Earticle

초록

영어

Using the novel methods of the conditional nonlinear quantile regression and pairwise realised moments, we aim to shed lights on its economic drivers on dynamic integration of stock markets in the Pacific basin for the full sample periods 1990-2012. We find empirical evidence that the recent integration of stock markets in the Pacific basin region have been significantly driven by the lower differences (i.e., higher similarities) of a variety of the economic performances between sample countries over the recent decades. In particular, this study suggests an interesting existence of nonlinearities for the effects of the economic drivers on the integration of stock markets in this region.

목차

Abstract
 1. Introduction
 2. Literature review
 3. Methodology
  3.1 Measuring time varying integration
  3.2 Theoretical background for drivers of stock market integration
  3.3 The Conditional nonlinear quantile regression
  3.4 The conditional quantile regression specified for its drivers
 4. Data Issues
  4.1 Stock returns
  4.2 Exogenous economic variables for its drivers
  4.3 Crisis dummies for global risks
 5. Empirical results
 6. Summary and concluding remarks
 References
 Figure
 Table

키워드

저자

• Hyunchul Lee [ Divison of Business Administration, Chosun University, Gwangju, Republic of Korea ]
• Kyewon Lee [ Divison of Business Administration, Chosun University, Gwangju, Republic of Korea ]
• Seoungmo Cho [ School of Economics and Finance, Yeungnam University, Daegu, Republic of Korea ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330