The objective of this paper is to analyze time-varying volatility and volatility spillover from Nasdaq stock market influences to Reits stock market, using AR(1)-GARCH model based on the monthly Nasdaq stock index data and US Reits stock index data. The empirical results are as follows: Firstly, we find that volatility spillover effect existed from Nasdaq stock market to US Reits stock market, but the opposite is not true. Secondly, It is turn out that the unexpected news shock appears to have a mutual influence between Nasdaq stock market and US Reits stock market. It is necessary to note that US Rreits stock market is affected by Nasdaq stock market in order to revitalize Korean Reits stock market.
Ⅰ. 서론
Ⅱ. 선행연구
Ⅲ. 분석모형
Ⅳ. 분석결과
Ⅴ. 결론
참고문헌