중국과 일대일로 연선국가 간 주가수익률 전이효과에 관한 연구

Abstract

In this study, we analyzed the stock price return and spillover effects across 11 countries, including Russia, Singapore, Indonesia, Malaysia, Thailand, Vietnam, India, Israel, the Czech Republic and Hungary. The analysis was made using the generalized predictive error variance model and vector magnetic return model, and the concepts of the Dibold and Yilmaz (2012) transition effect index were applied. The analysis was conducted three times: one belt one road overall period, one belt one road transfer period, and one belt one road subsequent period. As a result of empirical analysis, firstly, in the case of China during one belt one road subsequent period, the self-explained part became relatively small. Second, the total effect index for one belt one road subsequent period was the highest among the total effect indexes for the previous period and one belt one road overall period. This shows that since the implementation of one belt one road policy by the Chinese government, stock market associations or ripple effects have been strengthened between the two leading countries.