Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069471 | Finance Research Letters | 2016 | 8 Pages |
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.
Related Topics
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Economics and Econometrics
Authors
Wonho Song, Doojin Ryu, Robert I. Webb,