Earticle

초록

영어

This paper explores the dynamic relationship between global economic factors and emerging stock returns within a factor-augmented VAR model. I nd that favorable global growth and stock market shocks have signicant positive eects on emerging equity returns, whereas an unexpected rise in US dollar exchange rate and global pol- icy uncertainty causes a substantial fall in the returns. Oil shocks lead to a transient increase in emerging stock returns, followed by a gradual decline. Variance decompo- sition analysis implies that 80% of the long-term uctuation in emerging stock returns is explained by the global economic shocks. In particular, the US dollar exchange rate shock is the most critical, accounting for 36%, followed by global stock, policy uncer- tainty, and oil shocks, explaining 17%, 15%, and 10%, respectively. These ndings have important implications for international investors, as well as for policy makers in emerging economies.

목차

Abstract
1 Introduction
2 Methodology
2.1 Model Specification
2.2 Identification of Structural Shocks
2.3 Estimation
3 Data
4 Results
4.1 Estimated Factors
4.2 Impulse Response of Emerging Stock Market Returns
4.3 Variance Decomposition
4.4 Robustness
5 Conclusion
References

키워드

저자

• Dohyoung Kwon [ Investment Policy Division, National Pension Research Institute ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330