동남아 주식시장과 한국, 미국, 일본 주식시장간의 동조화 현상에 관한 연구
Comovement Between the Equity Markets of Three South-East Asian Countries and Those of the U,S., Japan, and Korea
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Using corelation analysis and extended-GARCH model, this paper investigates the comovement between the equity markets of three South-East Asian countries(Malaysia, Indonesia, and Thailand) and those of the U.S., Japan, and Korea. The results of corelation analysis show that the comovement across the six countries appears to be more clear in recent period. The corelation between the Japanese and Korean markets is the highest, and a linkage across the three South-East Asian countries is also strong. The empirical analysis using GARCH model indicates that the lagged U.S. stock market movement has a significant impact on the equity markets of Malaysia, Indonesia, and Thailand as well as the Japanese and Korean markets. In addition, the stock markets of Malaysia, Indonesia, Thailand and Korea exhibit a strong linkage to the Japanese market. However, there is no clear pattern in the transmission of volatility across the six countries examined in this paper.
Abstract
Using corelation analysis and extended-GARCH model, this paper investigates the comovement between the equity markets of three South-East Asian countries(Malaysia, Indonesia, and Thailand) and those of the U.S., Japan, and Korea. The results of corelation analysis show that the comovement across the six countries appears to be more clear in recent period. The corelation between the Japanese and Korean markets is the highest, and a linkage across the three South-East Asian countries is also strong. The empirical analysis using GARCH model indicates that the lagged U.S. stock market movement has a significant impact on the equity markets of Malaysia, Indonesia, and Thailand as well as the Japanese and Korean markets. In addition, the stock markets of Malaysia, Indonesia, Thailand and Korea exhibit a strong linkage to the Japanese market. However, there is no clear pattern in the transmission of volatility across the six countries examined in this paper.
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