원문정보
초록
영어
This study investigates stock market integration and downside risk among several stock markets such as Korean stock market, US stock market and Japanese stock market. This paper is visualizing stock market integration via time-varying correlation derived from bivariate GARCH model. The GJR extension of bivariate GARCH model is used to examine whethet increase or decrease in US stock return has an asymmetric impact on Korean stock market volatilitι According to the empirical findings of this paper, both stock market integration between Korea and US and the stock market integration between Korea and Japan are increasing rapidly after the Korea currency crisis of 1997, but the evidence of downside risk is not strong. Also finding is that the balance of foreign fund inflow in Korean capital market is one of the most important factor in stock market integration.
목차
I. 서론
1. 이변량 분석모형을 이용한 주식시장 동조화현상의 분석
2. 다운사이드 리스크의 파악 및 분석
3. 주가동조화 현상을 심화시키는 요인의 파악
II. 주식시장 동조화와 이변량 분석모형
1. Bivariate GARCH 모형
2. Bivariate GARC서모형의 GJR 확장
III. 실증분석
1. 자료
2. 실증분석결과
IV. 주가동조화와 외국인 자금유입
V. 결론
참고문헌
Abstract