学術雑誌論文 Comovement of East Asian stock markets

Park, Jinwoo

14pp.203 - 215 , 2016-03 , 山口大学大学院東アジア研究科
ISSN:1347-9415
NII書誌ID(NCID):AA11831154
内容記述
This paper examines the comovement of five equity markets in the East Asian region (i.e., Japan, China, Korea, Hong Kong, and Taiwan) and the dependence structure of these to the U.S. stock market. In particular, by separately investigating the U.S. influence on the night-time returns and the comovement of day-time returns in the East Asian stock market, this paper contributes to understanding the linkages across the East Asian and the U.S. stock markets. The results are summarized as follows. First, except China we find high cross-sectional correlation of the daily stock returns across the East Asian and the U.S. markets. A comparison of the results between the two sub-periods demonstrates a recent strengthening of the linkages. In particular, China records profound increases in its correlations with the other East Asian and the U.S. markets. Second, we find that with the exception of China the stock returns on the U.S. market exert a significant impact on the night-time market returns of Korea, Taiwan, Hong Kong, and Japan (in order). We also observe that a volatility surprise in the U.S. market affects the night-time return volatility in the stock markets of Taiwan, Korea, Hong Kong, and Japan (in order). Third, we find that there exist negative return spillover effects from the U.S. market to the day-time returns in the stock markets of Korea, Hong Kong, and Taiwan. In addition, spillover effects of daily return volatility from the U.S. market to the day-time return volatility of the stock markets of Korea, Taiwan, Japan, and Hong Kong (in order). Finally, we observe profound comovement of day-time stock returns across East Asian stock markets except for China. However, China exhibits significant increases in its correlations with the other East Asian markets between the two sub-periods.
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http://petit.lib.yamaguchi-u.ac.jp/G0000006y2j2/file/26170/20160620112957/D300014000012.pdf

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