Earticle

초록

영어

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that is larger than the good news volatility of the large stock market. By employing the Granger causality test, we found unidirectional return transmissions from the large stocks to medium and small stocks. This evidence indicates that pat information about the large stocks has a better ability to predict the returns of the medium and small stocks in the Korean stock market. Moreover, by using the asymmetric GARCH-BEKK model, we observed the unidirectional relationship of asymmetric volatility transmission from large stocks to the medium and small stocks. This finding suggests that volatility in the medium and small stocks following a negative shock in the large stocks is larger than that following a positive shock in the large stocks.

목차

Abstract
 I. Introduction
 II. Methodology
  1. Cointegration test and Granger causality test
  2. Bivariate GARCH model
 III. Data and descriptive statistics
 IV. Empirical results
  1. Cointegration test and causality test
  2. Volatility spillover between the three markets
 V. Conclusions
 References

키워드

저자

• Sang Hoon Kang [ Department of Business Administration, Pusan National University, Busan, 609-735, Korea ]
• Seong-Min Yoon [ Department of Economics, Pusan National University, Busan, 609-735, Korea ] Corresponding author.

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330