중국과 일본주식시장이 주요국 주식시장에 미치는 영향력에 관한 비교분석

A Comparative Study on the Impact of Chinese and Japanese Stock Markets on Global Stock Markets

This study analyzed the impact of Chinese and Japanese stock markets on global stock market returns including Korea, UK and US using daily data for the period from January 4, 2000 to February 29, 2016, which is divided into two periods, before and after the year 2012 for comparative analysis. The analyses used included correlation analysis, Granger causality test and estimation of a GARCH(1,1) model. Results showed that the Chinese stock market is highly correlated to the Korean and Japanese stock markets, and the correlation between Japanese and Korean markets is very strong specifically. China’s stock market Granger-causes stock markets in Korea and Japan while Japan’s stock market Granger-causes only the Korean market before 2012. There exists stock market returns spillovers from China to four countries with significant impact on stock market returns particularly in Korea and Japan. Returns spillovers from the Japanese stock market to other stock markets were stronger than those in the Chinese market. The volatility spillovers of Chinese and Japanese stock markets were limited and become less frequent after 2012. The overall impact of Japan’s stock market on the global stock markets is believed to be stronger than that of China.