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Overseas market shocks and VKOSPI dynamics: A Markov-switching approach
- Authors
- Song, Wonho; Ryu, Doojin; Webb, Robert I.
- Issue Date
- Feb-2016
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Markov-switching; VKOSPI; VIX; Korea; US
- Citation
- FINANCE RESEARCH LETTERS, v.16, pp 275 - 282
- Pages
- 8
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 16
- Start Page
- 275
- End Page
- 282
- ISSN
- 1544-6123
1544-6131
- Abstract
- Using a three-regime Markov-switching framework, with time varying transition probabilities and exogenous state variables, we find that overseas (US) market factors are more significant than domestic (Korean) factors in explaining VKOSPI dynamics. US financial variables are also more important than domestic variables in modeling time-varying transition probabilities, particularly during crisis periods. (C) 2015 Elsevier Inc. All rights reserved.
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