Connectivity in Global Stock Markets during Financial Crisis : 금융 위기 시 글로벌 주식시장의 연결성
Connectivity in Global Stock Markets during Financial Crisis
- 주제(키워드) financial crisis , global stock market , comovement , Granger causality , vector autoregressive model , impulse response , 금융위기 , 글로벌 주식시장 , Granger 인과성 , 벡터자기회귀(VAR)모형 , 임펄스 응답
- 발행기관 위기관리 이론과 실천
- 발행년도 2018
- 총서유형 Journal
- KCI ID ART002314860
- 본문언어 영어
초록/요약
This study analyzes the co-movement and causality of continental and intercontinental stock prices during the times of financial crisis. The co-movement of stock price-earnings ratios in each continent is analyzed and significant increase in co-movement during the times of financial crisis is verified. In addition, time-series data are analyzed by the following methods: unit root time series, co-integration, vector autoregressive (VAR) model, impulse response, forecast error variance decomposition, and Granger causality. The results show a significant increase in Granger causality of intercontinental price-earnings ratios during the times of financial crisis. An intercontinental path of impulse transfer is also identified during financial crises. These analyses can assist in controlling the risks of the international crises and help investors design effective investment strategies.
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