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Long and short-term volatility comovements in the East Asian stock

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dc.contributor.authorYang, Jin Yongen
dc.contributor.authorLee, Sang-Heon-
dc.contributor.authorYeo, In-Sung-
dc.date.accessioned2017-04-21T02:30:14Z-
dc.date.available2017-07-30T17:29:04Z-
dc.date.issued2017-02-22-
dc.identifier.citationAPPLIED ECONOMICS AND FINANCE Vol.4 No.3, pp. 14-19-
dc.identifier.issn2332-7294-
dc.identifier.urihttp://hdl.handle.net/10371/117002-
dc.description.abstractThis study analyzed volatility comovement and contagion in the stock markets of four countries (China, Japan, Korea, and Taiwan) in East Asia, which are closely connected with each other geographically and economically in terms of short-term and long-term perspectives. The volatility of stock returns has complex properties of not only volatility clustering, but also long memory, regime change, and substantial outliers. This study reviewed the volatility comovement and contagion in a stock market from long-term and short-term perspectives with the Bivariate Markov Switching Multifractal (BMSM) volatility model that is known for explaining such characteristics well, in spite of using small number of parameters. The empirical analysis results are as follows: China has no significant correlation with the other three countries. Therefore, China stock market is regarded as isolated or segmented market. The influence of the financial crisis on East Asian countries varies depending on the country. Regardless of the starting point of the crisis, Korea and Taiwan are shown to be vulnerable to external impact, compared to China and Japan. From the perspective of the nature of crisis, financial crisis that occurred in 1997 in East Asia and South Europe in 2011 were identified as local shocks as they had an impact on only a few countries, while the global crisis in 2008 was identified as global shock because it caused significant short-term and/or mid and long-term volatility of all countries.en
dc.language.isoenen
dc.publisherREDFAME PUBLISHINGen
dc.subjectvolatilityen
dc.subjectspilloversen
dc.subjectcomovement-
dc.subjectbivariate Markov-switching multifractal model-
dc.subjectHamilton filter-
dc.titleLong and short-term volatility comovements in the East Asian stocken
dc.typeArticle-
dc.contributor.AlternativeAuthor양진용-
dc.contributor.AlternativeAuthor이상헌-
dc.contributor.AlternativeAuthor여인성-
dc.identifier.doi10.11114/aef.v4i3.2087-
dc.description.srndOAIID:RECH_ACHV_DSTSH_NO:T201700822-
dc.description.srndRECH_ACHV_FG:RR00200001-
dc.description.srndADJUST_YN:-
dc.description.srndEMP_ID:A078517-
dc.description.srndCITE_RATE:0-
dc.description.srndFILENAME:061-015 Applied Economics and Finance 201702 4(3) 14-29.pdf-
dc.description.srndDEPT_NM:치의학과-
dc.description.srndEMAIL:pros53@snu.ac.kr-
dc.description.srndSCOPUS_YN:N-
dc.description.srndFILEURL:https://srnd.snu.ac.kr/eXrepEIR/fws/file/f3f3200c-5578-4797-91b6-c0aa635db807/link-
dc.description.srndCONFIRM:Y-
dc.identifier.rimsid71055-
dc.identifier.srndT201700822-
dc.type.rimsART-
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College of Dentistry/School of Dentistry (치과대학/치의학대학원)Dept. of Dentistry (치의학과)Journal Papers (저널논문_치의학과)
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