미국, 한국, 홍콩의 대기업과 중견기업의상호영향력 국제비교에 관한 실증적 연구

Title
미국, 한국, 홍콩의 대기업과 중견기업의상호영향력 국제비교에 관한 실증적 연구
Other Titles
An Empirical Study on the International Comparison on the Effects of the Large Business and mid-sized Business Value in the South Korea, United States and Hong Kong
Author(s)
임병진
Keywords
Large Business stock index; mid-sized Business stock index; VAR model; variance decomposition; cointegration
Issue Date
201406
Publisher
한국무역연구원
Citation
무역연구, v.10, no.3, pp.215 - 230
Abstract
This study is an empirical study on international comparison of the effects on the LargeBusiness and mid-sized Business Value in the South Korea, United States and Hong Kong. The interdependence of the Large Business and mid-sized Business stock index in the SouthKorea, United States and Hong Kong was examined for 316 daily data from January 5, 2008to January 17, 2014. Impulse response function based on VAR model as well as variancedecomposition were employed after unit root tests and cointegration test. The finding thatmany macro time series may contain a unit root has spurred the development of the theoryof non-stationary time series analysis. Engle and Granger(1987) pointed out that a linearcombination of two or more non-stationary series may be stationary. This research showedfollowing main results. First, from basic statistic analysis, the Large Business and mid-sizedBusiness stock index in the South Korea, United States and Hong Kong has unit roots,Second, there is at least one cointegration between them.
URI
http://hdl.handle.net/YU.REPOSITORY/31793
ISSN
1738-8112
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경영대학 > 경영학과 > Articles
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