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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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This paper analyses the degree of financial interdependence among Asia financial markets including Korea, Japan and China as well as ASEAN countries by dealing with the data through 2001~2013. The empirical results such as the cointegration and Vector Error Correction Model show that most countries respond significantly to shocks from other markets. In Asian Markets, China, Hong Kong, Japan, Korea, Singapore and Taiwan had appreciable impacts on other markets and those shocks were transmitted to other markets for 1 or 2 months. Variances Decomposition shows that Most Asian stock markets are appreciably influenced by each other at every six month ahead, especially by China. Korea has appreciable impacts of its own Korean innovations at every six month ahead. By contrast, the impulse responses of China and Japan to the other Asian markets were relatively small.
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참고문헌 (35)
참고문헌 신청
Royfaizal, R.C / 2009 / ASEAN-5 + 3 and US Stock Markets Interdependence Before, During and After Asian Financial Crisis / International Journal of Economics and Finance 1:45~54
Sims, C / 1972 / Money, Income and Causality / American Economic Review 62:540~552
Sims, C / 1980 / Macroeconomics and Reality / Econometrica 48:1~48
Thao, T.R / 2012 / The Impacts of the Global Financial Crisis on Southeast Asian Equity markets Integration / International Journal of Trade, Economics and Finance 3(4):299~304
Tsutsui, Yoshiro / 2004 / Appropriate Lag Specification for Daily Responses of International Stock Markets / Applied Financial Economics 14:1017~1025
Sims, C / 1972 / Money, Income and Causality / American Economic Review 62:540~552
Sims, C / 1980 / Macroeconomics and Reality / Econometrica 48:1~48
Thao, T.R / 2012 / The Impacts of the Global Financial Crisis on Southeast Asian Equity markets Integration / International Journal of Trade, Economics and Finance 3(4):299~304
Tsutsui, Yoshiro / 2004 / Appropriate Lag Specification for Daily Responses of International Stock Markets / Applied Financial Economics 14:1017~1025
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