주가지수의 비대칭 연계성과 전이효과

Abstract

This doctoral dissertation encompasses three research essays, offering significant scholarly contributions through innovative analytical methods and the chosen subjects of investigation. The first essay within this dissertation utilized the Hatemi-J (2012) method for asymmetric Granger causality analysis, focusing on the investigation of static asymmetric causality among the stock indices of markets in China, Korea, Japan, the USA, and EU. And this study incorporated a rolling window approach to explore the time-varying aspects of asymmetric causality. This methodology represents a novel approach for the examination of both static and dynamic asymmetric Granger causalities in financial markets. Furthermore, the second essay within this dissertation employed the NARDL model, as proposed by Shin et al. (2014), to meticulously examine the asymmetric long-run cointegration and short-run dynamics between sectoral stock indices in the Chinese market and their global counterparts. This methodological approach effectively addressed a notable gap in the academic literature, specifically concerning the levels of globalization of China's sectoral stock indices and their asymmetric cointegration relationships Moreover, this paper introduces a novel methodology, marking its first application, which combines a generalized forecast error variance decomposition with a method for assessing asymmetric spillover effects. The third essay within this research framework utilized this innovative approach to analyze the asymmetric spillover effects in the returns of 18 distinct industry stock indices in the Korean stock market. Additionally, to examine the dynamic nature of these effects, the study employed a 250-day rolling window analysis, facilitating a comprehensive exploration of the time-varying asymmetric spillover effects among the returns of these industry stock indices. The three research topics in this dissertation collectively examined the asymmetric effects of Chinese stock index levers, the globalization and asymmetry of Chinese sectoral indices, and the asymmetric spillover effects of Korean industry stock index returns. By doing so, the research elucidated their mutual influences and underlying mechanisms. The findings were expected to provide valuable insights for investors, analysts, and market administrators.