earticle

영어

This study examines the effect of global financial crisis on the level of stock market integration. In particular, we investigated the movements of two regional stock markets, Northeast Asia and Europe during the period between January 1, 2000 and December 30, 2012, with particular attention placed on the global financial crisis initiated from the US. For this purpose, the paper employs various approaches including DCC, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empirical findings. The findings of this study are as follows. First, Northeast Asian market remains independent from the international stock market movements except a temporary increase in integration with the international market during the crisis period. Second, European market shows an increasing trend of joint integration with the U.S. market since the crisis. Third, a significant decline in the unsystematic risks of both European and U.S. markets is found to be possible by adding Northeast Asian market to the existing portfolios. Finally, European market shows an increased level of integration with the Northeast Asian market during the crisis period. However, the level of integration falls again in the post-crisis era. In sum, the integration of stock market is a dynamic process and the global financial crisis seems to cause a shift in the pattern of integrating process.