증권시장의 상호의존성에 관한 연구; 중국, 일본, 미국 및 한국시장을 중심으로

Abstract

We investigate the interdependence between U.S., Japan, China and Korea stock markets using daily return data covered from September 14, 2005 to September 30, 2011. To effectively study the short-term information transmission among 4 major stock markets we separated the whole sample period into two sub-sample period, before and after 2007 financial crisis. For this purpose we introduced the Granger causality test and variance decomposition analysis based on VECM(vector error correction model). The main results of empirical tests are as follows;First, we test the stationarity of 4 countries’ stock market index using ADF and PP model. According to the empirical results we find that there are unit roots in the level variables of 4 countries’ stock market data but not in the returns data of the 4 countries stock market both before and after financial crisis. Second, we also try to estimate the long-run relationship among S&P500, Nikkei 225, Shanghai stock index and KOSPI 200 stock index. For this we introduce the Johansen co-integration model and come to the conclusion that there is a long-run relationship among the level variables of four national stock markets. Third, in order to the short-term information transmission mechanism among the four national stock market index, we employ the Granger causality test based on the VECM(3). According to the empirical test, we find that during the whole sample period, S&P 500 and Nikkei225 stock index have an impact on the KOSPI 200 stock index in the statistically significant level but there is no information transmission effect from Shanghai stock market to Korea stock market. The impact of S&P500 stock index on the KOSPI200 stock index is relatively greater than that of Nikkei225 stock index on the KOSPI200 stock index. Fourth, in case of the empirical result on before and after financial crisis period, we find that the interdependence among the four national stock markets after financial crisis period is much greater than that of before financial crisis period. Fifth, we also compare the influence of US and Japan stock market on China stock market and we find that the US stock market has an greater impact on China stock market than Japan stock market. we also find that after financial crisis of 2008 the comovements between four stock markets are greater than before financial crisis. After the financial crisis the impact of China stock market to other countries is increased but that of Japan is decreased. Sixth, in case of information transmission US and Japan stock markets, there is a feed information transmission between the two national stock market but the influence of US stock market on other countries' stock is more dominant since the financial crisis. The empirical results by variance decomposition analysis are consistent with those of Granger causality test. From these empirical results, we infer that market integration among stock markets is increasing over time and these empirical results are informative to stock market investors and regulators to set up a investment strategies and government policy.