목차
Ⅰ. 서론
Ⅱ. 자료 및 연구방법론
Ⅲ. 실증분석
Ⅳ. 요약 및 결론
Ⅱ. 자료 및 연구방법론
Ⅲ. 실증분석
Ⅳ. 요약 및 결론
본문내용
tional Stock Index Futures Markets: Meteor Showers or Heat Waves?," Management Science, 43 (1997), pp. 1564-1576.
Chan, K., Chan, K. C., & Karolyi, G. A., "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, 4 (1991), pp. 657-684.
Dicky, D. A., & Fuller, W. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of American Statistical Association, 74 (1979), pp. 427-431.
Engle, R. F., Ito, T., & Lin, W-L, "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58 (1990), pp. 525-542.
French, K. R., & Roll., R., "Stock Return Variances: The Arrival of Information and Reaction of Traders," Journal of Financial Economics, 17 (1986), pp. 5-26.
Garman, M., & Klass, M. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, 53 (1980), pp. 67-78.
Hamao, Y., Masulis, R. W., & Ng, V., "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies, 3 (1990), pp. 281-307,
King, M. A., & Wadhwani, S. W., "Transmission of Volatility between Stock Markets," Review of Financial Studies, 3 (1990), pp. 5-33.
Mackinnon, J. G., "Critical Value for Cointegration Tests for in R.F. Engle and C.W.J. Granger, Long-run Economic Relationships," Oxford University Press (1991), pp. 267-276.
Newey, W., & West, K., "A Simple Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55 (1987), pp. 703-708.
Sims, C. A., "Macroeconomics and Reality," Econometrica, 48 (1980), pp. 1-40.
Susmel, R., & Engle, R. F., "Hourly Volatility Spillovers Between International Equity Markets," Journal of International Money and Finance, 13 (1994), pp. 3-25.
ABSTRACT
The Influence of Nasdaq Stock Market on the Price Volatility in Korean Stock Market
Tae-Hyuk Kim
Seok-Kyu Kang
The objective of this paper is to study how the information from Nasdaq stock market influences the volatility processes of Korean stock market using opening, closing, high, low price data for the time period from January 4, 1999 to March 27, 2001.
This analysis method employs the vector-autoregression, variance decomposition, and bivariate GARCH(1,1) models which are designed to measure the transmission of volatility between markets.
The empirical results of this study show that Korean stock market volatility reacts to shocks from Nasdaq stock market. Further, the magnitude of the volatility spillover effect is much stronger under bearish market. Futhermore, close-to-close returns of the Nasdaq market index have significantly positive influences on the opening price of all Korean stock market indices, i.e. Kospi, Kosdaq index, and venture index. Also, Unexpected changes in Nasdaq market index have a significantly positive spillover effect on the conditional volatility of the close-to-open returns in the Kosdaq market to open trading.
Chan, K., Chan, K. C., & Karolyi, G. A., "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, 4 (1991), pp. 657-684.
Dicky, D. A., & Fuller, W. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," Journal of American Statistical Association, 74 (1979), pp. 427-431.
Engle, R. F., Ito, T., & Lin, W-L, "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58 (1990), pp. 525-542.
French, K. R., & Roll., R., "Stock Return Variances: The Arrival of Information and Reaction of Traders," Journal of Financial Economics, 17 (1986), pp. 5-26.
Garman, M., & Klass, M. "On the Estimation of Security Price Volatilities from Historical Data," Journal of Business, 53 (1980), pp. 67-78.
Hamao, Y., Masulis, R. W., & Ng, V., "Correlations in Price Changes and Volatility Across International Stock Markets," Review of Financial Studies, 3 (1990), pp. 281-307,
King, M. A., & Wadhwani, S. W., "Transmission of Volatility between Stock Markets," Review of Financial Studies, 3 (1990), pp. 5-33.
Mackinnon, J. G., "Critical Value for Cointegration Tests for in R.F. Engle and C.W.J. Granger, Long-run Economic Relationships," Oxford University Press (1991), pp. 267-276.
Newey, W., & West, K., "A Simple Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55 (1987), pp. 703-708.
Sims, C. A., "Macroeconomics and Reality," Econometrica, 48 (1980), pp. 1-40.
Susmel, R., & Engle, R. F., "Hourly Volatility Spillovers Between International Equity Markets," Journal of International Money and Finance, 13 (1994), pp. 3-25.
ABSTRACT
The Influence of Nasdaq Stock Market on the Price Volatility in Korean Stock Market
Tae-Hyuk Kim
Seok-Kyu Kang
The objective of this paper is to study how the information from Nasdaq stock market influences the volatility processes of Korean stock market using opening, closing, high, low price data for the time period from January 4, 1999 to March 27, 2001.
This analysis method employs the vector-autoregression, variance decomposition, and bivariate GARCH(1,1) models which are designed to measure the transmission of volatility between markets.
The empirical results of this study show that Korean stock market volatility reacts to shocks from Nasdaq stock market. Further, the magnitude of the volatility spillover effect is much stronger under bearish market. Futhermore, close-to-close returns of the Nasdaq market index have significantly positive influences on the opening price of all Korean stock market indices, i.e. Kospi, Kosdaq index, and venture index. Also, Unexpected changes in Nasdaq market index have a significantly positive spillover effect on the conditional volatility of the close-to-open returns in the Kosdaq market to open trading.
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