Earticle

초록

영어

The study examines common component existing in five Asian countries from 1991 to 2007. To do this, the daily stock market indices of Korea, Malaysia, Thailand, Indonesia, and the Philippines were used. Using a Vector Autoregressive Model this paper analyzes causal relations and dynamic interactions between five Asian stock markets. The findings in this study indicate that level of five Asian stock markets' stock return linkages are low. First, from the statistics for pair-wise Granger causality tests, I find Granger-causal relationship between Korea and Indonesia and between Malaysia and and Indonesia. Second, from the results of response function and the statistics of variance decomposition, I find that week shocks to Korean stock market return on Malaysia, Indonesia, Thailand, and the Philippines stock market returns. The results indicate increased Asian stock market linkages but the level is very low. This implies that the benefits of diversification within the five Asian stock markets are still existed.

목차

Ⅰ. 서 론
 Ⅱ. 문헌연구
 Ⅲ. 자료와 실증모형
  1. 분석자료
  2. 분석모형
 Ⅳ. 실증분석결과
  1. 단위근 검정
  2. 그랜저인과관계 분석
  3. 충격반응함수 분석
  4. 예측오차분산분해 분석
 Ⅴ. 결 론
 참고문헌
 Abstract

키워드

저자

• 정헌용 [ Jung, Heon-yong | 남서울대학교 경영학과 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  경영과 정보연구 [Management Information Systems review]

• 간기

  계간

• pISSN

  1598-2459

• 수록기간

  1997~2026

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 658