학술논문
Changes in Stock Market Co-movements between Contracting Parties after the Trade Agreement and Their Implications
이용수 7
- 영문명
- Changes in Stock Market Co-movements between Contracting Parties after the Trade Agreement and Their Implications
- 발행기관
- 한국무역학회
- 저자명
- 안소영 배연호
- 간행물 정보
- 『Journal of Korea Trade (JKT)』Vol.27 No.1, 139~158쪽, 전체 20쪽
- 주제분류
- 경제경영 > 무역학
- 파일형태
- 발행일자
- 2023.02.28
5,200원
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국문 초록
영문 초록
Purpose - The study of co-movements between stock markets is a crucial area of finance and has recently received much interest in a variety of studies, especially in international finance. Stock market co-movements are a major phenomenon in financial markets, but they are not necessarily independent of the real market. Several studies support the idea that bilateral trade linkages significantly impact stock market correlations. Motivated by this perspective, this study investigates whether real market integration due to trade agreements brings about financial market integration in terms of stock market co-movement.
Design/methodology - Over the 10 free trade agreements (FTAs) signed by the United States, using a dynamic conditional correlations (DCC) multivariate GARCH (MGRACH) model, we empirically measure the degree of integration by finding DCCs between the US market and the partner country’s market. We then track how these correlations evolve over time and compare the results before and after trade agreements.
Findings - According to the empirical results, there are positive return spillover effects from the US market to eight counterpart equity markets, except Jordan, Morocco, and Singapore. Especially Mexico, Canada, and Chile have large return spillover effects at the 1% significance level. All partner countries of FTAs generally have positive correlations with the US over the entire period, but the size and variance are somewhat different by country. Meanwhile, not all countries that signed trade agreements with the United States showed the same pattern of stock market co-movement after the agreement. Korea, Mexico, Chile, Colombia, Peru, and Singapore show increasing DCC patterns after trade agreements with the US. However, Canada, Australia, Bahrain, Jordan, and Morocco do not show different patterns before and after trade agreements in DCCs. These countries generally have the characteristic of relatively lower or higher co-movements in stock markets with the US before the signing of the FTAs.
Originality/value - To our knowledge, few studies have directly examined the linkages between trade agreements and stock markets. Our approach is novel as it considers the problem of conditional heteroscedasticity and visualizes the change of correlations with time variations. Moreover, analyzing several trade agreements based on the United States enables the results of cross-country pairs to be compared. Hence, this study provides information on the degree of stock market integration with countries with which the United States has trade agreements, while simultaneously allowing us to track whether there have been changes in stock market integration patterns before and after trade agreements.
목차
1. Introduction
2. Methodology and Data
3. Empirical Results
4. Conclusions and Suggestions
References
해당간행물 수록 논문
- Journal of Korea Trade(JKT) Vol.27 No.1 목차
- An Empirical Study on Trade Facilitation by the Korean Government’s Single Window System
- Changes in Stock Market Co-movements between Contracting Parties after the Trade Agreement and Their Implications
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- Factors Contributing to Recommendation Intention of Foreign Tourists in Times of Crisis: A Moderated Moderation Analysis
- Born Global Strategies and the Corporate Performance of Korean Firms
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- A Study on the Usage Factors of Mobile Banking Apps by Korean Banks in Vietnam: Focused on the Viewpoints of App User and App Provider
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