• International Area Studies Review
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• v.18 no.3
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• pp.67-88
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• 2014

The Chinese stock market has increasingly strengthened its market power on other stock markets due to rapid growth of its economy. In this context, this study investigated return spillover effect as well as asymmetric volatility spillover effect using a VAR-Bivariate EGARCH model among stock markets(China, US, Japan, Korea). Furthermore, we conjectured the impact of 2008 global financial crisis on the spillover effect of the Chinese stock market. In our empirical results, the Chinese stock market has a weak return spillover effect to other markets(US, Japan, Korea), but after the global financial crisis, its return spillover effect becomes stronger among other stock markets. In addition, the Chinese stock market have strengthened its asymmetric volatility spillover effect on other stock markets after the Global financial crisis. As a result, the Chinese stock market has an strong influence on other stock markets.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.17 no.5
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• pp.179-185
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• 2016

This study verifies whether speculative trading in commodity markets acted as the primary cause of the increase in commodity prices after the global financial crisis using the Structural Vector Autoregressive (SVAR) model. The effects of speculative trading on commodity prices increased by a factor of 3 to 6 after the crisis compared to those before the crisis. Although the demand related variables, such as industrial production, affected commodity prices significantly before the crisis, their effects decreased after the crisis. Consequently, the rebound of commodity prices after the crisis was mainly caused by the increase in speculative money, fortified by the expansion of the global liquidity supply. The global liquidity may well increase in the future, because the U.S. Federal Reserve Board is likely to continue to increase its interest rate. This study claims that when global liquidity shrinks as a result of a change in the Fed's monetary policy stance, speculative trading will slow down, leading to a decline in commodity prices.

• Journal of the Economic Geographical Society of Korea
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• v.19 no.3
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• pp.512-534
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• 2016

This paper is to see what appears to be an economic crisis as urban crisis, to explore its emerging process and its major distinctive figures in the context of S. Korea, and to consider alternatives to overcome such an urban crisis. For this purpose, it first tries to show that the capitalist economic development (i.e. capital accumulation) has been stimulated and driven largely by extending investments into built environments. Then it analyzes how crises of overaccumulation, coupled with other crises such as the IMF crisis in 1997 and the financial crisis in 2008 which have been brought about by serious impacts of foreign financial capitals working on the global level, have led to accumulating of huge surplus reserves within both big companies and the central government on the one hand, increasing tremendously debts of households as well as government and private companies on the other. In particular, the debt crisis seems to be accelerated by fictitious capital generated through government's financial strategies to promote both supplies and demands in housing and property markets. There seem several ways of overcoming the urban crisis spiraled around accumulating surplus capital and increasing financial debt; raising real income, moderating investments into built environment, and increasing inputs into the fields of technology and well-being. In order to open up these ways, it is concluded, recent urban movements in terms of the right to the city are required not only to make the government and capital to do so, but also to realize interest of urban people who have produced such surplus but who are suffering from the debt crisis.

• The Journal of Asian Finance, Economics and Business
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• v.6 no.2
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• pp.257-267
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• 2019

The paper aims to test long-term and short-term causality from four exchange rates, the Korean won/$US, the Korean won/Euro, the Korean won/Japanese yen, and the Korean won/Chinese yuan, to the Korea Composite Stock Price Index in the presence of several macroeconomic variables using monthly data from January 1986 to June 2018. The results of Johansen cointegration tests show that there exists at least one cointegrating equation, which indicates that long-run causality from an exchange rate to the Korean stock market will exist. The results of vector error correction estimates show that: for long-term causality, the coefficient of the error correction term is significant with a negative sign, that is, long-term causality from exchange rates to the Korean stock market is observed. For short-term causality, the coefficient of the Japanese yen exchange rate is significant with a positive sign, that is, short-term causality from the Japanese yen exchange rate to the Korean stock market is observed. The coefficient of the financial crises i.e. 1997-1999 Asian financial crisis and 2007-2008 global financial crisis on the endogenous variables in the model and the Korean economy is significant. The result indicates that the financial crises have considerably affected the Korean economy, especially a negative effect on money supply.

• Land and Housing Review
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• v.4 no.1
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• pp.43-54
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• 2013

This This paper investigates the variation of the factors to determinate housing price in Seoul metropolitan area after sub-prime financial crisis, in Korea, using a VAR model. The model includes housing price and housing rent (Jeonse) in Seoul metropolitan area from 1999 to 2011, and uses interest rate, real GDP, KOSPI, Producer Price Index and practices to impulse response and variance decomposition analysis to grasp the dynamic relation between a variable of macro economy and and a variable of housing price. Data is classified to 2 groups before and after the 3rd quater of 2008, when sub-prime crisis occurred; one is from the 1st quater of 1999 to the 3rd quater of 2008, and the other is from the 2nd quater of 1999 and the 4th quater of 2011. As a result, comparing before and after sub-prime crisis, housing price is more influenced by its own variation or Jeonse price's variation instead of interest rate and KOSPI. Both before and after sub-prime financial crisis, Jeonse price is also influenced by its own variation and housing price. While after sub-prime financial crisis, influences of Producer Price Index, KOSPI and interest rate were weakened, influence of real GDP is expanded. As housing price and housing rent are more influenced by real economy factors such as GDP, its own variation than before sub-prime financial crisis, the recent trend that the house prices is declined is difficult to be converted, considering domestic economic recession and uncertainty, continued by Europe financial crisis. In the future to activate the housing business, it ia necessary to promote purchasing power rather than relaxation of financial and supply regulation.

• International Journal of Human Ecology
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• v.7 no.2
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• pp.53-62
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• 2006

The purpose of this study is to examine the changes in financial structure of the self-employed brought on the economic crisis in Korea.. We use financial ratio analysis, such as income to expenditure ratio, liquidity ratio, debt ratio, and capital accumulation ratio to analyze financial well-being of self-employed households. This study used a 1997 and 1998 Korean Household Panel Study collected by Daewoo Economic Research Institute. The average amount of holding of each type of asset showed that the investment of self-employed households decreased in the banking industry and the stock market in 1998 compared to 1997. On the other hand, asset allocation in bond and real estate increased, which implied preference for a stable type of asset with the increase in uncertainty of the future and economic instability. Devaluation of real estate allowed households to easily obtain real estate and increase preference for asset allocation in real estate after the crisis. The changes in financial ratio for the year 1998 shows that such ratios as income to expenditure, liquidity, and capital accumulation, decreased compared to the year 1997. Among those ratios, the income to expenditure ratio showed the biggest decline because of reduced income of self employed households. The results implied that the income structure of the self-employed is unstable, thus the self-employed were likely to be greatly affected during the economic downturn. Earners have more average income and net assets than the self-employed. However, using financial ratios, it was found that self-employed households were more stable than employees. The results shows that the financial ratio analysis is better tool to estimate households financial status. Implications for financial educators, counselors, and planners are offered. The results will provide implications for policy makers to establish appropriate policies for the self-employed and help them financially survive.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.155-194
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• 2009

The Korean economy successfully overcame the macroeconomic downturns driven from the Asian financial crisis in a very short period of time. The economic shock, however, generated a variety of social problems, one of which was the increase in felonies (homicides, robbery, rape, and arson), or degradation of public safety. We argue that the Korean criminal policy has not been effective to ameliorate the rising trends in crime caused by the financial crisis. In order to substantiate this claim, we assess the effectiveness of criminal policy: policing, sentencing, and corrections. First, there has been resource shortage in policing since the 1997 financial crisis. For the past ten years, the investment of human resource and budget in the police has been virtually stagnant, as well as in prosecutors' investigation activities. The insufficient resource allocation in policing caused a huge decline in arrest rates and prosecution rates. Second, the Korean judicial system has not increased the severity of punishment. Comparing the pre- and the post-financial crisis period, the average length of prison sentence by the courts has declined. Given the degrading in the quality of crime and the decreasing amount of inputs into the policing and prosecution, the government should have increased the severity of punishment to deter crime. Third, we found that the government hired more officers and allocated larger budget into prison and probation. However, it is difficult to suggest that the increased level of resources in correctional programs have been effective in preventing released prisoners from committing future crimes. This is because the number of repeat offenders convicted of more than a third offense increased dramatically since 1997, pushing felonies upward. In sum, the government organizations failed to respond respectively or to make coordinated actions, eventually causing a dramatic increase in crimes. This research brings explicit policy implications. In order to prevent possible additional degradation of public safety, the government must put more efforts into increasing the effectiveness of policy and to investing more resources into said policies. We also emphasize the importance of the institutional mechanisms which foster policy coordination among the Police, the Prosecutor's Office, the Ministry of Justice, and other relevant government organizations.

• Journal of Digital Convergence
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• v.15 no.11
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• pp.113-120
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• 2017

The purpose of this study is to analyze how the relative proportion of retention between real estate for business and investment real estate among the real estate held by corporations has been changed after and before the Financial Crisis as well as whether there has been any difference between KOSPI and KOSDAQ listed companies in terms of their share of the real estate. The increasing pattern of real estate owned by KOSDAQ were similar to the KOSPI companies except for investment properties during the Financial Crisis. The proportion of real estate owned by KOSPI had been lower than that of KOSDAQ companies in both investment and business real estate before the Financial Crisis. However, during the period of the Financial Crisis, the proportion of real estate for business held by KOSPI firms was higher than that of KOSDAQ firms. Furthermore, the portion of investment of real estate owned by KOSPI has remained higher than that of KOSDAQ after the Financial Crisis period and the recent period. Based on the results of this analysis, how the relevance of the change of portion between real estate for business and investment real estate affects management performance will be figured out in the future studies.

• East Asian Economic Review
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• v.27 no.2
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• pp.145-176
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• 2023

This paper investigates short selling behavior, particularly by foreign investors, during event days of non-normal times on an intraday basis in the Korean stock market around the global financial crisis. Although, in the several subsamples, we cannot exclude the predatory short-selling possibility, we did not find any conclusive evidence of abusive short selling behaviors in the overall intraday trading activities. While foreign investors demonstrate higher levels of participation in short-sale trading, their impact on price declines is not as pronounced compared to the effects of pure selling. Following the lift of the short-sale ban, foreign investors appear to engage in long selling trading more frequently, and their influence on price changes primarily stems from long selling rather than short selling compared to the past.

• Management & Information Systems Review
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• v.38 no.1
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• pp.181-199
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• 2019

The purpose of this study is to examine whether or not the volatility of the 1997~1998 Asian crisis still affects the monthly stock returns of Korea, Japan, Singapore, Hong Kong and China from 1980 to 2018. This study investigated whether the volatility has already fallen to pre-crisis levels. To illustrate the possible structural changes in the unconditioned variance due to the Asian financial crisis, we use the MRS-GARCH model, which is a regime switching model. The main results of this study were as follows: First, the stock return of each country was weak in the high volatility regime except Japan resulted by the Asian financial crisis from 1997 to 1998 until March 2018, and the Asian stock market has not yet calmed down except for the global financial crisis period of 2007 and 2008. Second, the conditional volatility has been significantly and persistently decreased and eliminated after the Asian financial crisis. Thus, we could be judged that the Asian stock market was not fully recovered(stable) due to the Asian crisis including the capital liberalization high inflation, worsening current account deficit, overseas low interest rates and expansion of credit growth in 1997 and 1998, but the Asian stock market was largely settled down, except for the 2007 and 2008 in Global financial crises. Considering the similarity between the Asian stock markets and the similar correlation of the regime switching, it may be worthwhile to analyze the MRS-GARCH model.