Effect of World Events on Responsive Volatility of South Korea Stock Market: Exponential GARCH Approaches

• 발행기관: 한국자료분석학회
• 저자명: Sang Young Jei A Ra Cho Jung Won Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.6, 2871~2879쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.12.30

영문 초록

This article examines responsive volatility and its determinants of Korea Stock Price. We consider country-specific ‘economic’ and ‘non-economic’ events for estimating our stock model using daily data, the Korea Composite Stock Price Index(KOSPI) from January 2nd 2003 to December 30th 2008, a total of 1485 observations. Based on the exponential generalized autoregressive heteroskedasticity model(EGARCH), the evidence shows that there exits leverage and asymmetric effects for Korea stock markets, and the relative responses of country-specific shocks are varied. Moreover, our finding illustrates that Korea stock market would be more rely on either positive or negative shocks from the U.S. than from the Japan. In other words, our study is contrary to what decouplers would have expected.

목차

Ⅰ. Introduction

Ⅱ. THE MODEL

Ⅲ. DATA AND EMPIRICAL RESULTS

Ⅳ. Concluding Remarks

Reference

키워드

Korea Stock Price EGARCH Determinants of Volatility Decoupling