KJCKorea
Journal Central

@article{ART002245744},
author={Wansoo Choi},
title={The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market},
journal={Asset Management Review},
issn={2288-6672},
year={2017},
volume={5},
number={1},
pages={22-41},
doi={10.23007/amr.2017.5.1.22}

TY - JOUR
AU - Wansoo Choi
TI - The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market
JO - Asset Management Review
PY - 2017
VL - 5
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 22
EP - 41
SN - 2288-6672
AB - This study investigated the volatility spillover between the U.S. and Korean stock market, and analysed the impact of several news events shocks in the U.S. on Korea. We used the daily stock index return data covering from January 2000 to December 2016. The analysis of the pre and post global financial crisis using Engle and Kroner(1995)’s bivariate BEKK-GARCH model revealed that the bi-directional volatility spillover between the two stock markets. And the linkage between the U.S. and the Korean stock markets increased substantially in the post-crisis era, suggesting that the two markets had become more interdependent and integrated. We further uncovered the dynamics of the volatility spillover between the two markets by means of the volatility impulse response functions developed by Hafner and Herwartz(2006). Based on several historical shocks and news events that caused the turbulence in the U.S. stock markets, we found that the patterns of volatility responses were more dynamic. And the persistence of volatility shocks was decreased substantially during the post-crisis period. These results were mainly due to the increased interdependence between the two markets. Also, the increased linkage made the pattern of the volatility impulse response functions were more dynamic in the post-crisis era rather than pre-crisis era.
KW - stock markets;volatility spillovers;BEKK-GARCH;volatility impulse response functions
DO - 10.23007/amr.2017.5.1.22
ER -

Wansoo Choi. (2017). The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market. Asset Management Review, 5(1), 22-41.

Wansoo Choi. 2017, "The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market", Asset Management Review, vol.5, no.1 pp.22-41. Available from: doi:10.23007/amr.2017.5.1.22

Wansoo Choi "The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market" Asset Management Review 5.1 pp.22-41 (2017) : 22.

Wansoo Choi. The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market. 2017; 5(1), 22-41. Available from: doi:10.23007/amr.2017.5.1.22

Wansoo Choi. "The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market" Asset Management Review 5, no.1 (2017) : 22-41.doi: 10.23007/amr.2017.5.1.22

Wansoo Choi. The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market. Asset Management Review, 5(1), 22-41. doi: 10.23007/amr.2017.5.1.22

Wansoo Choi. The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market. Asset Management Review. 2017; 5(1) 22-41. doi: 10.23007/amr.2017.5.1.22

Wansoo Choi. The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market. 2017; 5(1), 22-41. Available from: doi:10.23007/amr.2017.5.1.22

Wansoo Choi. "The Impacts of News Events in U.S. Stock Markets on the Volatility of Korean Stock Market" Asset Management Review 5, no.1 (2017) : 22-41.doi: 10.23007/amr.2017.5.1.22