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International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States

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  • Kim, Sang W.
  • Rogers, John H.

Abstract

In August 1991 the Korean government announced that the stock exchange would undergo a significant liberalization in January 1992, by allowing foreigners to directly own shares in Korean stocks. This paper examines the repercussions on the relationship between the stock markets of Korea, Japan, and the United States. We estimate GARCH models to quantify the importance of "volatility spillovers" from Japan and the U.S. on the mean and variance of Korean returns. Such spillovers have increased since the announced opening, with most of the effect on the opening prices of the Korean stock market.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 2 (1995)
Issue (Month): 2 (June)
Pages: 117-133

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Handle: RePEc:eee:empfin:v:2:y:1995:i:2:p:117-133

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Web page: http://www.elsevier.com/locate/jempfin

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References

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Citations

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Cited by:
  1. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  2. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
  3. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, EconWPA.
  4. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  5. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen.
  6. Yu, Jung-Suk & Hassan, M. Kabir, 2008. "Global and regional integration of the Middle East and North African (MENA) stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 482-504, August.
  7. Kwan, Felix B. & Reyes, Mario G., 1997. "Price effects of stock market liberalization in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 511-522.
  8. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
  9. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers 759, Board of Governors of the Federal Reserve System (U.S.).
  10. Wölfle, Marco, 2007. "Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries," ZEW Discussion Papers 07-067, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  11. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, EconWPA.
  12. Wang, Ming-Chieh, 2013. "Is there a reversal in the price discovery process under different market conditions? Evidence from Korean ADRs and their underlying foreign securities," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1160-1174.
  13. Wang, Ping & Theobald, Mike, 2008. "Regime-switching volatility of six East Asian emerging markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 267-283, September.
  14. Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 197-201.
  15. Huang, Bwo-Nung & Yang, Chin-Wei, 2000. "The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets," Journal of Comparative Economics, Elsevier, vol. 28(2), pages 321-339, June.
  16. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
  17. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.

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