Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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A Study on the Relationships between the Stock Markets of Korea, the US, China, and Japan: Focusing on the Pre- and Post-COVID-19 Periods

한국, 미국, 중국, 일본 주식시장 간 동적 관계에 관한 연구: 코로나19 전후 비교 중심으로

  • Yong-Hao Yu (Department of Business Administration, Pukyong National University) ;
  • Se-ryoong Ahn (Division of Business Administration, Pukyong National University)
  • 어영호 (부경대학교 일반대학원 경영학과) ;
  • 안세륭 (부경대학교 경영학과)
  • Received : 2024.05.30
  • Accepted : 2024.06.27
  • Published : 2024.06.30
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Abstract

Purpose - This paper aims to analyze the relationship and correlation between the stock markets of Korea, the US, China, and Japan before and after the outbreak of COVID-19. Design/methodology/approach - This study conducted an empirical analysis using the stock market data from January 2016 to June 2023 for the representative market indices of Korea, the US, China, and Japan. The analysis employed the VAR model, Granger causality test, impulse response function, and variance decomposition. Findings - Analyzing the relationships of these stock markets before and after the outbreak of COVID-19, we obtained the following results. (i) The influence of the U.S. stock market was found to be absolute regardless of the COVID-19 period, and the rise in the U.S. stock market led to rises in other stock markets. (ii) The Chinese stock market had a significant negative impact on the U.S., Korean, and Japanese stock markets before COVID-19, but this influence disappeared after COVID-19. This suggests that the Chinese market exhibited unique characteristics different from the global market after COVID-19. (iii) Analyzing the period excluding the first quarter of 2020, when global stock market volatility was extremely high due to the spread of COVID-19, we found that the results were very similar to the analysis including the first quarter of 2020. Therefore, it is difficult to argue that the increased uncertainty during this period distorted the relationships among the stock markets of these four countries. Research implications or Originality - We anticipate that these findings will offer valuable insights for both individual and institutional investors, aiding them in portfolio diversification and risk mitigation.

Keywords

Acknowledgement

이 논문은 부경대학교 자율창의학술연구비(2023년)에 의하여 연구되었음

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