Management Science and Financial Engineering

The Korean Operations Research and Management Science Society (한국경영과학회)
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A Multivariate GARCH Analysis on International Stock Market Integration: Korean Market Case

  • Received : 2014.11.03
  • Accepted : 2014.12.29
  • Published : 2015.05.31
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Abstract

Financial integration is a phenomenon in which global financial markets are closely connected with each other. This article investigates the integration of Korean stock market with other stock markets using a multivariate GARCH analysis. We chose total seven countries including Korea for this paper based on the amount of export and then we chose major stock indices which can be thought as representative stock markets of those countries. The empirical analysis has shown that countries' financial integration.

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References

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