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http://dx.doi.org/10.5351/KJAS.2011.24.2.239

Test and Analysis for Comovement-Locomotive Hypothesis  

Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.2, 2011 , pp. 239-251 More about this Journal
Abstract
The need for statistical analysis to discern the existence and the type of international business comovement has increased as business and economic variations in one country is directly transmitted to business and financial market conditions in another without a long lag. This study performs the statistical tests for th locomotive hypothesis to understand the structural character of the long-run mechanism among Korea-US current and future business movements and the domestic stock market. The U.S. future business prospect, rather than the US current and the domestic current and future business conditions, appears to signi cantl a ect the domestic stock market movement.
Keywords
Locomotive hypothesis; business survey index; business comovement;
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Times Cited By KSCI : 1  (Citation Analysis)
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