Earticle

초록

영어

This study examines the relationship between the Northeast Asian and U.S. markets with particular attention placed on the global financial crisis period. For this purpose, the paper employs dynamic approaches including DCC-MGARCH, BEKK and Risk Decomposition models to ensure the robustness of empirical findings. The results are as follows. First, The Northeast Asian stock market remains relatively independent from the U.S. market movements during the sample period. Second, the regional market shows an increasing trend of joint integration with the U.S. market. Third, an increased integration is found to be only unique to the crisis period. We find no evidence to support the findings of previous empirical studies which suggest the increased level of integration since the GFC.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Literature Review
 Ⅲ. Methodologies
  1. Dynamic Conditional Correlation
  2. Risk Decomposition Model
 Ⅳ. Empirical Results
  1. Data and Sample Statistics
  2. The Dynamic Conditional Correlation (DCC) Analysis
  3. Alternative Specification-Diagonal BEKK Model
  4. Risk Decomposition Analysis
 Ⅴ. Summary and Conclusions
 References

키워드

저자

• Jinho Jeong [ Professor, School of Business Administration, Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330