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      https://www.riss.kr/link?id=A107891144

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      다국어 초록 (Multilingual Abstract)

      This paper empirically analyzed the impact of uncertainty in the U.S. stock market caused by the infectious disease epidemic on stock market volatility in four Asian countries (Korea, China, Japan, and India). The sample period was from 4 January 2011 to 31 May 2021, using the Infectious Disease Equity Market Volatility Tracker (EMV-ID) index with realization volatility, and the research methodology is the GARCH-MIDAS model. The results of the empirical analysis over the sample period are as follows: First, the persistence of volatility in the stock market was relatively high, and there was a leverage effect on shocks. However, China and Japan have detected significant leverage effects only in extended models that contain EMV-ID variables. Second, realized volatility in the stock market has always been shown to affect permanent component. Third, the EMV-ID index in the 52 week lag has had a statistically significant impact on the permanent component of the four Asian stock markets, and has been confirmed to increase volatility in three countries (Korea, China, and Japan) except India. Fourth, because governments policy responses to the spread of the epidemic are different, there were also differences in the stock market in the movement of permanent component. Furthermore, for China, where COVID-19 first occurred, volatility since January 2020 has been observed to be smaller than during the 2015 crash. The findings that the volatility of the U.S. stock market during the spread period of COVID-19 is reflected in the information that continues to flow into the Asian stock market suggest the usefulness of the EMV-ID indicator and are expected to contribute to expanding the analysis to the European and South American stock markets.
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      This paper empirically analyzed the impact of uncertainty in the U.S. stock market caused by the infectious disease epidemic on stock market volatility in four Asian countries (Korea, China, Japan, and India). The sample period was from 4 January 2011...

      This paper empirically analyzed the impact of uncertainty in the U.S. stock market caused by the infectious disease epidemic on stock market volatility in four Asian countries (Korea, China, Japan, and India). The sample period was from 4 January 2011 to 31 May 2021, using the Infectious Disease Equity Market Volatility Tracker (EMV-ID) index with realization volatility, and the research methodology is the GARCH-MIDAS model. The results of the empirical analysis over the sample period are as follows: First, the persistence of volatility in the stock market was relatively high, and there was a leverage effect on shocks. However, China and Japan have detected significant leverage effects only in extended models that contain EMV-ID variables. Second, realized volatility in the stock market has always been shown to affect permanent component. Third, the EMV-ID index in the 52 week lag has had a statistically significant impact on the permanent component of the four Asian stock markets, and has been confirmed to increase volatility in three countries (Korea, China, and Japan) except India. Fourth, because governments policy responses to the spread of the epidemic are different, there were also differences in the stock market in the movement of permanent component. Furthermore, for China, where COVID-19 first occurred, volatility since January 2020 has been observed to be smaller than during the 2015 crash. The findings that the volatility of the U.S. stock market during the spread period of COVID-19 is reflected in the information that continues to flow into the Asian stock market suggest the usefulness of the EMV-ID indicator and are expected to contribute to expanding the analysis to the European and South American stock markets.

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      참고문헌 (Reference)

      1 Wei, Y., "Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?" 68 : 141-150, 2017

      2 Baker, S., "The unprecedented stock market reaction to COVID-19"

      3 Engle, R. F., "The spline-GARCH model for low frequency volatility and its global macroeconomic causes" 21 (21): 1187-1222, 2008

      4 Corbet, S., "The contagion effects of the COVID-19 pandemic : evidence from Gold and Cryptocurrencies" 35 : 101554-, 2020

      5 Engle, R. F., "Stock market volatility and macroeconomic fundamentals" 95 (95): 776-797, 2013

      6 Mittnik, S., "Stock market volatility : identifying major drivers and the nature of their impact" 58 : 1-14, 2015

      7 Glosten, L. R., "On the relation between the expected value and the volatility of the nominal excess return on stocks" 48 : 1779-1801, 1993

      8 Bai, L., "Infectious disease pandemic and permanent volatility of international stock markets : A long-term perspective" 40 : 101709-, 2021

      9 Zaremba, A., "Infected markets : novel Coronavirus, government interventions, and stock return volatility around the globe" 35 : 101597-, 2020

      10 Zhang, D., "Financial markets under the global pandmic of COVID-19" 36 : 101528-, 2020

      1 Wei, Y., "Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?" 68 : 141-150, 2017

      2 Baker, S., "The unprecedented stock market reaction to COVID-19"

      3 Engle, R. F., "The spline-GARCH model for low frequency volatility and its global macroeconomic causes" 21 (21): 1187-1222, 2008

      4 Corbet, S., "The contagion effects of the COVID-19 pandemic : evidence from Gold and Cryptocurrencies" 35 : 101554-, 2020

      5 Engle, R. F., "Stock market volatility and macroeconomic fundamentals" 95 (95): 776-797, 2013

      6 Mittnik, S., "Stock market volatility : identifying major drivers and the nature of their impact" 58 : 1-14, 2015

      7 Glosten, L. R., "On the relation between the expected value and the volatility of the nominal excess return on stocks" 48 : 1779-1801, 1993

      8 Bai, L., "Infectious disease pandemic and permanent volatility of international stock markets : A long-term perspective" 40 : 101709-, 2021

      9 Zaremba, A., "Infected markets : novel Coronavirus, government interventions, and stock return volatility around the globe" 35 : 101597-, 2020

      10 Zhang, D., "Financial markets under the global pandmic of COVID-19" 36 : 101528-, 2020

      11 Ali, M., "Coronavirus(COVID-19)-An epidemic or pandemic for financial markets" 27 : 100341-, 2020

      12 Haroon, O., "COVID-19 : media coverage and financial markets behavior-A sectoral inquiry" 27 : 100343-, 2020

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2026 평가예정 재인증평가 신청대상 (재인증)
      2020-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2017-01-01 평가 등재학술지 유지 (계속평가) KCI등재
      2015-02-27 학회명변경 한글명 : 한국국제경상교육학회 -> 글로벌경영학회
      영문명 : Korea Academy of International Business Education -> Academic Society of Global Business Administration
      KCI등재
      2015-02-27 학술지명변경 한글명 : 國際經商敎育硏究 -> 글로벌경영학회지
      외국어명 : International Business Education Review -> Global Business Administration Review
      KCI등재
      2013-07-29 학회명변경 영문명 : 미등록 -> Korea Academy of International Business Education KCI등재
      2013-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2012-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2011-01-01 평가 등재후보학술지 유지 (등재후보1차) KCI등재후보
      2010-01-01 평가 등재후보 1차 FAIL (등재후보1차) KCI등재후보
      2008-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.63 0.63 0.6
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.53 0.44 0.53 0.16
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