• Journal of Korea Society of Digital Industry and Information Management
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• v.4 no.4
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• pp.113-125
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• 2008

This paper investigates the spillover effects(co-movements) between korean and U.S stock market by KOSPI and DJIA Index. Especially it compare to the pre- and post period of U.S. financial crisis resulted from sub-prime mortgage loan. The main results are as follows. First, the spillover effects of DJIA(U.S. market) to KOSPI(Korean market) are strong. This result accord with the former researches on this subject. Second, spillover effects are more strong after U.S. financial crisis. A possible reason for this phenomenon is a trend which the major investors such as foreign and institutional investors in domestic stock market have more attention to U.S. stock market. Third, the spillover effects appear in the opposite direction, that is KOSPI(Korean Stock Market) to DJIA(U.S. Stock Market). It seems to be the results of asian stock market's growing infIuences to European and U.S Markets.

• Culinary science and hospitality research
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• v.22 no.3
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• pp.212-223
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• 2016

The purpose of this study is to verify information spillover effects using returns of macroeconomic variables and hotel leisure stock index daily data from January 4, 2000 to December 30, 2015. The findings and implications of the research can be summarized as follows. First, based on time-varying AR(1)-GARCH(1,1) models no evidence of statistically significant conditional mean and volatility spillover effects from returns of macroeconomic variables on the hotel leisure stock index was observed. In addition, no evidence of price volatility spillover from macroeconomic variables on the hotel leisure market was observed. Second, it was discovered that there exists a significantly negative relationship between the return of ER and hotel leisure stock prices, but a positive relationship between the KOSPI and hotel leisure stock prices. Finally, the study also found that was a significantly positive relationship between the volatility of DUB and hotel leisure market, and an adversely negative relationship between the volatility of ER and hotel leisure market. The results of this study are expected to contribute by providing useful information for investment strategies, as well as for risk management for investors and managers.

• Journal of Korea Trade
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• v.27 no.5
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• pp.167-198
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• 2023

Purpose - This paper aims to compare and analyze the co-movements and information spillover effects between the international commodity futures markets and the South Korean stock markets during the COVID-19 and the 2008 financial crises. Design/methodology - The DCC-GARCH model is used in the co-movements analysis. In contrast, the BEKK-GARCH model is used to evaluate information spillover effects. The statistical data used is from January 1, 2005, to December 31, 2022. It comprises the Korea Composite Stock Price Index data and daily international commodity futures prices of natural gas, West Texas Intermediate crude oil, gold, silver, copper, nickel, soybean, and wheat. Findings - The results of the co-movement analysis were as follows: First, it was shown that the co-movements between the international commodity futures markets and the South Korean stock markets were temporarily strengthened when the COVID-19 and 2008 financial crises occurred. Second, the South Korean stock markets were shown to have high correlations with the copper, nickel, and crude oil futures markets. The results of the information spillover effects analysis are as follows: First, before the 2008 financial crisis, four commodity futures markets (natural gas, gold, copper, and wheat) were shown to be in two-way leading relationships with the South Korean stock markets. In contrast, seven commodity futures markets, except for the natural gas futures market, were shown to be in two-way leading relationships with the South Korean stock markets after the financial crisis. Second, before the COVID-19 crisis, most international commodity futures markets, excluding natural gas and crude oil future markets, were shown to have led the South Korean stock markets in one direction. Third, it was revealed that after the COVID-19 crisis, the connections between the South Korean stock markets and the international commodity futures markets, except for natural gas, crude oil, and gold, were completely severed. Originality/value - Useful information for portfolio strategy establishment can be provided to investors through the results of this study. In addition, it is judged that financial policy authorities can utilize the results as data for efficient regulation of the financial market and policy establishment.

• Management & Information Systems Review
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• v.29 no.2
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• pp.97-118
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• 2010

This paper explores the mean and volatility spillover effects among Chinese, Korean, and the U.S. stock markets during the Asian and global financial crises. We found that, during the Asian Financial crisis, there was no mean spillover effect to the Chinese stock markets. However, there were reciprocal mean spillover effects between the U.S. and the Korean market. This implies that Korean market was open, while Chinese market was secluded from the international financial market at that time. The negative volatility spillover effect between the U.S. and China reinforces this finding. During the global financial crisis, there was reciprocal mean spillover effect between the U.S. and China, and between the U.S. and Korea. This may reflect the fact that Chinese market has opened to the international financial market. However, the volatility spillover effect does not exist between China and the U.S., while the U.S. and Korea has reciprocal volatility spillover effect to each other. These findings may imply that China is still in the process of opening her stock market to international investors.

• Management & Information Systems Review
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• v.32 no.3
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• pp.1-23
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• 2013

In this study, we try to investigate the spillover effects of volatility in international tourists arrivals between Korea and US, Japan, China by using the multivariate BEKK model from January 2005 to January 2013. In the results of this study, after the global financial crisis, we found a cointegration relationship and tourist arrivals of Japan were adjusted to recovery in the short term. Also tourists arrivals from China and Japan showed the long-term elasticity. In the conditional mean equation of a BEKK model, there were the spillover effects. And in the conditional variance equation, ARCH(${\epsilon}^2_t$) coefficients showed a strong influence on the arrivals of their own and the spillover effects and the asymmetric effects on the volatility of China and Japan arrivals. In GARCH(${\sigma}^2_t$) coefficients showed the asymmetric effects and the spillover effects of the conditional volatility among source arrivals. Therefore, we examined the asymmetric reaction of one-way or two-way tourist arrivals between source countries and Korea and the spillover effects related to tourists arrivals of source countries to Korea. We has confirmed a causal relationship between some of the tourists arrivals from source countries to korea.

• Land and Housing Review
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• v.12 no.3
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• pp.27-37
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• 2021

This paper empirically examined the relationship between the housing market and the stock market to investigate the price and the asymmetric volatility spillover effects. The monthly housing price index and the monthly KOSPI were used for analysis. This research employed the EGARCH model. The analysis period was from January 1986 until June 2021 with periodization centered on the Asian Financial Crisis: before and after the crisis - the end of December 1997. The EGARCH model allows analysis of 'good news' and 'bad news' in understanding volatility. The price spillover effect was observed one way from the stock market to the housing market. On the contrary, the spillover effect was not found from the housing market to the stock market. The empirical evidence suggests that there are price and asymmetric volatility effects in the entire period of analysis in both housing and the stock markets. In the housing market, the negative effects of information were found pre-financial crisis while the positive effects, in other periods. However, in the stock market, the negative effects of information were found in the pre- and post-financial crisis periods. This means that the housing market is more affected by 'good news' than 'bad news' when information spreads to the markets while the stock market is more affected by 'bad news' than 'good news'. It is of significance to discover the variable returns by different information.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.15 no.6
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• pp.2031-2048
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• 2021

Not only can air pollution reduce the overall competitiveness of tourist destinations, but also changes tourists' travel decisions, thereby affecting the tourism flows. The study presents a machine learning method to analyze how the haze pollution puts spatial effect on tourism flows in China from 2001 to 2018, and reveals the regional differences in heterogeneity among eastern, central, and western China. Our investigation reveals three interesting observations. First, the Environmental Kuznets Curve of the impact of haze pollution on tourism flows is not significant. In the eastern and western regions, the interaction between haze pollution and domestic tourism flows as well as inbound tourism flows shows an inverted U-shaped curve respectively. Second, there is an significantly positive spillover effect of tourism flows in all of the eastern, central, and western regions. As to the intensity of spillover, domestic tourism flows is higher than that of the inbound tourism flows. Both of the above figures are greatest in the eastern. Third, the Chinese haze pollution mainly reduces the inbound tourism flows, and only imposes significantly negative direct effects on the domestic tourism flows in the central region. In the central and eastern regions, significantly negative direct effects and spillover effects are exerted on inbound tourism.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.8
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• pp.109-121
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• 2022

The study empirically examines the horizontal spillover effects of foreign direct investment (FDI) on the productivity of Indian pharmaceutical firms. Robust least squares and the Generalized Method of Moments estimators are applied for the firm-level panel data of Indian pharmaceutical companies whose shares were traded on the National Stock Exchange (NSE) and Bombay Stock Exchange (BSE). The information was collected from the Centre for Monitoring Indian Economy (CMIE) Prowess database from 2015 to 2019. Based on the regularity in data availability, the sample firms are limited to 112 companies, 100 of which are domestic firms and 12 international firms. Firms with more than 10 percent foreign equity are classified as FDI firms, while those with less than that are classified as domestic firms. Estimation results show that foreign ownership does not contribute to the productivity of domestic firms. Due to increased competition, the Indian pharmaceutical companies with foreign equity participation are not more productive than local ones. Moreover, the findings reveal a negative and insignificant horizontal spillover effect from FDI on the productivity of domestic enterprises. The absence of horizontal spillovers may be attributable to foreign enterprises' ability to prevent technological outflow to competitors in the same industry.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.1
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• pp.655-663
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• 2021

This paper aims to develop a conceptual framework for determinants of spillover effects of FDI on technology innovation of Vietnamese enterprises. The research proposes a logistic regression model for assessing how enterprises' ability to implement technological innovation is affected by the presence of FDI enterprises as well as other factors that show the change through the indirect influence of FDI such as the size of the enterprise, the type of enterprise, and the skill level of the labor force or its research and development activities. Five forms of technology innovation are considered: improving production process; product quality improvement; product expansion; expanding business activities into a new field of production; and changing business activities into a new field of production. General Statistics Office of Vietnam provided survey data to collect information from 3,166 enterprises in the manufacturing and processing industry in Hanoi, which were valid for analysis. The results show that all variables of enterprise type, size, R&D, and industry have a positive impact on the selection of one of the innovation forms. Several recommendations are further suggested to take advantage of the positive effects and minimizing the negative effects of FDI for technological innovation of Vietnamese enterprises.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.163-190
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• 2003

This study tests the hypothesis of market efficiency through the information spillover effects over price and volatility across countries by using open-to-close(daytime) returns and close-to-open(overnight) returns of NASDAQ, KOSDAQ and JASDAQ data from January 3, 1997 to December 21, 2000. Based on Granger-causality and time-varying AR(1)-GARCH(1, 1)-M models we document that the evidence of statistically significant conditional mean and volatility spillovers effects from the daytime returns and volatility of NASDAQ to the overnight returns and volatility of KOSDAQ is observed both before and after the IMF foreign currency crisis but not to the close-to-open return before the IMF foreign currency crisis. We can understand the information spillover effect from NASDAQ to KOSDAQ on the overnight rather than the daytime grows more significantly after the IMF foreign currency crisis. We also find the interactive information spillover effect between NASDAQ and JASDAQ both before and after the IMF financial crisis, in particular, to close-to-open return. In addition, the market efficiency between KOSDAQ and NASDAQ is on an increasing trend through IMF foreign currency crisis.