Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200819
Authors: 
Lee, Jinsoo
Yu, Bok-Keun
Year of Publication: 
2018
Citation: 
[Journal:] KDI Journal of Economic Policy [ISSN:] 2586-4130 [Volume:] 40 [Year:] 2018 [Issue:] 1 [Pages:] 45-66
Abstract: 
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 comovements of Korean stock returns with those of the U.S. and Japan became smaller after the global financial crisis. In contrast, the comovement in stock returns between Korea and China became larger after the crisis. After an additional analysis, we conclude that trade linkage is the main driver of the comovements between Korea and the three countries.
Subjects: 
Stock Market Comovement
Trade Linkage
Financial Linkage
JEL: 
F15
F21
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-sa/4.0/
Document Type: 
Article

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