The extent of international financial integration among the developed economies has
been well documented in the literature. This paper examines whether there are lagged
spillovers in return and volatility between the U.S. and Korea, an emerging economy,
for a sample period including the financial crisis of 1977. Using open-to-close
KOSPI and S&P 500 returns, this paper finds statistically significant lagged
volatility spillovers from Korea to the U.S. but not from the U.S. to Korea. This
paper also finds that statistically significant lagged return spillovers do not
exist in neither the Korean nor the U.S. stock markets. Thus, that domestic market
efficiently adjusts to foreign information holds even for an emerging market.
Finally, this paper finds that when KOSPI returns measured in U.S. dollars are used,
statistically significant lagged return spillovers exist from the U.S. to Korea but
not from Korea to the U.S. This paper concludes that the lagged return spillovers
with returns measured in U.S. dollars may result from the way the Korean government
has intervened in the KRW/USD foreign exchange market.
학술대회/행사
학술대회안내
[2003년 제 1차] Transmission of Stock Return Volatility
작성자 : 관리자
조회수 : 821
게시일 :
2003-07-12
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