Overseas market shocks and VKOSPI dynamics: A Markov-switching approach

Wonho Song (), Doojin Ryu and Robert I. Webb

Finance Research Letters, 2016, vol. 16, issue C, 275-282

Abstract: Using a three-regime Markov-switching framework, with time-varying transition probabilities and exogenous state variables, we find that overseas (US) market factors are more significant than domestic (Korean) factors in explaining VKOSPI dynamics. US financial variables are also more important than domestic variables in modeling time-varying transition probabilities, particularly during crisis periods.

Keywords: Markov-switching; VKOSPI; VIX; Korea; US (search for similar items in EconPapers)
JEL-codes: C22 E44 F36 G17 G19 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612315001397
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:16:y:2016:i:c:p:275-282

DOI: 10.1016/j.frl.2015.12.007

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().