서브프라임사태 전후 한미간 정보전이현상에 관한 연구Empirical Analysis on the Spillover Effects between Korean and U.S. Stock Market after U.S. Financial Crisis
- Other Titles
- Empirical Analysis on the Spillover Effects between Korean and U.S. Stock Market after U.S. Financial Crisis
- Authors
- 예민수
- Issue Date
- 2008
- Publisher
- (사)디지털산업정보학회
- Keywords
- U.S. sub-prime mortgage crisis; Spillover Effect
- Citation
- (사)디지털산업정보학회 논문지, v.4, no.4, pp.113 - 125
- Journal Title
- (사)디지털산업정보학회 논문지
- Volume
- 4
- Number
- 4
- Start Page
- 113
- End Page
- 125
- URI
- https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/22853
- ISSN
- 1738-6667
- Abstract
- This paper investigates the spillover effects(co-movements) between korean and U.S stock market by KOSPI and DJIA Index. Especially it compare to the pre- and post period of U.S. financial crisis resulted from sub-prime mortgage loan.
The main results are as follows. First, the spillover effects of DJIA(U.S Market) to KOSPI(Korean market) are strong. This result accord with the former researches on this subject. Second, spillover effects are more strong after U.S. financial crisis. A possible reason for this phenomenon is a trend which the major investors such as foreign and institutional investors in domestic stock market have more attention to U.S. stock market. Third, the spillover effects appear in the opposite direction, that is KOSPI(Korean Stock Market) to DJIA(U.S Stock Market). It seems to be the results of asian stock market's growing influences to European and U.S Markets.
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Collections - College of Business Administration > Business Administration Major > 1. Journal Articles
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