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국제비교를 통한 한․미 주식시장 동조화의 평가 - 한국금융연구원

국제비교를 통한 한․미 주식시장 동조화의 평가 - 한국금융연구원

국제비교를 통한 한․미 주식시장 동조화의 평가 - 한국금융연구원

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국제비교를 통한 한․미 주식시장 동조화의 평가 89인 투자자의 거래비중에 따른 차이」,『경영학 연구』제33권 제2호, 2004,pp.531-572.장호윤,「한국 주식의 New York 증시 상장과 주식 가격 정보의 이전」,『증권금융연구』제2권 1호, 1996, pp.105-131.전상경․최종연,「투자주체별 투자행태 분석 : 한미 주가동조화를 중심으로」,『재무관리연구』제20권 제2호, 2003, pp.127-150.지청․조담․양채열,「우리나라 주가변동에 대한 미국 주가의 영향」,『증권학회지』제28집, 2001, pp.1-19.Arshanapalli, B. and Doukas, J., “International Stock Market Linkages: Evidence fromthe pre and post‐October 1987 Period,” Journal of Banking and Finance, 17,1993, pp.193‐203.Cambell, J.Y. and Hamao, Y., “Predictable Stock Returns in United States and Japan:A Study of Long - term Capital Market Integration,” Journal of Finance, 47,1992, pp.43‐69.Engle, R., “Dynamic Conditional Correlation: A Simple Class of Multivariate GeneralizedAutoregressive Conditional Heteroschedasticity Models,” Journal ofBusiness and Economic Statistics, 20(3), 2002, pp.339‐350.Engle, R.F., Hendry, D.F. and Richard, J.F., “Exogeneity,” Econometrica 50, 1983,pp.987‐1007.and Kozicki, S., “Testing for Common Features,” Journal of Business andEconomic Statistics 11, 1993, pp.369‐380.and Susmel, R., “Hourly Volatility Spillovers between International EquityMarkets,” Journal of International Money and Finance, 13, 1994, pp.3‐25.Hamao, Y., Masulis, R.W. and Ng, V., “Correlations in Price Changes and Volatilityacross International Stock Markets,” Review of Financial Studies, 3(2), 1990,pp.281‐307.Hamilton, J.D., Time Series Analysis, New Jersey: Princeton University Press, 1994.Johansen, S., “Statistical Analysis of Cointegrating Vectors,” Journal of EconomicDynamics and Control 12, 1988, pp.231‐254.

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