KDI 한국개발연구원 - KDI 연구 - 한국개발연구

본문

KDI연구

KDI연구원들이 각 분야의 전문보고서를 제공합니다.

한국개발연구

한국개발연구

What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?

페이스북
  • 저자 이진수, 유복근
  • 발행일 2018/02/28
원문보기
요약 This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan and the U.S.) using industry-level data for Korea from 2003 to 2016 in the spirit of the international capital asset pricing model. It also examines what drives the comovements between Korea and the three countries. We find that the comovements of Korean stock returns with those of the U.S. and Japan became smaller after the global financial crisis. In contrast, the comovement in stock returns between Korea and China became larger after the crisis. After an additional analysis, we conclude that trade linkage is the main driver of the comovements between Korea and the three countries.

가입하신 이동통신사의 요금제에 따라
데이터 요금이 과다하게 부가될 수 있습니다.

파일을 다운로드하시겠습니까?
KDI 연구 카테고리
상세검색