한 · 중 · 일 · 미 주식시장간 수익률 전이의 비선형성 분석

• 영문명: Nonlinear Transmission of Stock-Index Returns among Equity Markets of US, Japan, China and Korea
• 발행기관: 한국무역연구원
• 저자명: 조정구(Cheong-Gu Cho)
• 간행물 정보: 『무역연구』제11권 제5호, 195~217쪽, 전체 23쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2015.11.30

영문 초록

In this paper we examine whether asymmetry and/or nonlinearity are significant in the transmission of stock-index returns among equity markets of US, Japan, China and Korea, using daily stock price index data from January 2000 to December 2014. We analyze how the accumulated responses per unit of each market to internal and external return shocks vary with the sign and the size of shocks, by employing a nonlinear local projection model. Empirical tests suggest that transmission elasticities are influenced both by the sign and by the size of return shocks. We find that with a few exceptions at the shorter forecasting horizons, the accumulated responses per unit to negative external return shocks are larger than positive ones of the same size, and that the accumulated responses per unit increase with its absolute size for negative return shock, but decrease for positive one.

목차

I. 서론

II. 이론적 배경 및 선행연구

III. 실증분석 모형설정 및 방법론

IV. 실증분석 결과

V. 요약 및 결언

키워드

Asymmetry Local Projection Nonlinearity Transmission of Stock-Index Returns