아시아 금융위기와 미국, 아시아 주식시장간의 관계변화

Asian Financial Crisis and the Linkages between US and Asian Stock Markets

This paper Analyzes comovements between Korean, US, Asian equity markets over January 1990 and October 2008 using daily data. I use Vector Autoregressive approach to examine the comovement existing in 5 Asian countries and U.S.A. before and after 1997 Asian financial crises. To do this, the daily stock market indices of 6 countries. The results indicate that the comovements of 5 Asian stock markets are existed. This is especially pronounced for Asian stock markets after 1997 Asian financial crises. The results suggest substantial increased Asian stock market comovement. This implies that the benefits of diversification within the 5 Asian stock markets have decreased over the recent years.