• Communications for Statistical Applications and Methods
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• v.25 no.4
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• pp.397-409
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• 2018

The world financial markets are inter-linked in ways that varies according to market and time. We examine the causality of change focusing on the Korean market as related to the U.S. (S&P 500), Japan (Nikkei 225), Hong-Kong (HSI), and European (DAX) markets. In order to capture time-varying causality running from and to the Korea stock market, we apply the Granger causality test under a VAR model with a wild bootstrap rolling-window approach. We also propose a new concept of a significant causality ratio to measure the intensity of the Granger causality in each time unit. There are many asymmetric strengths in mutual Granger causal relationships. Moreover, there are cases with significant Granger causal relations only in one direction. The period with the most severe Granger causality both running from and to the KOSPI market is the GFC. The market that formed the two-way Granger causal relationship with the KOSPI market for the longest period is the S&P 500. The HSI and DAX markets have the strongest two-way Granger causal relationship with the KOSPI shortly after 2000, and the Nikkei market had the strongest two-way Granger causal relationship with the KOSPI market before the Asian financial crisis.

• Korea Trade Review
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• v.45 no.4
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• pp.107-123
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• 2020

The purpose of this paper is to analyze the Granger Causality relations between Korean FDI and exports in Vietnam using time-series from 2005 to 2019. Using 15-industry semi-annual data of Korean FDI and exports toward Vietnam, the Granger Causality Tests were conducted. Var and VEC models were decided after unit-root and cointegration tests of variables. Findings and implications of the empirical tests are as follows. First, unexpectedly FDI did not Grange-cause exports only in one direction. In two industries, food & beverage and medical & chemical products, there were Granger causality relations in both directions. In eight industries including print, publishig, pulp & paper, exports did Grange-cause FDI. In the rest of five industries including automative & trailer industry, there were no Granger Causality relation in both directions. Second, we presume that the both direction-causality relations are desirable phenomenon for Korea. Because Korean FDI and exports are increasing at the same time. On the other hand, substitution relationship between Korea's exports and FDI occur in the industry that exports did Grange-cause FDI. Finally, more in-depth researches considering Vietnam's consumer demand and the oriented characteristics of FDI are needed. The results of this research will contribute to understand structural patterns of FDI and exports in Vietnam and to make investment and export decisions.

• Journal of Environmental Science International
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• v.31 no.1
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• pp.9-21
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• 2022

Today's cities require deeper understanding of the thermal environment and PM₁₀ as their management becomes more critical. Based on these circumstances, this study investigated the Granger causality between the thermal environment and PM₁₀ of the 25 districts of Seoul, the most populous and urbanized city in Korea. The results of the Granger causality test on the thermal environment and PM₁₀ were classified into 12 types. Except for type 12, the temperature and urban island heat intensity of the other 11 types operated as a Granger-cause to each other in both directions. Temperature operates as a Granger-cause of urban island heat intensity in type 12. The PM₁₀ level and urban pollution island intensity operated as a Granger-cause to each other in all districts. For types 1 and 2, thermal environment operated as a Granger-cause to PM₁₀ in one direction, and type 3-type 12 confirmed that thermal environment and PM₁₀ operated as a Granger-cause in both directions. Findings reveal the intricate causalities between thermal environment and PM₁₀ at the district level and suggest mitigation strategies that are more location based.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.89-99
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• 2012

This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao's sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao's approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle's approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea's case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.

• The Journal of Information Systems
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• v.29 no.1
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• pp.289-301
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• 2020

Purpose This study analyzes whether Internet search of cryptocurrency has a causal relationship to return and volatility of cryptocurrency. Design/methodology/approach Google Trend was used as a measure of the level of Internet search, and the parametric tests of Granger causality in the 1st moment and the 2nd moment were adopted as the analysis method. We used Bitcoin's dollar-based price, which is the No. 1 market value among cryptocurrency. Findings The results showed that the Internet search measured by Google Trends has a causal relationship to cryptocurrency in both average and volatility, while there is a difference in causality and its degree according to the search area and category that Google Trend user should set. Because the Granger causality is based on the improvement of prediction, the analysis results of this study indicate that Internet search can be used as a leading indicator in predicting return and volatility of cryptocurrency.

• The Korean Journal of Financial Studies
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• v.9 no.1
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• pp.221-244
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• 2003

This study is aimed to investigate the effects of foreign exchange rates on stock market returns. For the United States, the United Kingdom, Germany, Japan and Korea, the cross-correlation precedence of foreign exchange rate on stock market is found in the case of Germany and Korea. But that of stock market is not observed in any case. We performed three kinds of causality and exogeneity test of Granger test, Sims test and Geweke-Meese-Dent test. The analyses on the full period show the time-lag causal, exogeneous relation of foreign exchange rates with Granger, Sims and GMD test for Korea. The United Kingdom presents the significance with Granger and Sims test while Germany reveals the time-lag relation with Granger and GMD test. When we divide the period into two parts with the Louvre Accord, the first part give the less degree of time-lag relation. But in the second period the three kinds of causality and exogeneity test propose consistent time-lag relation with foreign exchange rates on stock markets for the United Kingdom and Korea with the three test methods. And Granger's test prove German foreign exchange market have a time-lag relation on stock market.

• International Area Studies Review
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• v.13 no.2
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• pp.255-276
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• 2009

This article has examined the international transmission of returns among S&P500, Nikkei225 and SENSEX stock index cash markets using the daily closing prices covered from January 4, 2002 to February 6, 2009. For this purpose we employed dynamic time series models such as the Granger causality analysis and variance decomposition analysis based on VAR model. The main empirical results are as follows; First, according to Granger causality tests we find that S&P500 stock index has a significant prediction power on the changes of SENSEX and Nikkei225 stock index market and vice versa. However, US stock market's influence is dominant to the other stock markets at a significant level statistically. Second, according to variance decomposition, SENSEX stock index is more sensitive to the movement of S&P500 than that of Nikkei225 stock index. These kinds of empirical results shows that the three stock markets are integrated over times and these results will be informative for the international investors to build the world-wide investment portfolio and risk management strategies, etc.

• International Area Studies Review
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• v.12 no.3
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• pp.449-465
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• 2008

This paper aims to analyze the causal relationship between exports and regional economic growth based on the provincial data over the period from 1952 to 2004. To reflect the regional and chronical characteristics, this paper divides China into three regions; Eastern, Central and Western regions, and also the whole period into two sub-periods; before and after 1979 when the Open-door policy(ODP) was initiated and applies Granger causality analysis. The Granger causality tests showed that exports Granger cause economic growth in the Eastern region, but not in the Central and Western regions, as a whole. When the period is divided, in the Eastern region, causal relation between the two variables was not found before the Open-door policy. For the second period, however it turns out that exports cause the region's economic growth. This result is consent with the fact that the region has been a main beneficiary of the policy. For the Central region, the tests showed no causality in the pre-ODP period, but significant bidirectional causality in the post-ODP period. Meanwhile, in the Western region, exports turned out causing economic growth significantly before the ODP, while economic growth appeared to causing trade after the ODP.

• Journal of Navigation and Port Research
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• v.43 no.6
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• pp.469-474
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• 2019

One of the world's major resources is crude oil, the most fundamental part of the industry. There is no place that does not use crude oil. Petroleum refining products and chemical production industrial products are produced through nearby petrochemical complexes and ports after importing crude oil. There would be a possible relationship among the petrochemical complexes and nearby regional ports working with liquid cargoes. To confirm these relations, Ulsan Port, Daesan Port, and Yeosu Gwangyang Port were selected for this study. A Vector Auto Regressive model using time series data was applied. A Unit Root Test was performed. The relationship was confirmed through the Granger and Toda Yamamoto Causality Test.

• International Area Studies Review
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• v.14 no.3
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• pp.246-263
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• 2010

This study examines how the long-run relations between housing price and inflation in the United Sates have changed since the year of 2000. Johansen co-integration test, estimation of long-run equilibrium equation, and Granger causality tests are conducted, based on the VECM. Data covers the period from the first quarter of 1975 to the second quarter of 2010. I adopt the recursive estimation method in which the final period of the estimation is expanded by one quarter, starting from the first quarter of 2000. The empirical results are as follows: (1) In spite of the sharp increase of housing price, the long-run relationship of house prices and inflation has been remained stable until 2007, showing that house prices are a stable inflation hedge in the long run. (2) The housing price plunge since 1997 does not seem to be related to the restore of the long-run relationship between housing prices and inflation. (3) Granger causality test results support the hypothesis that inflation granger-causes housing prices with 10% significance level, but reject the hypothesis that housing price granger-causes inflation.