@article{ART002172140},
author={강내영 and Yuen Jung Park and Jung-Soon Hyun},
title={The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2016},
volume={27},
number={4},
pages={3-41},
doi={10.23842/jif.2016.27.4.001}
TY - JOUR
AU - 강내영
AU - Yuen Jung Park
AU - Jung-Soon Hyun
TI - The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets
JO - Journal of Insurance and Finance
PY - 2016
VL - 27
IS - 4
PB - Korea Insurance Research Institute
SP - 3
EP - 41
SN - 2384-3209
AB - This study investigates the lead-lag relationships among stock index, sovereign CDS spread, and volatility index in Korean and Japanese markets. The methodologies we used for clarifying the links among variables include Granger-causality test, the impulse response analysis and the variance decomposition analysis based on vector autoregressive model. In order to expand the research scope and overcome the limitation of previous researches that have focused on the lead-lag linkages only in the ordinary economic environment, our research takes into consideration the distinctive role of financial crisis by splitting the aggregate time horizon into three sub-periods. Our main finding is that lead-lag relationships are more pronounced during financial crisis. The presumable reason would be the speed of transmitting information as well as the market inefficiency during the crisis. Put it differently, in inefficient markets where it is hard for any information to be reflected as fast as possible, one variable can have a predictive power for another variable. On the contrary, any lead-lag relationship between those three variables is not found in efficient markets where it is allowed for any news to be simultaneously transmitted to every markets. The empirical results exhibit the consistency of links among three variables both in the Korean and Japanese markets.
KW - lead-lag relationships;Granger-causality test;impulse response analysis;variance decomposition analysis
DO - 10.23842/jif.2016.27.4.001
ER -
강내영, Yuen Jung Park and Jung-Soon Hyun. (2016). The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets. Journal of Insurance and Finance, 27(4), 3-41.
강내영, Yuen Jung Park and Jung-Soon Hyun. 2016, "The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets", Journal of Insurance and Finance, vol.27, no.4 pp.3-41. Available from: doi:10.23842/jif.2016.27.4.001
강내영, Yuen Jung Park, Jung-Soon Hyun "The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets" Journal of Insurance and Finance 27.4 pp.3-41 (2016) : 3.
강내영, Yuen Jung Park, Jung-Soon Hyun. The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets. 2016; 27(4), 3-41. Available from: doi:10.23842/jif.2016.27.4.001
강내영, Yuen Jung Park and Jung-Soon Hyun. "The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets" Journal of Insurance and Finance 27, no.4 (2016) : 3-41.doi: 10.23842/jif.2016.27.4.001
강내영; Yuen Jung Park; Jung-Soon Hyun. The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets. Journal of Insurance and Finance, 27(4), 3-41. doi: 10.23842/jif.2016.27.4.001
강내영; Yuen Jung Park; Jung-Soon Hyun. The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets. Journal of Insurance and Finance. 2016; 27(4) 3-41. doi: 10.23842/jif.2016.27.4.001
강내영, Yuen Jung Park, Jung-Soon Hyun. The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets. 2016; 27(4), 3-41. Available from: doi:10.23842/jif.2016.27.4.001
강내영, Yuen Jung Park and Jung-Soon Hyun. "The Lead - lag Relationships among Stock Index, Sovereign CDS Spread, and Volatility Index in Korean and Japanese Markets" Journal of Insurance and Finance 27, no.4 (2016) : 3-41.doi: 10.23842/jif.2016.27.4.001
