This paper investigates the transmission mechanism of price and volatility spillover from U.S., Japanese, and Chinese stock markets to Korean stock market. Spillover effects are analyzed using daily returns of NYSE Composite (U.S.), TOPIX(Japan), SSE Composite(China), and KOSPI(Korea) from 1992 to 2011 and EGARCH model proposed by Koutmos and Booth(1995).
The analysis results show an evidence of the price and volatility spillover from foreign stock market to domestic stock market for the entire reference period. However, the spillover effect varies for the sub-periods divided by the foreign currency crisis of 1997 and the global financial crisis of 2008. Over the analysis period, the spillover effect gradually becomes stronger, but the evidence is not found to support the argument for the stronger effect after the financial crises. Additionally, the analysis results suggest that foreign investors’net buying of stocks contributes to increasing stock returns and that foreign investors’net buying as well as total transaction of stocks reduces the volatility of stock returns.
증권시장 수익률 및 변동성의 전이현상에 관한 연구
서울 : 한국금융연구원
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|