KDI Journal of Economic Policy

  • 제40권1호
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  • Pages.45-66
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  • 2018
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  • 2586-2995(pISSN)
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  • 2586-4130(eISSN)
한국개발연구원 (Korea Development Institute)
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What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?

  • 투고 : 2017.11.14
  • 발행 : 2018.02.28
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초록

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.

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참고문헌

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피인용 문헌

  1. The Effects of Export Diversification on Macroeconomic Stabilization: Evidence from Korea vol.41, pp.1, 2019, https://doi.org/10.23895/kdijep.2019.41.1.1