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Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea

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Title Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea
Similar Titles
Material Type Articles
Author(English)

I, Taly

Publisher

[Sejong]:Korea Research Institute for Human Settlements

Date 2015
Journal Title; Vol./Issue Journal of East Asian Economic Integration:vol. 19(no. 3)
Pages 48
Subject Country South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Economy < Economic System
Holding Korea Research Institute for Human Settlements

Abstract

The key objective of this study is to investigate the return and volatility spillover effects among stock market, credit default swap (CDS) market and foreign exchange market for three countries: Korea, the US and Japan. Using the trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between the Korean CDS market and the Korean stock market. In addition, the return spillover effects from foreign exchange markets and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to the Korean stock market are both significant.