock market was more influential than the New Zealand stock market for the Australian stock market. The Australian stock market had more influence than the New Zealand stock market for the US stock market.
Therefore, we can infer that the three stock markets show significantly simultaneous structural changes in the contraction regime, resulting from high volatility incurred to mostly strong shocks including individual inherent shocks respectively through the MS－VAR model and impact response function.
#MS-VAR #충격반응함수 #국면 #구조적 변화 #Impact response function #Regime #Structural changes

Contents

국문초록
Abstract
Ⅰ. 서론
Ⅱ. 연구방법론
Ⅲ. 자료수집 및 예비분석
Ⅳ. 추정결과
Ⅴ. 요약 및 결론
참고문헌

References (47)

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Allen, D. E. / 1995 / The long－run Gains from International Equity Diversification: Australian Evidence from Cointegration Tests / Applied Financial Economics 5:33~42 google schola Ammer, J. / 1996 / Measuring International Economic Linkages with Stock Market Data / Journal of Finance 51:1743~1763 google schola Ahlgren, N. / 2010 / Stock Market Linkages and Financial Contagion: A Cobreaking Analysis / The Quarterly Review of Economics and Finance google schola Alexakis, P. / 1997 / Integration of International Capital Markets:further Evidence from EMS, and Non－EMS Membership / Journal of International Financial Markets 7:277~287 google schola Bekaert, G. / 1995 / Time－varying World Market Integration / Journal of Finance 50:403~444 google schola

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