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A multivariate GARCH analysis on international stock market integration : Korean market case

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  • A multivariate GARCH analysis on international stock market integration
  • Kim, Namhyoung
  • The Korean Operations and Management Science Society


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Title A multivariate GARCH analysis on international stock market integration
Similar Titles
Sub Title

Korean market case

Material Type Articles
Author(English)

Kim, Namhyoung

Publisher

[Seoul]:The Korean Operations and Management Science Society

Date 2015-05
Journal Title; Vol./Issue Management Science and Financial Engineering:Vol. 21(No. 1)
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Economic Administration
Economy < Direct Investment
Holding The Korean Operations and Management Science Socie

Abstract

Financial integration is a phenomenon in which global financial markets are closely connected with each other. This article investigates the integration of Korean stock market with other stock markets using a multivariate GARCH analysis. We chose total seven countries including Korea for this paper based on the amount of export and then we chose major stock indices which can be thought as representative stock markets of those countries. The empirical analysis has shown that countries’ financial integration.