미국, 한국, 홍콩의 대기업과 중견기업의상호영향력 국제비교에 관한 실증적 연구
- 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
- Large Business stock index; mid-sized Business stock index; VAR model; variance decomposition; cointegration
- Issue Date
- 무역연구, v.10, no.3, pp.215 - 230
- 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.
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