극동아시아 주식시장 상관성의 시변성과 붕괴현상

The Time-varying and Breakdown of Correlation between Far Eastern Stock Markets : Centering around before and after Asian Economic Crisis

This paper examines the correlation estimates for four far east asian stock markets using the CC-MGARCH and DCC-MGARCH. Using daily return series, the stock markets of Korea, Japan, Hong Kong, and China are analysed for the period 2003 to 2009. Parsimonious specifications for the multivariate GARCH framework are used to shed light on the correlation structure of these markets. The dynamic nature of the correlation between pair-wise countries is captured using the dynamic conditional correlation multivariate GARCH framework and explained. First, there are no strong evidence of time-varying correlations for the sample period. Second, all the correlation between two countries has a property of long-run persistence and follows long-memory process. Third, the correlation breakdowns are occurred between Korea and other countries after 2006. Namely, the recent level of correlation is more higher than that of the earlier period.