Earticle

초록

영어

Using generalized spillover definition and measurements developed by Diebold and Yilmaz (2012, 2009), we aim to compare the characteristics of daily return spillovers in the stock markets of Korea, China and Japan. From a static full-sample analysis, we find that only 11.5% of forecast error variance comes from return spillovers under time-invariant assumption. From a dynamic rolling-sample analysis, we find that total return spillovers were relatively small until the outbreak of Asian Financial Crisis (1998-1999). However, they became more volatile during the U.S. Credit Crisis (2008-2009), and ongoing European Debt Crisis (2012-present). These findings might help both individual and institutional investors construct well-diversified global portfolios to considerably increase their diversification benefit.

목차

 Ⅰ. Introduction
 Ⅱ. Methodology
 Ⅲ. Data
 Ⅳ. Empirical Results
 References

저자

• Zishuai Yang [ Ph. D Candidate, Division of Economics, Graduate School, Pukyong National University. ]
• Shengliang Zhao [ Ph. D Candidate, Division of Economics, Graduate School, Pukyong National University. ]
• Jin Soo Lee [ Associate Professor, Business School, Pukyong National University. ]
• Tae-Yeong Choi [ Professor, Business School, Pukyong National University. ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  동북아시아문화학회 국제학술대회 [國際學術大會]

• 간기

  반년간

• 수록기간

  ~2022

• 십진분류

  KDC 910 DDC 950