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dc.contributor.author임병진ko
dc.date.accessioned2015-12-17T02:22:59Z-
dc.date.available2015-12-17T02:22:59Z-
dc.date.created2015-11-29-
dc.date.issued201312-
dc.identifier.citation무역연구, v.9, no.7, pp.805 - 819-
dc.identifier.issn1738-8112-
dc.identifier.urihttp://hdl.handle.net/YU.REPOSITORY/27877-
dc.description.abstractThis paper addresses the existence of dynamic relationships between Brent oil price and large company stock prices of the Shanghai stock Exchange(SSE)and KOSPI over the period May 3,2010to August 31, 2011 covering 321 trading days. Granger causality test based on a bivariate vector autoregressive model (VAR) was employed. The stationarity of the dataseries was checked using ADF(Augmented Dickey-Fullerand and PP(Phillips and Perron)tests, Such tests suggesting that the level variables are non-stationary but the differentiated data are stationary. After these tests, testing for the existence of co-integration was conducted, revealing the existence of cointegrating vectors between test variables. Moreover, the results of the Granger causality test which presented the estimates revealed that Brent oil price has no effect on the large company stock price in the Korea KOSPI and China SSE stock markets. Moreover, the KOSPI large company stock price has no influence on the Brent oil price while SSE large company stock price has a certain degree of influence on the Brent oil price.-
dc.language한국어-
dc.publisher한국무역연구원-
dc.subjectBrent oil price-
dc.subjectlarge company stock price-
dc.subjectKOSPI-
dc.subjectSSE-
dc.subjectGranger causality test-
dc.titleAn Empirical Study on the Dynamic Relationship between Brent Oil and Large Company Stock Prices of the Shanghai and Korea Stock Markets-
dc.typeArticle-
dc.identifier.kciidART001835920-
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경영대학 > 경영학과 > Articles
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