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국제 증권시장의 동조화 현상: 산업 단위에서의 실증적 연구International Stock Market Linkage: Evidence on the Sector Level
- Other Titles
- International Stock Market Linkage: Evidence on the Sector Level
- Authors
- 최형석
- Issue Date
- 2010
- Publisher
- 한국국제경영학회
- Keywords
- International stock market; country effect; industry effect; 국제 주식 시장; 국가별 효과; 산업 효과
- Citation
- 국제경영연구, v.21, no.4, pp.31 - 55
- Journal Title
- 국제경영연구
- Volume
- 21
- Number
- 4
- Start Page
- 31
- End Page
- 55
- ISSN
- 1598-2718
- Abstract
- This paper investigates the international transmission structure of each industrial sector returns in the eight major stock markets by estimating a vector error correction model (VECM). Cointegration tests detect the stationary long-run equilibrium among industrial sector indices. Variance decomposition analysis and impulse response analysis indicate that global stock markets have strong interactions each other on the individual industry level. Regression analysis indicates that the greater the global market value ratio (GMVRatio) the heavier the impact of the innovations to other stock markets.
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