미국 서브프라임 모기지 사태가 한국 자본시장에 미친 영향에 관한 연구

Title
미국 서브프라임 모기지 사태가 한국 자본시장에 미친 영향에 관한 연구
Other Titles
The U.S. Subprime Mortgage Market Turmoil and its Effects on the Korean Capital Markets
Author(s)
임병진오창혁강효정
Keywords
공적분; 인과관계; 충격반응함수; 서브프라임모기지사태; 분산분해; VECM; Co-integration; Causality; Impulse response function; Subprime mortgage crisis; Variance decomposition; Vector error correction model
Issue Date
201309
Publisher
한국로고스경영학회
Citation
로고스경영연구, v.11, no.3, pp.77 - 92
Abstract
We studied the relationships between Korea Treasury Bond (Bond) futures, the KOSPI index, and KOSPI200 index futures to determine the interactions and effects among the securities in the periods before and after May 2007 by using daily securities data from January 2, 2007 to October 5, 2007 obtained from KRX. Because non- stationary and co-integration were indicated from a unit root test and a co-integration test, we adopt a vector error correction model to determine the relations between these indices and to obtain forecast error variance decomposition. This study showed the following results. The negative relations between Bond and KOSPI before May 16, 2007 strengthened after the crisis, which was also true for the relations between the Bond and KOSPI200 index futures. The variance decomposition of KOSPI index and KOSPI200 index futures revealed that after the crisis, the explanatory powers of KOSPI index decreased, whereas those of KOSPI200 index futures increased.
URI
http://hdl.handle.net/YU.REPOSITORY/28893
ISSN
1598-8813
Appears in Collections:
경영대학 > 경영학과 > Articles
이과대학 > 통계학과 > Articles
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