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

Wonho Song; Doojin Ryu; Robert I. Webb

doi:10.1016/j.frl.2015.12.007

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

Wonho Song
, Doojin Ryu
, Robert I. Webb

Department of Economics

Research output: Contribution to journal › Article › peer-review

49 Scopus citations

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.

Original language	English
Pages (from-to)	275-282
Number of pages	8
Journal	Finance Research Letters
Volume	16
DOIs	https://doi.org/10.1016/j.frl.2015.12.007
State	Published - 1 Feb 2016

Keywords

Korea
Markov-switching
US
VIX
VKOSPI

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10.1016/j.frl.2015.12.007

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title = "Overseas market shocks and VKOSPI dynamics: A Markov-switching approach",

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 = "Korea, Markov-switching, US, VIX, VKOSPI",

author = "Wonho Song and Doojin Ryu and Webb, \{Robert I.\}",

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AU - Ryu, Doojin

AU - Webb, Robert I.

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N2 - 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.

AB - 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.

KW - Korea

KW - Markov-switching

KW - US

KW - VIX

KW - VKOSPI

UR - https://www.scopus.com/pages/publications/84954271629

U2 - 10.1016/j.frl.2015.12.007

DO - 10.1016/j.frl.2015.12.007

M3 - Article

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SN - 1544-6123

VL - 16

SP - 275

EP - 282

JO - Finance Research Letters

JF - Finance Research Letters

ER -

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

Abstract

Keywords

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