나스닥증권시장이 한국증시의 가격변동성에 미치는 영향 (동조화)

목차

Ⅰ. 서론

Ⅱ. 자료 및 연구방법론

Ⅲ. 실증분석

Ⅳ. 요약 및 결론

본문내용

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ABSTRACT
The Influence of Nasdaq Stock Market on the Price Volatility in Korean Stock Market
Tae-Hyuk Kim
Seok-Kyu Kang
The objective of this paper is to study how the information from Nasdaq stock market influences the volatility processes of Korean stock market using opening, closing, high, low price data for the time period from January 4, 1999 to March 27, 2001.
This analysis method employs the vector-autoregression, variance decomposition, and bivariate GARCH(1,1) models which are designed to measure the transmission of volatility between markets.
The empirical results of this study show that Korean stock market volatility reacts to shocks from Nasdaq stock market. Further, the magnitude of the volatility spillover effect is much stronger under bearish market. Futhermore, close-to-close returns of the Nasdaq market index have significantly positive influences on the opening price of all Korean stock market indices, i.e. Kospi, Kosdaq index, and venture index. Also, Unexpected changes in Nasdaq market index have a significantly positive spillover effect on the conditional volatility of the close-to-open returns in the Kosdaq market to open trading.

키워드

나스닥,   증권시장,   가격변동,   나스닥증권시장,   한국증시,   가격변동성