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Quantile Dependence between Foreign Exchange Market and Stock Market: The Case of Korea

한희준|이나경
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2016.12|East Asian Economic Review|제20권 제4호|pp. 519-544|DOI http://dx.doi.org/10.11644/KIEP.EAER.2016.20.4.320

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키워드

SpilloverForeign Exchange MarketStock MarketCross-QuantilogramQuantile
주제분류경제학

초록

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.

Abstract

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the cross-quantilogram recently proposed by Han et al. (2016). Considering various quantile ranges, we investigate various spillover effects between two markets. Our findings show that there exists an asymmetric bi-directional spillover between two markets and the interdependence between two markets implies that one market has significant predictive power on the other.

참고문헌 (27)

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관련 논문AI추천

Testing for risk spillover between stock market and foreign exchange market in Korea이진, 이항용경제연구소 · Journal of Economic Research (JER)2009 · 제14권 제3호Study on Return and Volatility Spillover Effects among Stock, CDS, and Foreign Exchange Markets in Korea이태리대외경제정책연구원 · East Asian Economic Review2015 · 제19권 제3호Quantile Dependence between Stock Markets and Its Application in Volatility ForecastingHeejoon Han한국계량경제학회 · 계량경제학보2019 · 제30권 제1호Asymmetric Volatility Transmission between Stock and Bond Markets in Korea강상훈, 윤성민한국재무관리학회 · 재무관리연구2011 · 제28권 제3호Volatility Spillover Effect between Chinese and Korean Stock Markets강상훈, 김홍배, 윤성민한국금융공학회 · 金融工學硏究2011 · 제10권 제1호Spillover Effects between Exchange Rate and Stock Price in Asian Emerging Markets강상훈, 윤성민한국금융공학회 · 金融工學硏究2012 · 제11권 제2호

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