Causal Linkage of Stock Market on Uncertainty Shock in Korea, the US, China and Japan

• 발행기관: 한국자료분석학회
• 저자명: Ji-Hong Jeon
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.21 No.2, 583~598쪽, 전체 16쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2019.04.30

영문 초록

We explore the interdependence between economic policy uncertainty (EPU) in Korea, the US, China and Japan and stock market in each country. In particular, we analyze the causal link using the indexes of EPU and stock indexes of Korea, the US, China and Japan. For empirical analysis, we examine the monthly samples over a period of 1995M1-2017M12 using time series by vector error correction model (VECM) to prove the long-run and short-run dynamic interdependence. The stock indexes in Korea, the US, Japan are influenced by the EPU index of Korea. In the result of the empirical analysis, our research findings are twofold. First, a positive shock of EPU index has significantly a negative coefficient value of the error correction term in each long-run dynamics. Second, each stock index are influenced on the negative impact by EPU index of each country in short-run dynamics. This paper indirectly turns out that it shows the causal linkages between EPU and stock market in Korea, the US, China and Japan by using the EPU index.

목차

1. Introduction

2. Literature Review

3. Sample and Empirical Methodology

4. Results of Empirical Analysis

5. Conclusion

키워드

stock market economic policy uncertainty cointegration vector error correction model.