Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Linkages between the Korea and Asia-Pacic stock markets

  • Shin, Yang-Gyu (Department of Asset Management, Daegu Haany University)
  • Received : 2010.10.16
  • Accepted : 2010.11.08
  • Published : 2010.11.30
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Abstract

The paper investigates linkages between the Korea stock market and each of the major Asia-Pacific stock markets, namely those of the Japan, China, Australia, New-Zealand, We employs the Johansen technique to test for pairwise cointergration between the Korea stock market and each of the major Asia-Pacific stock markets. The major stock indices of the markets are used, from 1 September 2006 to 31 August 2010. The results from the test implies that the Korea market is not cointergrated with any of the major Asia-Pacific markets during the period. Our study implies that there are no long-run linkages between the Korea and any of the major Asia-Pacific stock markets.

Keywords

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