Short And Long Term Integration Relationship Between US And Eastern Asian Stock Markets

• 발행기관: 한국자료분석학회
• 저자명: Soon-Young Lim Tae-Hyuk Kim Kap-je Park Sang-Min Chung
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.5, 2329~2346쪽, 전체 18쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.10.30

영문 초록

We analyze the relationship not only between US and Korean stock markets but also 9 Eastern Asian countries and Korean markets. We separated their relationship into short term and long term integration and conducted the research focusing on whether or not there is long-run equilibrium by testing the Granger casualty and cointegration. Except Japan, there is short term integration among Korea and Eastern Asia countries for the whole period. But Eastern-Asian indices are all short term integrated to S&P 500 except Japan. And there is no long term equilibrium among Korean and Eastern Asian stock markets for the whole period, which results from testing both integer cointegration and fractional cointegration. This study shows that there exists no long term equilibrium among S&P500 and Eastern Asian stock markets for whole period by conducting test of integer cointegration and fractional cointegration. There is fractional cointegration among S&P500, KOSPI and stock indices of 9 Eastern Asian countries with differencing parameter value within 0.5 to 1. It means that they have unstable long memory process. Although that differencing parameter has value less than 1, it means that the speed of convergence to mean is different.

목차

Ⅰ. Introduction

Ⅱ. Notion of integration and fractional cointegration

Ⅲ. Result of empirical test

Ⅳ. Conclusion and implications

Reference

키워드

integration Granger casualty integer/fractional cointegration