미ㆍ일 주식시장이 한국 주식시장에 미치는 상대적 영향력 분석

• 영문명: The Relative Influence of U.S. and Japanese Stock Markets on the Korean Stock Market
• 발행기관: 한국동북아경제학회
• 저자명: 이근영(Keun Yeong Lee)
• 간행물 정보: 『동북아경제연구』東北亞經濟硏究 第20卷 第1號, 85~112쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2008.04.30

영문 초록

The paper measures the relative influence of U.S. and Japanese stock markets on the Korean stock market for 1992-2007 using Kalman Filter estimation methods. The estimation results of Haldane and Hall(1991) model show that the Korean stock price is progressively influenced by the Japanese stock price in comparison with the U.S. stock price. But this trend may be stopped since 2003 in which international stock prices begin to steadily soar. The estimation results are little changed, even though U.S. dollar indices or low-frequency data are used. The timevarying parameter estimation results also represent that the influence of U.S. and Japanese stock returns on Korean stock returns is increasing and volatile over the whole sample period. But the impact of Japanese stock returns becomes stronger than that of U.S. stock returns and their volatility is gradually reducing in recent years.

목차

Ⅰ. 서론

Ⅱ. 기존연구

Ⅲ. 추정모형 및 추정방법

Ⅳ. 추정결과

Ⅴ. 결어 및 맺음말

키워드

칼만-필터추정방법 Haldane and Hall(1991) 모형 Kalman Filter estimation methods Haldane and Hall(1991) model