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What drives the stock market comovements between Korea and China, Japan and the U.S.?

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A DCC analysis of international stock market correlations : the role of Japan on the Asian Four Tigers

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What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?

Lee, Jinsoo - 2018

This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the U.S.) using industry-level data for Korea from 2003 to 2016 in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries. We find that the …

Persistent link: https://www.econbiz.de/10012920780

What Drives the Stock Market Comovements between Korea and China, Japan and the US?

Lee, Jinsoo - 2018

This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the US) using the industry-level data for Korea from 2003 to 2016, in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries.We find that the comovements …

Persistent link: https://www.econbiz.de/10012929624