Earticle

초록

영어

This study examines the effect of global financial crisis on the level of stock market integration. In particular, we investigated the movements of two regional stock markets, Northeast Asia and Europe during the period between January 1, 2000 and December 30, 2012, with particular attention placed on the global financial crisis initiated from the US. For this purpose, the paper employs various approaches including DCC, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empirical findings. The findings of this study are as follows. First, Northeast Asian market remains independent from the international stock market movements except a temporary increase in integration with the international market during the crisis period. Second, European market shows an increasing trend of joint integration with the U.S. market since the crisis. Third, a significant decline in the unsystematic risks of both European and U.S. markets is found to be possible by adding Northeast Asian market to the existing portfolios. Finally, European market shows an increased level of integration with the Northeast Asian market during the crisis period. However, the level of integration falls again in the post-crisis era. In sum, the integration of stock market is a dynamic process and the global financial crisis seems to cause a shift in the pattern of integrating process.

목차

Abstract
 I. Introduction
 II. Literature Review
 III. Methodologies
  1. Risk Decomposition Model
  2. Dynamic Conditional Correlation (DCC-VAR-GJR-MGARCH)
  3. Generalized Variance and Collective Correlation
 IV. Data and Sample Statistics
 V. Empirical Results
  1. Risk Decomposition Analysis
  2. Price and Volatility Spillover Effects
  3. Overall Market Volatility and Correlation
 VI. Summary and Conclusions
 References

키워드

저자

• Jinho Jeong [ Professor, School of Business Administration, Korea University ]
• Geesun Lee [ Student, Graduate Program, School of Business Administration, Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330