동북아 지역 주식 시장 간의 정보 이전 효과에 관한 연구

Information Transmission Across Stock Markets in the Northeast Asia Region

This paper investigates whether mean and volatility spillovers existed across stock markets in the northeast Asia region, including China, Japan, and South Korea. Using daily return data of stock indices over the past ten years, this study analyses the mechanism for information transmission among the three stock markets. The main results are as follows. (1) Both the Japanese and Korean stock markets responded significantly to the changes of each market. (2) The Chinese market, by contrast, was found relatively segregated from the influence of the other two markets, and it showed insignificant responses to the variations of the Japanese and Korean markets. (3) Based on the results from the EGARCH model, we have confirmed the existence of the asymmetric effects of stock returns on volatility with the Japanese and Korean data. This research contributed to the literature of international financial market linkages by studying inter-relationships among the northeast Asian countries, a relatively neglected area of study.