@article{ART001798557},
author={정대진 and RYU, DOO JIN},
title={Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2013},
volume={20},
number={2},
pages={221-253},
doi={10.18107/japs.2013.20.2.007}
TY - JOUR
AU - 정대진
AU - RYU, DOO JIN
TI - Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market
JO - Journal of Asia-Pacific Studies
PY - 2013
VL - 20
IS - 2
PB - Institute of Global Affairs
SP - 221
EP - 253
SN - 1225-8539
AB - Based on the ARMA-GARCH model, we empirically analyze whether volatility spillover effect exists between the Shanghai stock market and the Korean stock market. By analyzing daily returns of Dow Jones index (US), Shanghai SE A index (China), and KOSPI index (Korea) for the sample period from 2000 to 2006, we find that there exists the volatility spillover effect between the Shanghai and Korean stock markets.
Specifically, we find that the stock returns of the Shanghai market have less influence on the stock returns of the Korean market while the stock returns of the US market significantly affect the stock returns of the Korean market. However, the volatility spillover effect between the Shanghai and Korean stock markets is stronger than the effect between the US and Korean markets during the whole sample period. If we divide the sample into the three sub-periods, the volatility spillover effect between the Shanghai and Korean stock markets is more clearly observed in the last sub-period, which is from 2005 to 2006.
KW - ARMA-GARCH;Volatility Spillover;Shanghai Stock Market;KOSPI Index;Dow Jones Index
DO - 10.18107/japs.2013.20.2.007
ER -
정대진 and RYU, DOO JIN. (2013). Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market. Journal of Asia-Pacific Studies, 20(2), 221-253.
정대진 and RYU, DOO JIN. 2013, "Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market", Journal of Asia-Pacific Studies, vol.20, no.2 pp.221-253. Available from: doi:10.18107/japs.2013.20.2.007
정대진, RYU, DOO JIN "Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market" Journal of Asia-Pacific Studies 20.2 pp.221-253 (2013) : 221.
정대진, RYU, DOO JIN. Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market. 2013; 20(2), 221-253. Available from: doi:10.18107/japs.2013.20.2.007
정대진 and RYU, DOO JIN. "Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market" Journal of Asia-Pacific Studies 20, no.2 (2013) : 221-253.doi: 10.18107/japs.2013.20.2.007
정대진; RYU, DOO JIN. Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market. Journal of Asia-Pacific Studies, 20(2), 221-253. doi: 10.18107/japs.2013.20.2.007
정대진; RYU, DOO JIN. Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market. Journal of Asia-Pacific Studies. 2013; 20(2) 221-253. doi: 10.18107/japs.2013.20.2.007
정대진, RYU, DOO JIN. Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market. 2013; 20(2), 221-253. Available from: doi:10.18107/japs.2013.20.2.007
정대진 and RYU, DOO JIN. "Volatility Spillover Effect from the Shanghai Stock Market to the Korean Stock Market" Journal of Asia-Pacific Studies 20, no.2 (2013) : 221-253.doi: 10.18107/japs.2013.20.2.007
