서강대학교

초록/요약

The purpose of this paper is to investigate how information from the US and Japanese stock markets affect return and volatility of the Emerging Asian stock markets such as Korea, Hongkong, Singapore and Indonesia. The sampling period ranges from January 2000 to December 2008. GJR-GARCH model is employed for empirical analysis on the volatility spillover effects. Furthermore, rolling regression is used to identify time-varying influences of the US and Japanese stock markets. Empirical findings of this paper are summarized as follows. First, influence of the US stock market is important for the returns of the Japanese and Emerging Asian stock markets and its sign is positive during the sampling period. After 2004, the Japanese stock market influences returns of the Emerging stock markets except for Indonesia. But that of the Emerging Markets on the Japanese stock market return are insignificant. The only exception is the Singaporean market. Second, volatility spillover effect from the US to the Emerging Asian stock markets is greater than that from Japan. In addition, volatility spillover effect from Asian Emerging stock markets to the Japanese market is significant. Third, asymmetry of volatility exists in the Asian Emerging and Japanese stock markets.