Transmission of Stock Movements between the Korean and Major International Stock Markets

LEE, JI TAEK (2008) Transmission of Stock Movements between the Korean and Major International Stock Markets. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Abstract

This paper empirically examines the transmission of stock movements between the Korean stock market and three major international stock markets using the Granger causality test and the vector autoregressive (VAR) model. For the purpose of comparison, the data have been divided into two sets: Period���¢������� (1st July, 2002 ~ 30th June, 2005) and Period���¢�������¡ (1st July, 2005 ~ 30th June, 2008).

It is found that the USA stock market is still the most influential on the Korean stock market while the effects of the Japanese and UK markets have relatively less impacts on the Korean market in terms of stock movement. Nevertheless, the impacts of the Japanese market and UK markets on the Korean market are on the increase. Therefore, continuous observation of the movements of the three major markets is essential in order to make forecasts of the stock movement of the Korean market. In addition, the Korean stock market proves to have power to significantly affect the USA and UK markets.

Item Type: Dissertation (University of Nottingham only)
Keywords: stock, market, transmission, Korea
Depositing User: EP, Services
Date Deposited: 09 Jan 2009
Last Modified: 23 Oct 2016 04:22
URI: http://eprints.nottingham.ac.uk/id/eprint/21784

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