Journal of Fisheries and Marine Sciences Education (수산해양교육연구)

The Korean Society for Fisheries and Marine Sciences Education (한국수산해양교육학회)
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A Comparative Study on Volatility Spillovers in the Stock Markets of Korea, China and Japan

한·중·일 주식시장의 변동성 전이효과에 관한 비교연구

  • Received : 2015.11.03
  • Accepted : 2016.01.04
  • Published : 2016.02.29
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Abstract

The purpose of this research is to conduct a comparative study on the characteristics of daily volatility spillovers across the stock markets of Korea, China, and Japan. We employ generalized spillover definition and measurement developed by Diebold & Yilmaz (2009, 2012). The sample period is January 5, 1993 to September 25, 2015. From a static full-sample analysis, we find that 8.60% of forecast error variance comes from volatility spillovers. From a 250-day rolling-sample analysis, we discover that there exist significant volatility fluctuations in the stock markets of Korea, China and Japan, expecially during the Asian Financial Crisis (1998-1999) and the US Credit Crisis (2008-2009) after the collapse of Lehman Brothers. From the net directional spillovers across three countries, we come upon that there is neither a definite leader nor a significant follower during the sample period.

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