지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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In this study, we examine the impact of changes in the market that model the volatility ofinbound foreign tourists in Korea as well as what effect these changes have on other markets.
Volatility of inbound foreign tourist arrivals was identified through ARFIMA, EGARCH, VARand BEKK models.
Findings revealed that after the financial crisis, the influence of its own in Korea was thelargest in the conditional mean equation of the multivariate EGARCH model. The largestmean spillover effects from Korea to Japan were shown and in the conditional varianceequation, the own volatility spillover effects were present in Korea and the US. Moreover, weshowed the largest volatility of the spillover effects from the US to China. In addition,leverage and asymmetric effects existed between the US and Korea, and between Korea andChina. Korea had the highest asymmetry from Korea to Japan. Other findings showed thatafter the financial crisis, in the conditional mean equation of the multivariate VAR model, themean spillover effects were almost present. In the conditional variance equation of themultivariate BEKK model, there were indicators of strong volatility spillover effects of touristarrivals from their own country, and from Japan to the US. Coefficients of GARCH showed the strong volatility spillover effects through the tourist arrivals. Asymmetric effects existedbetween China and Korea, from the US(Japan) to Korea, and from the US to China.
Although the research methods and periods of tourists arrivals were different, the residualimpact of changes or shock of the volatility on inbound foreign tourists in Korea affected thevolatility of other markets and thus, co-movements of volatility were confirmed.
목차
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참고문헌 (31)
참고문헌 신청
Baba Y. / 1990 / Multivariate simultaneous generalised ARCH / University of California
Bollerslev T. / 1986 / Generalised autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev T. / 1992 / ARCH models in finance / Journal of Econometrics 52 : 5 ~ 59
Browne R. / 2009 / Tourism and unexpected shocks
Chan F. / 2005 / Modelling multivariate international tourism demand and volatility / Tourism Management 26 : 459 ~ 471
Bollerslev T. / 1986 / Generalised autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bollerslev T. / 1992 / ARCH models in finance / Journal of Econometrics 52 : 5 ~ 59
Browne R. / 2009 / Tourism and unexpected shocks
Chan F. / 2005 / Modelling multivariate international tourism demand and volatility / Tourism Management 26 : 459 ~ 471
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