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Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

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Author Info

  • Joon Young Kim
  • Jungryol Kim
  • Sang Bong Kim

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/1226508X.2010.513139
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Global Economic Review.

Volume (Year): 39 (2010)
Issue (Month): 3 ()
Pages: 247-268

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Handle: RePEc:taf:glecrv:v:39:y:2010:i:3:p:247-268

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Related research

Keywords: Korean stock market; price and volatility spillovers; asymmetric volatility;

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